Internet Appendix to `Forecasting Realized Volatility of the Oil Future Prices via Machine Learning'

Posted: 20 Nov 2020 Last revised: 3 Aug 2021

See all articles by Byung-June Kim

Byung-June Kim

Pohang University of Science and Technology (POSTECH)

Taeyoon Kim

Pohang University of Science and Technology (POSTECH)

Bong-Gyu Jang

Pohang University of Science and Technology (POSTECH)

Date Written: October 10, 2020

Abstract

The Internet Appendix consists of three sections. Section A shows data sources and detailed data processing procedures. In Section B, we outline seven forecasting models. Last, Section C represents the empirical results.

Keywords: oil future, oil pricing, machine learning, forecasting model

JEL Classification: C5, C22, G1, Q4

Suggested Citation

Kim, Byung-June and Kim, Taeyoon and Jang, Bong-Gyu, Internet Appendix to `Forecasting Realized Volatility of the Oil Future Prices via Machine Learning' (October 10, 2020). Available at SSRN: https://ssrn.com/abstract=3708603 or http://dx.doi.org/10.2139/ssrn.3708603

Byung-June Kim

Pohang University of Science and Technology (POSTECH) ( email )

77 Cheongam-ro
Pohang
Korea, Republic of (South Korea)

Taeyoon Kim (Contact Author)

Pohang University of Science and Technology (POSTECH) ( email )

77 Cheongam-ro
Pohang
Korea, Republic of (South Korea)

Bong-Gyu Jang

Pohang University of Science and Technology (POSTECH) ( email )

77 Cheongam-ro
Pohang
Korea, Republic of (South Korea)

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