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Oil volatility risk and stock market volatility predictability: Evidence from G7 countries
16 references·4 citing·46 second hop
Oil volatility risk and stock market volatility predictability: Evidence from G7 countries (2017)Oil volatility risk and stock market vola…Measuring Uncertainty (2015)Measuring UncertaintyTHE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE IMPACT OF OIL PRICE SHOCK…Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Out-of-Sample Equity Premium …Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…Comparing Predictive Accuracy (2002)Comparing Predictive AccuracyRisks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyEconomic Forces and the Stock Market (1986)Economic Forces and the Stock…Oil and the Macroeconomy since World War II (1983)Oil and the Macroeconomy sinc…Forecasting stock market volatility: Can the risk aversion measure exert an important role? (2021)Forecasting stock market vola…Crude oil price volatility and equity return predictability: A comparative out-of-sample study (2020)Crude oil price volatility an…Energy commodity uncertainties and the systematic risk of US industries (2019)Energy commodity uncertaintie…Economic policy uncertainty and the Chinese stock market volatility: new evidence (2019)Economic policy uncertainty a…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)Comparing alternative tests of causality in temporal systems (1983)This is what happened to the oil price-macroeconomy relationship (1996)Oil price shocks and stock market activity (1999)What is an Oil Shock? (2000)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Macroeconomic Forecasting Using Diffusion Indexes (2002)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Policy Uncertainty and Corporate Investment (2015)The Cross-Section of Expected Stock Returns (1992)Postwar U.S. Business Cycles: An Empirical Investigation (1997)The Impact of Uncertainty Shocks (2009)Measuring Economic Policy Uncertainty* (2016)COVID-Induced Economic Uncertainty (2020)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
this work references cited by second hop

References

  • 1994Comparing Predictive Accuracy5,495 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1983Oil and the Macroeconomy since World War II3,823 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 2015Measuring Uncertainty2,908 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2009THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*1,837 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 2002Comparing Predictive Accuracy1,745 cited
  • 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited

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2006
Tests of Conditional Predictive Ability
1,667 cited

Cited by

  • 2019Economic policy uncertainty and the Chinese stock market volatility: new evidence63 cited
  • 2019Energy commodity uncertainties and the systematic risk of US industries63 cited
  • 2021Forecasting stock market volatility: Can the risk aversion measure exert an important role?25 cited
  • 2020Crude oil price volatility and equity return predictability: A comparative out-of-sample study21 cited