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Forecasting excess stock returns with crude oil market data

Liu, Li; Ma, Feng; Wang, Yudong - In: Energy economics 48 (2015), pp. 316-324

Persistent link: https://www.econbiz.de/10011533825

Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence

Wang, Jiqian; Huang, Yisu; Ma, Feng; Chevallier, Julien - In: Energy economics 91 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012518664

Volatility of clean energy and natural gas, uncertainty indices, and global economic conditions

Wang, Jiqian; Ma, Feng; Bouri, Elie; Zhong, Juandan - In: Energy economics 108 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013203098

The role of oil futures intraday information on predicting US stock market volatility

Tang, Yusui; Xiao, Xiao; Wahab, M. I. M.; Ma, Feng - In: Journal of management science and engineering 6 (2021) 1, pp. 64-74

This study investigates the role of oil futures price information on forecasting the US stock market volatility using … futures realized volatility. In particular, the multivariate HAR model outperforms the univariate model. Accordingly …, considering the contemporaneous connection is useful to predict the US stock market volatility. Furthermore, these findings are …

Persistent link: https://www.econbiz.de/10013206077

Forecasting the oil futures price volatility : large jumps and small jumps

Liu, Jing; Ma, Feng; Yang, Ke; Zhang, Yaojie - In: Energy economics 72 (2018), pp. 321-330

Persistent link: https://www.econbiz.de/10011972334

Geopolitical risk and oil volatility : a new insight

Liu, Jing; Ma, Feng; Tang, Yingkai; Zhang, Yaojie - In: Energy economics 84 (2019), pp. 1-10

Persistent link: https://www.econbiz.de/10012182780

Forecasting oil futures price volatility : new evidence from realized range-based volatility

Ma, Feng; Zhang, Yaojie; Huang, Dengshi; Lai, Xiaodong - In: Energy economics 75 (2018), pp. 400-409

Persistent link: https://www.econbiz.de/10011974360

Forecasting the realized volatility of the oil futures market : a regime switching approach

Ma, Feng; Wahab, M. I. M.; Huang, Dengshi; Xu, Weiju - In: Energy economics 67 (2017), pp. 136-145

Persistent link: https://www.econbiz.de/10011897885

Good, bad cojumps and volatility forecasting : new evidence from crude oil and the U.S. stock markets

Chen, Yixiang; Ma, Feng; Zhang, Yaojie - In: Energy economics 81 (2019), pp. 52-62

Persistent link: https://www.econbiz.de/10012172656

Out-of-sample prediction of the oil futures market volatility : a comparison of new and traditional combination approaches

Zhang, Yaojie; Ma, Feng; Wei, Yu - In: Energy economics 81 (2019), pp. 1109-1120

Persistent link: https://www.econbiz.de/10012173075