Interpreting the crude oil price movements: Evidence from the Markov regime switching model

By Yue‐Jun Zhang, Lu Zhang. 2015

122 citations recorded by the source corpus.

Subfields: Economics and Econometrics, General Energy

View Paper: https://www.semanticscholar.org/paper/6ed73fb6de0cca312c74a73fec6bbdf894aacb09

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Jinliang Zhang
2. Yue‐Jun Zhang
3. Ling‐Yun He
4. R. Ripple
5. Ting Yao
6. Muhammad Shahbaz
7. Zeeshan Khan
8. Ilhan Ozturk

In General Energy

1. Jinliang Zhang
2. Yue‐Jun Zhang

Citations in the corpus

• Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models? (2019, background): “…chain to have different GARCH behaviors, i.e., different volatility structures, so as to extend the GARCH model to the dynamic forms and realize better estimating and forecasting performance (Haas, Mittnik,& Paolella, 2004; Klaassen, 2002; Marcucci, 2005; Zhang&Wang, 2015; Zhang & Zhang, 2015).”
• Volatility forecasting of crude oil market: A new hybrid method (2018, methodology): “For the application of models to predict commodity or financial market price volatility states, the Markov regime switching (MRS) model has been universally recognized in existing studies (Balcilar et al., 2015; Wang et al., 2016; Zhang & Zhang, 2015).”