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Crude oil price volatility and equity return predictability: A comparative out-of-sample study
16 references·0 citing·42 second hop
Crude oil price volatility and equity return predictability: A comparative out-of-sample study (2020)Crude oil price volatility and equity ret…Measuring Uncertainty (2015)Measuring UncertaintyNot All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …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…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyIrreversibility, Uncertainty, and Investment (1990)Irreversibility, Uncertainty,…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Irreversibility, Uncertainty, and Cyclical Investment (1980)Irreversibility, Uncertainty,…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)Understanding business cycles (1977)The Value of Waiting to Invest (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Policy Uncertainty and Corporate Investment (2015)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Atheoretical macroeconometrics: A critique (1985)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Oil prices, US stock return, and the dependence between their quantiles (2015)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)Business conditions and expected returns on stocks and bonds (1989)Presidential Address: Discount Rates (2011)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)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)Testing the equality of prediction mean squared errors (1997)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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References

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  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

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2,265 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
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