Articles by Xinyu Wu
Forecasting Chinese crude oil futures’ volatility: a heterogeneous volatility spillover-conditional autoregressive range model
This paper offers a new model with which to model and forecast the volatility of Chinese crude oil futures.
Forecasting the Volatility Index with a realized measure, volatility components and dynamic jumps
The authors put forward the REGARCH-2C-Jump model to forecast VIX, with results suggesting that this model can outperform other models in VIX forecasting.