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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

Oil shock transmission to stock market returns : Wavelet-multivariate Markov switching GARCH approach

Jammazi, Rania - In: The interrelationship between financial and energy markets, (pp. 71-111). 2014

Persistent link: https://www.econbiz.de/10010411151

An empirical analysis of the impact of crude oil spot and futures prices volatility on the development of African equity markets

Bakare, Ibrahim A. O.; Quadry, Mahmud O.; Mohammad … - In: Economic and environmental studies : a journal for … 18 (2018) 1, pp. 31-46

This study focused on the impact of crude oil, crude palm oil spot and futures of prices on African equity markets. It draws on daily data from January 2000 till July 2013, obtained from Bloomberg. The study employed Vector Error Correction (VEC). Findings from the econometric analysis show that...

Persistent link: https://www.econbiz.de/10011872980

Newspaper-based equity uncertainty or implied volatility index : new evidence from oil market volatility predictability

Lu, Xinjie; Ma, Feng; Li, Pan; Li, Tao - In: Applied economics letters 30 (2023) 7, pp. 960-964

Persistent link: https://www.econbiz.de/10014303607

Regime Switching Model of US Crude Oil and Stock Market Prices : 1859 to 2013

Balcilar, Mehmet - 2016

This paper examines the relationship between US crude oil and stock market prices, using a Markov-Switching vector error-correction model and a monthly data set from 1859 to 2013. The sample covers the entire modern era of the petroleum industry, which typically begins with the first drilled oil...

Persistent link: https://www.econbiz.de/10013005873