Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approaches
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DOI: 10.1016/j.eneco.2019.05.018
Abstract: Abstract This paper aims to use both the standard and iterated combination approaches to accurately predict the oil futures market volatility. We further make a comprehensive comparison of the out-of-sample forecasting performance between the two… read more here.
Keywords: futures market; combination; combination approaches; volatility ... See more keywords