The volatility has been one of the cores of the financial theory research, in addition to the futures market is an important part of modern financial markets, the futures market volatility is an important part of the theory of financial markets research.
Sample Chapter(s)
Preface (175 KB)
Components of the Book:
- Head Page
- Copyright
- Author
- Acknowledgements
- Preface
- Contents
- Chapter 1. Geopolitical Risk Uncertainty and Oil Future Volatility: Evidence from MIDAS Models
- 1. Introduction
- 2. Econometric Models
- 3. Data and Summary Statistics
- 4. The Effect of Geopolitical Risk on Oil Future Volatility
- 5. The Predictive Power of GPR Index on Oil Future Volatility
- 6. Robustness Checks
- 7. Conclusions
- Chapter 2. Forecasting Oil Price Volatility Using High-Frequency Data: New Evidence
- 1. Introduction
- 2. Literature Review
- 3. Econometric Models
- 4. Data
- 5. Empirical Results
- 6. Conclusions
- Chapter 3. Forecasting the Volatility of Crude Oil Futures Using High-Frequency Data: Further Evidence
- 1. Introduction
- 2. Volatility Measures and Models
- 3. Data
- 4. Forecasting Methodology and the MCS Test
- 5. Empirical Results
- 6. Conclusions
- Chapter 4. Does US Economic Policy Uncertainty Matter for European Stock Markets Volatility?
- 1. Introduction
- 2. Econometric Models
- 3. Data Description
- 4. Empirical Results
- 5. Conclusions
- Chapter 5. Summary
- References
Readership:
Readers who are interested in the Volatility of Oil Futures and European Stock Markets
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Head Page
Dexiang Mei, Wang Chen
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Copyright
Dexiang Mei, Wang Chen
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Author
Dexiang Mei, Wang Chen
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Acknowledgements
Dexiang Mei, Wang Chen
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Preface
Dexiang Mei, Wang Chen
PDF (175 KB)
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Contents
Dexiang Mei, Wang Chen
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Chapter 1. Geopolitical Risk Uncertainty and Oil Future Volatility: Evidence from MIDAS Models
Dexiang Mei, Wang Chen
PDF (462 KB)
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35
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Chapter 2. Forecasting Oil Price Volatility Using High-Frequency Data: New Evidence
Dexiang Mei, Wang Chen
PDF (472 KB)
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Chapter 3. Forecasting the Volatility of Crude Oil Futures Using High-Frequency Data: Further Evidence
Dexiang Mei, Wang Chen
PDF (590 KB)
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111
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Chapter 4. Does US Economic Policy Uncertainty Matter for European Stock Markets Volatility?
Dexiang Mei, Wang Chen
PDF (842 KB)
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129
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Chapter 5. Summary
Dexiang Mei, Wang Chen
PDF (187 KB)
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135
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References
Dexiang Mei, Wang Chen
PDF (240 KB)
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Dexiang Mei, researcher of Research Center for Economy of Upper Reaches of the Yangtse River Chongqing Technology and Business University of Key Research Institute of Humanities and Social Sci-ences by the Ministry of Education (KRI), associate professor of School of Finance, Chongqing Technology and Business University, graduated from Southwest Jiaotong University in 2016, obtained the Doctor’s degree in management, research area is financial risk management, Presided over a general project of National Social Science Fund of China (17BJY187).
Wang Chen, associate professor of College of Finance and Economics, Yangtze Normal University, graduated from Southwest Jiaotong University in 2015, obtained the Doctor’s degree in management, research area is financial engineering and risk management, preside a research project supported by the Natural Science Foundation of China, publish more than twenty papers.