This study provides evidence of the US implied volatility's effect on international equity markets' returns. This … evidence has two main implications: i) investors may find that foreign equity returns adjusting to US implied volatility may … not provide true diversification benefits, and ii) foreign equity returns may be predicted using US implied volatility …

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 …