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Global equity market volatility forecasting: New evidence
16 references·2 citing·43 second hop
Global equity market volatility forecasting: New evidence (2020)Global equity market volatility forecasti…Stock Market Volatility and Macroeconomic Fundamentals (2012)Stock Market Volatility and M…Volatility forecast comparison using imperfect volatility proxies (2010)Volatility forecast compariso…THE 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 …Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Oil price shocks and stock ma…Forecasting economic time series using targeted predictors (2008)Forecasting economic time ser…Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Oil price risk and emerging stock markets (2006)Oil price risk and emerging s…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Combination forecasts of output growth in a seven‐country data set (2004)Combination forecasts of outp…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)Volatilities of different tim…Oil and the Stock Markets (1996)Oil and the Stock MarketsOil price uncertainty and stock price crash risk: Evidence from China (2022)Oil price uncertainty and sto…Return connectedness among commodity and financial assets during the COVID-19 pandemic: Evidence from China and the US (2021)Return connectedness among co…The distribution of realized stock return volatility (2001)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)Stock Returns, Real Activity, Inflation, and Money (1981)What is an Oil Shock? (2000)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)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)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Atheoretical macroeconometrics: A critique (1985)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Oil and the Macroeconomy since World War II (1983)Energy shocks and financial markets (1996)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Presidential Address: Discount Rates (2011)Empirical Asset Pricing via Machine Learning (2020)A long memory property of stock market returns and a new model (1993)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Testing for a Unit Root in Time Series Regression (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Renewable energy consumption, CO2 emissions and oil prices in the G7 countries (2009)Oil prices, exchange rates and emerging stock markets (2011)Common risk factors in the returns on stocks and bonds (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Manager sentiment and stock returns (2018)Macroeconomic Forecasting Using Diffusion Indexes (2002)Policy Uncertainty and Corporate Investment (2015)
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References

  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 2009THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*1,837 cited
  • 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited
  • 1996Oil and the Stock Markets1,611 cited
  • 2010Volatility forecast comparison using imperfect volatility proxies1,281 cited
  • 2008Oil price shocks and stock markets in the U.S. and 13 European countries1,264 cited
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
  • 2004Combination forecasts of output growth in a seven‐country data set1,138 cited
  • 2012Stock Market Volatility and Macroeconomic Fundamentals1,122 cited
  • 2006Oil price risk and emerging stock markets932 cited
  • 1997

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Volatilities of different time resolutions — Analyzing the dynamics of market components
745 cited
  • 2008Forecasting economic time series using targeted predictors704 cited
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    • 2021Return connectedness among commodity and financial assets during the COVID-19 pandemic: Evidence from China and the US89 cited
    • 2022Oil price uncertainty and stock price crash risk: Evidence from China77 cited