SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Oil price volatility predictability: New evidence from a scaled PCA approach
16 references·0 citing·45 second hopsampled
Oil price volatility predictability: New evidence from a scaled PCA approach (2021)Oil price volatility predictability: New …Risk Everywhere: Modeling and Managing Volatility (2018)Risk Everywhere: Modeling and…Empirical Asset Pricing via Machine Learning (2018)Empirical Asset Pricing via M…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…The three-pass regression filter: A new approach to forecasting using many predictors (2015)The three-pass regression fil…Economic policy uncertainty and stock market volatility (2015)Economic policy uncertainty a…The Effects of Oil Price Uncertainty on Global Real Economic Activity (2014)The Effects of Oil Price Unce…Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Investor Sentiment Aligned: A…Market Expectations in the Cross‐Section of Present Values (2013)Market Expectations in the Cr…Out-of-Sample Forecast Tests Robust to the Choice of Window Size (2012)Out-of-Sample Forecast Tests …Forecasting the Equity Risk Premium: The Role of Technical Indicators (2011)Forecasting the Equity Risk P…Deja Vol: Predictive Regressions for Aggregate Stock Market Volatility Using Macroeconomic Variables (2011)Deja Vol: Predictive Regressi…Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Out-of-Sample Equity Premium …Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)Forecasting daily variability…Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Economic policy uncertainty and stock markets: Long-run evidence from the US (2016)Oil price shocks, policy uncertainty, and stock returns of oil and gas corporations (2016)Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression (2017)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)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)Manager sentiment and stock returns (2018)Forecasting: theory and practice (2022)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Text as Data (2019)The General Theory of Employment, Interest and Money. (1936)On Persistence in Mutual Fund Performance (1997)Forecasting Stock Returns (2013)Aggregate Short Interest and Return Predictability (2014)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Realized Variance and Market Microstructure Noise (2006)Dividend yields and expected stock returns (1988)Macroeconomic Forecasting Using Diffusion Indexes (2002)Policy Uncertainty and Corporate Investment (2015)Option pricing when underlying stock returns are discontinuous (1976)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)The VIX, the variance premium and stock market volatility (2014)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)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)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2016Measuring Economic Policy Uncertainty*12,809 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,586 cited
  • 2014Investor Sentiment Aligned: A Powerful Predictor of Stock Returns1,129 cited
  • 2011Forecasting the Equity Risk Premium: The Role of Technical Indicators1,020 cited
  • 2013Market Expectations in the Cross‐Section of Present Values577 cited
  • 2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements552 cited
  • 2015Economic policy uncertainty and stock market volatility538 cited
  • 2011Deja Vol: Predictive Regressions for Aggregate Stock Market Volatility Using Macroeconomic Variables486 cited
  • 2015The three-pass regression filter: A new approach to forecasting using many predictors419 cited
  • 2012Out-of-Sample Forecast Tests Robust to the Choice of Window Size419 cited
  • 2018Empirical Asset Pricing via Machine Learning410 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2018Risk Everywhere: Modeling and Managing Volatility379 cited
  • 2014The Effects of Oil Price Uncertainty on Global Real Economic Activity308 cited
  • Cited by

    No citing works inside the corpus for this window.