Investors’ perspective on forecasting crude oil return volatility: Where do we stand today?
In this paper, we review studies of oil volatility prediction from a new perspective: that of investors who require economic evaluations of forecasting performance. Our results indicate that no single volatility model outperforms all of the competing models, of which GARCH and realized volatility mo...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co., Ltd.
2022-09-01
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| Series: | Journal of Management Science and Engineering |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2096232021000664 |