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Is investor sentiment stronger than VIX and uncertainty indices in predicting energy volatility?
16 references·5 citing·45 second hop
Is investor sentiment stronger than VIX and uncertainty indices in predicting energy volatility? (2021)Is investor sentiment stronger than VIX a…Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors? (2019)Forecasting crude oil prices …Risk Everywhere: Modeling and Managing Volatility (2018)Risk Everywhere: Modeling and…Forecasting oil price realized volatility using information channels from other asset classes (2017)Forecasting oil price realize…The VIX, the variance premium and stock market volatility (2014)The VIX, the variance premium…Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Investor Sentiment Aligned: A…Out-of-Sample Forecast Tests Robust to the Choice of Window Size (2012)Out-of-Sample Forecast Tests …A comprehensive look at financial volatility prediction by economic variables (2012)A comprehensive look at finan…‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables (2012)‘Déjà vol’: Predictive regres…The Volatility of Realized Volatility (2008)The Volatility of Realized Vo…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…Modelling oil price volatility (2007)Modelling oil price volatilityApproximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…The distribution of realized stock return volatility (2001)The distribution of realized …The Investor Fear Gauge (2000)The Investor Fear GaugeExpected stock returns and volatility (1987)Expected stock returns and vo…Evolution of investor sentiment: A systematic literature review and bibliometric analysis (2025)Evolution of investor sentime…VIX and major agricultural future markets: dynamic linkage and time-frequency relations around the COVID-19 outbreak (2022)VIX and major agricultural fu…Oil price volatility forecasting: Threshold effect from stock market volatility (2022)Oil price volatility forecast…Financial stress spillover network across Asian countries in the context of COVID-19 (2022)Financial stress spillover ne…Do oil, gold and metallic price volatilities prove gold as a safe haven during COVID-19 pandemic? Novel evidence from COVID-19 data (2022)Do oil, gold and metallic pri…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)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: Heuristics and Biases (1975)Tail risk premia and return predictability (2015)A Theory of Cognitive Dissonance (2017)Cryptocurrency: A New Investment Opportunity? (2017)Manager sentiment and stock returns (2018)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Model Specification and Risk Premia: Evidence from Futures Options (2007)Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2016)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Multivariate high‐frequency‐based volatility (HEAVY) models (2011)Volatility transmission in emerging European foreign exchange markets (2011)Forecasting realized volatility in a changing world: A dynamic model averaging approach (2015)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)The Impact of Uncertainty Shocks (2009)Exploiting the errors: A simple approach for improved volatility forecasting (2015)The Asset Redeployability Channel: How Uncertainty Affects Corporate Investment (2016)The Time Variation in Risk Appetite and Uncertainty (2021)Macroeconomic Forecasting Using Diffusion Indexes (2002)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Policy Uncertainty and Corporate Investment (2015)Testing for a Unit Root in Time Series Regression (1988)An intertemporal CAPM with stochastic volatility (2018)The impact of sentiment and attention measures on stock market volatility (2019)Deaths, Panic, Lockdowns and US Equity Markets: The Case of COVID-19 Pandemic (2020)Option pricing when underlying stock returns are discontinuous (1976)Expected Stock Returns and Variance Risk Premia (2009)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)
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References

  • 1987Expected stock returns and volatility4,147 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
  • 2014Investor Sentiment Aligned: A Powerful Predictor of Stock Returns1,129 cited
  • 2000The Investor Fear Gauge1,097 cited
  • 2014The VIX, the variance premium and stock market volatility812 cited
  • 2012‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables486 cited
  • 2008The Volatility of Realized Volatility421 cited
  • 2012Out-of-Sample Forecast Tests Robust to the Choice of Window Size404 cited
  • 2018Risk Everywhere: Modeling and Managing Volatility357 cited
  • 2019Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors?290 cited
  • 2017Forecasting oil price realized volatility using information channels from other asset classes284 cited
  • 2007Modelling oil price volatility

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281 cited
  • 2012A comprehensive look at financial volatility prediction by economic variables275 cited
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    • 2022Do oil, gold and metallic price volatilities prove gold as a safe haven during COVID-19 pandemic? Novel evidence from COVID-19 data74 cited
    • 2022Oil price volatility forecasting: Threshold effect from stock market volatility61 cited
    • 2022VIX and major agricultural future markets: dynamic linkage and time-frequency relations around the COVID-19 outbreak27 cited
    • 2025Evolution of investor sentiment: A systematic literature review and bibliometric analysis21 cited
    • 2022Financial stress spillover network across Asian countries in the context of COVID-1920 cited