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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 … 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 proposed models improve their predictive ability with the help of oil …
Persistent link: https://www.econbiz.de/10013206077
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Volatility spillovers between oil and equity markets and portfolio risk implications in the US and vulnerable EU countries
Mensi, Walid; Hammoudeh, Shawkat; Xuan Vinh Vo; Kang, … - In: Journal of international financial markets, … 75 (2021), pp. 1-27
Persistent link: https://www.econbiz.de/10012820834
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Volatility transmission between oil prices and banks' stock prices as a new source of instability : lessons from the United States experience
Ehouman, Yao Axel - In: Economic modelling 91 (2020), pp. 198-217
Persistent link: https://www.econbiz.de/10012429033
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How does stock market volatility react to oil price shocks?
Bastianin, Andrea; Manera, Matteo - In: Macroeconomic dynamics 22 (2018) 3, pp. 666-682
Persistent link: https://www.econbiz.de/10011916698
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To what extent are stock returns driven by mean and volatility spillover effects? : evidence from eight European stock markets
Alikhanov, Abdulla - In: Národohospodářský obzor : časopis věnovaný … 13 (2013) 1, pp. 3-29
Persistent link: https://www.econbiz.de/10010193320
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The effects of external uncertainties against monetary policy uncertainty on IRANIAN stock return volatility using GARCH-MIDAS approach
Razmi, Seyedeh Fatemeh; Bajgiran, Bahareh Ramezanian; … - In: International Journal of Energy Economics and Policy : IJEEP 10 (2020) 4, pp. 278-281
Persistent link: https://www.econbiz.de/10012500847
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The impact of macroeconomic factors on the US Stock Exchange
Süslü, Cemil - In: International journal of sustainable economies … 11 (2022) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10014290717
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The effects of oil price shocks on stock market volatility : evidence from European data
Degiannakis, Stavros; Filis, George; Kizys, Renatas - In: The energy journal 35 (2014) 1, pp. 35-56
Persistent link: https://www.econbiz.de/10010246079
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Time-varying correlation between oil and stock market volatilities : evidence from oil-importing and oil-exporting countries
Boldanov, Rustam; Degiannakis, Stavros; Filis, George - In: International review of financial analysis 48 (2016), pp. 209-220
Persistent link: https://www.econbiz.de/10011624489