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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

Asymmetric volatility spillovers between oil and stock markets : evidence from China and the United States

Xu, Weiju; Ma, Feng; Wang, Chen; Zhang, Bing - In: Energy economics 80 (2019), pp. 310-320

Persistent link: https://www.econbiz.de/10012173623

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

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

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

An oil futures volatility forecast perspective on the selection of high-frequency jump tests

Li, Xiafei; Liao, Yin; Lu, Xinjie; Ma, Feng - In: Energy economics 116 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013542124

Oil shocks and stock market volatility : new evidence

Lu, Xinjie; Ma, Feng; Wang, Jiqian; Zhu, Bo - In: Energy economics 103 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10013364063