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Geopolitical risk and volatility spillovers in oil and stock markets
Smales, L. A. - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 358-366
Persistent link: https://www.econbiz.de/10012655491
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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
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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
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Oil and the short-term predictability of stock return volatility
Wang, Yudong; Wei, Yu; Wu, Chongfeng; Yin, Libo - In: Journal of empirical finance 47 (2018), pp. 90-104
Persistent link: https://www.econbiz.de/10012103481
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Forecasting volatility returns of oil price using gene expression programming approach
Amo Baffour, Alexander; Jingchun, Feng; Fan, Liwei; … - In: Journal of time series econometrics 11 (2019) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10012022879
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Forecasting crude-oil market volatility : further evidence with jumps
Charles, Amélie; Darné, Olivier - In: Energy economics 67 (2017), pp. 508-519
Persistent link: https://www.econbiz.de/10011898005
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Have the predictability of oil changed during the COVID-19 pandemic : evidence from international stock markets
Ding, Hui; Huang, Yisu; Wang, Jiqian - In: International review of financial analysis 87 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014460444
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Volatility spillovers between oil and financial markets during economic and financial crises : a dynamic approach
Sánchez-García, Javier; Cruz Rambaud, Salvador - In: Journal of economics and finance : JEF 47 (2023) 4, pp. 1018-1040
Persistent link: https://www.econbiz.de/10014448599
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Forecasting oil futures price volatility with economic policy uncertainty : a CARR-MIDAS model
Wu, Xinyu; Cui, Hao; Wang, Lu - In: Applied economics letters 30 (2023) 2, pp. 120-125
Persistent link: https://www.econbiz.de/10013553019
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Uncertainty-driven oil volatility risk premium and international stock market volatility forecasting
Fang, Tong; Miao, Deyu; Su, Zhi; Yin, Libo - In: Journal of forecasting 42 (2023) 4, pp. 872-904
Persistent link: https://www.econbiz.de/10014292840