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Forecasting crude oil prices: A scaled PCA approach

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  1. Yan, Xiang & Bai, Jiancheng & Li, Xiafei & Chen, Zhonglu, 2022. "Can dimensional reduction technology make better use of the information of uncertainty indices when predicting volatility of Chinese crude oil futures?," Resources Policy, Elsevier, vol. 75(C).
  2. Qingxiang Han & Mengxi He & Yaojie Zhang & Muhammad Umar, 2023. "Default return spread: A powerful predictor of crude oil price returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1786-1804, November.
  3. Zhang, Lixia & Luo, Qin & Guo, Xiaozhu & Umar, Muhammad, 2022. "Medium-term and long-term volatility forecasts for EUA futures with country-specific economic policy uncertainty indices," Resources Policy, Elsevier, vol. 77(C).
  4. Xing, Li-Min & Zhang, Yue-Jun, 2022. "Forecasting crude oil prices with shrinkage methods: Can nonconvex penalty and Huber loss help?," Energy Economics, Elsevier, vol. 110(C).
  5. Wen, Danyan & Liu, Li & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market returns: Enhanced moving average technical indicators," Resources Policy, Elsevier, vol. 76(C).
  6. Shu, Lei & Lu, Feiyang & Chen, Yu, 2023. "Robust forecasting with scaled independent component analysis," Finance Research Letters, Elsevier, vol. 51(C).
  7. Chen, Louisa & Verousis, Thanos & Wang, Kai & Zhou, Zhiping, 2023. "Financial stress and commodity price volatility," Energy Economics, Elsevier, vol. 125(C).
  8. Guo, Xiaozhu & Huang, Dengshi & Li, Xiafei & Liang, Chao, 2023. "Are categorical EPU indices predictable for carbon futures volatility? Evidence from the machine learning method," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 672-693.
  9. Zhang, Yaojie & He, Mengxi & Liao, Cunfei & Wang, Yudong, 2023. "Climate risk exposure and the cross-section of Chinese stock returns," Finance Research Letters, Elsevier, vol. 55(PB).
  10. Zhikai Zhang & Yaojie Zhang & Yudong Wang & Qunwei Wang, 2024. "The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 557-584, April.
  11. Liang, Chao & Xu, Yongan & Wang, Jianqiong & Yang, Mo, 2022. "Whether dimensionality reduction techniques can improve the ability of sentiment proxies to predict stock market returns," International Review of Financial Analysis, Elsevier, vol. 82(C).
  12. Mengxi He & Yudong Wang & Yaojie Zhang, 2023. "The predictability of iron ore futures prices: A product‐material lead–lag effect," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1289-1304, September.
  13. Luo, Keyu & Guo, Qiang & Li, Xiafei, 2022. "Can the return connectedness indices from grey energy to natural gas help to forecast the natural gas returns?," Energy Economics, Elsevier, vol. 109(C).
  14. Zhang, Yaojie & He, Mengxi & Wen, Danyan & Wang, Yudong, 2023. "Forecasting crude oil price returns: Can nonlinearity help?," Energy, Elsevier, vol. 262(PB).
  15. Guo, Yangli & Ma, Feng & Li, Haibo & Lai, Xiaodong, 2022. "Oil price volatility predictability based on global economic conditions," International Review of Financial Analysis, Elsevier, vol. 82(C).
  16. He, Mengxi & Wang, Yudong & Zeng, Qing & Zhang, Yaojie, 2023. "Forecasting aggregate stock market volatility with industry volatilities: The role of spillover index," Research in International Business and Finance, Elsevier, vol. 65(C).
  17. Zhang, Ditian & Tang, Pan, 2023. "Forecasting European Union allowances futures: The role of technical indicators," Energy, Elsevier, vol. 270(C).
  18. Lu, Fei & Ma, Feng & Li, Pan & Huang, Dengshi, 2022. "Natural gas volatility predictability in a data-rich world," International Review of Financial Analysis, Elsevier, vol. 83(C).
  19. Li, Yan & Huo, Jiale & Xu, Yongan & Liang, Chao, 2023. "Belief-based momentum indicator and stock market return predictability," Research in International Business and Finance, Elsevier, vol. 64(C).
  20. Gong, Xue & Ye, Xin & Zhang, Weiguo & Zhang, Yue, 2023. "Predicting energy futures high-frequency volatility using technical indicators: The role of interaction," Energy Economics, Elsevier, vol. 119(C).
