This study investigates the role of oil futures price information on forecasting the US stock market volatility using the HAR framework. In-sample results indicate that oil futures intraday information is helpful to increase the predictability. Moreover, compared to the benchmark model, the...

In March 2018, the US used an immense trade deficit as an excuse to provoke trade friction with China. This study uses the EGARCH model and event study methods to study the impact of the major risk event of Sino-US trade friction on soybean futures markets in China and the United States. Results...