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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

Déjà vol oil? : predicting S&P 500 equity premium using crude oil price volatility : evidence from old and recent time-series data

Nonejad, Nima - In: International review of financial analysis 58 (2018), pp. 260-270

Persistent link: https://www.econbiz.de/10012006463

Forecasting the volatility of agricultural commodity futures : the role of co-volatility and oil volatility

Marfatia, Hardik A.; Ji, Qiang; Luo, Jiawen - In: Journal of forecasting 41 (2022) 2, pp. 383-404

Persistent link: https://www.econbiz.de/10012817783

Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets : a comparative analysis with yellow metal

Al-Yahyaee, Khamis Hamed; Mensi, Walid; Al-Jarrah, … - In: The North American journal of economics and finance : a … 49 (2019), pp. 104-120

Persistent link: https://www.econbiz.de/10012269157

Futures-based forecasts : how useful are they for oil price volatility forecasting?

Chatziantoniou, Ioannis; Degiannakis, Stavros; Filis, George - In: Energy economics 81 (2019), pp. 639-649

Persistent link: https://www.econbiz.de/10012172881

Crude oil : does the futures price predict the spot price?

Chu, Pyung Kun; Hoff, Kristian; Molnár, Peter; Olsvik, … - In: Research in international business and finance 60 (2022), pp. 1-7

Persistent link: https://www.econbiz.de/10013412457

On the influence of US monetary policy on crude oil price volatility

Amendola, Alessandra; Candila, Vincenzo; Scognamillo, … - In: Empirical economics : a journal of the Institute for … 52 (2017) 1, pp. 155-178

Persistent link: https://www.econbiz.de/10011631589

Oil price forecasting using crack spread futures and oil exchange traded funds

Choi, Hankyeung; Leatham, David J.; Sukcharoen, Kunlapath - In: Contemporary economics 9 (2015) 1, pp. 29-44

) for modeling and forecasting daily OPEC crude oil spot prices is evaluated. Based on the results of a structural break … forecasting performance, the forecasting models based on crack spread futures and the ETF crack spread outperform the Random Walk … crack spread market contributes more to the forecasting models than information from the crack spread futures market. …

Persistent link: https://www.econbiz.de/10010520870

Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models

Arouri, Mohamed; Lahiani, Amine; Lévy, Aldo; Nguyen, … - In: Energy economics 34 (2012) 1, pp. 283-293

Persistent link: https://www.econbiz.de/10009618848

Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks

Ma, Feng; Liao, Yin; Zhang, Yaojie; Cao, Yang - In: Journal of empirical finance 52 (2019), pp. 40-55

Persistent link: https://www.econbiz.de/10012170621