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Impact of financial instability on international crude oil volatility: New sight from a regime-switching framework
16 references·0 citing·42 second hopsampled
Impact of financial instability on international crude oil volatility: New sight from a regime-switching framework (2022)Impact of financial instability on intern…Oil prices and financial stress: A volatility spillover analysis (2015)Oil prices and financial stre…Forecasting the volatility of crude oil futures using intraday data (2014)Forecasting the volatility of…Out-of-Sample Forecast Tests Robust to the Choice of Window Size (2012)Out-of-Sample Forecast Tests …THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE IMPACT OF OIL PRICE SHOCK…Financial Stress: What Is It, How Can It Be Measured, and Why Does It Matter? (2009)Financial Stress: What Is It,…Financial Stress: What Is It, How Can It Be Measured, and Why Does It Matter? (2009)Financial Stress: What Is It,…Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…Modeling and forecasting petroleum futures volatility (2006)Modeling and forecasting petr…Measuring financial stress in a developed country: An application to Canada (2006)Measuring financial stress in…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Improving GARCH volatility forecasts with regime-switching GARCH (2002)Improving GARCH volatility fo…Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models (1998)Asymptotic Null Distribution …Business-Cycle Phases and Their Transitional Dynamics (1994)Business-Cycle Phases and The…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…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)STOCK PRICES, REAL ACTIVITY, INFLATION AND MONEY (1981)What is an Oil Shock? (2000)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)ARCH modeling in finance (1992)Currency crashes in emerging markets: An empirical treatment (1996)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)CISS - A Composite Indicator of Systemic Stress in the Financial System (2010)MACROPRUDENTIAL POLICY – A LITERATURE REVIEW (2010)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)New Indexes of Coincident and Leading Economic Indicators (1989)The federal funds rate and the channels of monetary transmission (1989)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Output Fluctuations in the United States: What Has Changed Since the Early 1980's? (2000)SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS (2002)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle (1999)Dividend yields and expected stock returns (1988)Comparing Predictive Accuracy (1994)Macroeconomic Forecasting Using Diffusion Indexes (2002)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Policy Uncertainty and Corporate Investment (2015)How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes (2004)The use of GARCH models in VaR estimation (2004)Regime switching for dynamic correlations (2006)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)International Asset Allocation With Regime Shifts (2002)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,836 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 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
  • 2009THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*1,837 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 1994Business-Cycle Phases and Their Transitional Dynamics883 cited
  • 2006Measuring financial stress in a developed country: An application to Canada569 cited
  • 1998Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models551 cited
  • 2002Improving GARCH volatility forecasts with regime-switching GARCH487 cited
  • 2006Modeling and forecasting petroleum futures volatility479 cited
  • 2009Financial Stress: What Is It, How Can It Be Measured, and Why Does It Matter?440 cited
  • 2012Out-of-Sample Forecast Tests Robust to the Choice of Window Size404 cited
  • 2009Financial Stress: What Is It, How Can It Be Measured, and Why Does It Matter?316 cited
  • 2014

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Forecasting the volatility of crude oil futures using intraday data
263 cited
  • 2015Oil prices and financial stress: A volatility spillover analysis221 cited
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