  21. Yu, Dan & Chen, Chuang & Wang, Yudong & Zhang, Yaojie, 2023. "Hedging pressure momentum and the predictability of oil futures returns," Economic Modelling, Elsevier, vol. 121(C).
  22. Jin, Daxiang & He, Mengxi & Xing, Lu & Zhang, Yaojie, 2022. "Forecasting China's crude oil futures volatility: How to dig out the information of other energy futures volatilities?," Resources Policy, Elsevier, vol. 78(C).
  23. Liu, Jing & He, Qiubei & Li, Yan & Huynh, Luu Duc Toan & Liang, Chao, 2023. "The change in stock-selection risk and stock market returns," International Review of Financial Analysis, Elsevier, vol. 85(C).
  24. Li, Xiafei & Guo, Qiang & Liang, Chao & Umar, Muhammad, 2023. "Forecasting gold volatility with geopolitical risk indices," Research in International Business and Finance, Elsevier, vol. 64(C).
  25. Zhang, Yaojie & He, Jiaxin & He, Mengxi & Li, Shaofang, 2023. "Geopolitical risk and stock market volatility: A global perspective," Finance Research Letters, Elsevier, vol. 53(C).
  26. He, Mengxi & Zhang, Yaojie, 2022. "Climate policy uncertainty and the stock return predictability of the oil industry," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
  27. Lu, Xinjie & Ma, Feng & Wang, Tianyang & Wen, Fenghua, 2023. "International stock market volatility: A data-rich environment based on oil shocks," Journal of Economic Behavior & Organization, Elsevier, vol. 214(C), pages 184-215.
  28. Yi, Yongsheng & He, Mengxi & Zhang, Yaojie, 2022. "Out-of-sample prediction of Bitcoin realized volatility: Do other cryptocurrencies help?," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  29. Li, Yan & Liang, Chao & Huynh, Toan Luu Duc, 2022. "Forecasting US stock market returns by the aggressive stock-selection opportunity," Finance Research Letters, Elsevier, vol. 50(C).
  30. Xue Gong & Weiguo Zhang & Weijun Xu & Zhe Li, 2022. "Uncertainty index and stock volatility prediction: evidence from international markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-44, December.
  31. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2022. "Geopolitical risk trends and crude oil price predictability," Energy, Elsevier, vol. 258(C).
  32. Bai, Fan & Zhang, Yaqi & Chen, Zhonglu & Li, Yan, 2023. "The volatility of daily tug-of-war intensity and stock market returns," Finance Research Letters, Elsevier, vol. 55(PA).
  33. Xu Gong & Mengjie Li & Keqin Guan & Chuanwang Sun, 2023. "Climate change attention and carbon futures return prediction," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1261-1288, September.
  34. Lucey, Brian & Ren, Boru, 2021. "Does news tone help forecast oil?," Economic Modelling, Elsevier, vol. 104(C).
  35. Fang, Tianhui & Zheng, Chunling & Wang, Donghua, 2023. "Forecasting the crude oil prices with an EMD-ISBM-FNN model," Energy, Elsevier, vol. 263(PA).
  36. Guo, Yangli & He, Feng & Liang, Chao & Ma, Feng, 2022. "Oil price volatility predictability: New evidence from a scaled PCA approach," Energy Economics, Elsevier, vol. 105(C).
  37. Xu Gong & Keqin Guan & Qiyang Chen, 2022. "The role of textual analysis in oil futures price forecasting based on machine learning approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1987-2017, October.
  38. Li, Xiafei & Liang, Chao & Chen, Zhonglu & Umar, Muhammad, 2022. "Forecasting crude oil volatility with uncertainty indicators: New evidence," Energy Economics, Elsevier, vol. 108(C).
  39. Xu, Yongan & Liang, Chao & Li, Yan & Huynh, Toan L.D., 2022. "News sentiment and stock return: Evidence from managers’ news coverages," Finance Research Letters, Elsevier, vol. 48(C).
  40. Huang, Yisu & Ma, Feng & Bouri, Elie & Huang, Dengshi, 2023. "A comprehensive investigation on the predictive power of economic policy uncertainty from non-U.S. countries for U.S. stock market returns," International Review of Financial Analysis, Elsevier, vol. 87(C).
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