FORECASTING RETURN VOLATILITY OF CRUDE OIL FUTURE PRICES USING ARTIFICIAL NEURAL NETWORKS; BASED ON INTRA MARKETS VARIABLES AND FOCUS ON THE SPECULATION ACTIVITY

Hasanabadi, Hamed Shafiee; Khan, Saqib; Mayorga, Rene V.

FORECASTING RETURN VOLATILITY OF CRUDE OIL FUTURE PRICES USING ARTIFICIAL NEURAL NETWORKS; BASED ON INTRA MARKETS VARIABLES AND FOCUS ON THE SPECULATION ACTIVITY

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HSafiee-RVMayorga-1.pdf (233.04 KB)

Date

2014-05-15

Authors

Hasanabadi, Hamed Shafiee

Khan, Saqib

Mayorga, Rene V.

Abstract

Considering the strong linkages between commodity and equity markets during the few past years, the motivation of the study in this Chapter is to forecast the crude oil future prices return volatilities of based on the information from the intra markets variables.

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crude oil future prices

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https://hdl.handle.net/10294/5318

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Rene V. Mayorga

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FORECASTING RETURN VOLATILITY OF CRUDE OIL FUTURE PRICES USING ARTIFICIAL NEURAL NETWORKS; BASED ON INTRA MARKETS VARIABLES AND FOCUS ON THE SPECULATION ACTIVITY

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