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Does the OVX matter for volatility forecasting? Evidence from the crude oil market
16 references·0 citing·41 second hop
Does the OVX matter for volatility forecasting? Evidence from the crude oil market (2017)Does the OVX matter for volatility foreca…Forecasting oil price realized volatility using information channels from other asset classes (2017)Forecasting oil price realize…Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises (2016)Surprise and uncertainty inde…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…Economic policy uncertainty and unemployment in the United States: A nonlinear approach (2016)Economic policy uncertainty a…Measuring Uncertainty (2015)Measuring UncertaintyForecasting realized volatility in a changing world: A dynamic model averaging approach (2015)Forecasting realized volatili…Exploiting the errors: A simple approach for improved volatility forecasting (2015)Exploiting the errors: A simp…Volatility forecast comparison using imperfect volatility proxies (2010)Volatility forecast compariso…Oil Price Uncertainty (2010)Oil Price UncertaintyForecasting volatility of crude oil markets (2008)Forecasting volatility of cru…Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)Forecasting daily variability…A Test for Superior Predictive Ability (2005)A Test for Superior Predictiv…The distribution of realized stock return volatility (2001)The distribution of realized …Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyContinuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)The VIX, the variance premium and stock market volatility (2014)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)The Behavior of Stock-Market Prices (1965)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)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)NONLINEARITIES AND THE MACROECONOMIC EFFECTS OF OIL PRICES (2011)Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries (2013)Oil shocks, policy uncertainty and stock market return (2013)Testing the equality of prediction mean squared errors (1997)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Tests of Conditional Predictive Ability (2006)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Forecasting: theory and practice (2022)The Role of Monetary Policy (1995)The Impact of Uncertainty Shocks (2009)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)Measuring Geopolitical Risk (2022)The Cross-Section of Expected Stock Returns (1992)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Policy Uncertainty and Corporate Investment (2015)COVID-Induced Economic Uncertainty (2020)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Realized Volatility: A Review (2008)The Volatility of Realized Volatility (2008)Parametric and Nonparametric Volatility Measurement (2010)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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  • 2015Forecasting realized volatility in a changing world: A dynamic model averaging approach292 cited
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Forecasting oil price realized volatility using information channels from other asset classes
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