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Global economic policy uncertainty aligned: An informative predictor for crude oil market volatility
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Global economic policy uncertainty aligned: An informative predictor for crude oil market volatility (2022)Global economic policy uncertainty aligne…Measuring Geopolitical Risk (2022)Measuring Geopolitical RiskMeasuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…Measuring Uncertainty (2015)Measuring UncertaintyInvestor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Investor Sentiment Aligned: A…Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Forecasting the Equity Risk P…Volatility forecast comparison using imperfect volatility proxies (2010)Volatility forecast compariso…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 …Understanding Crude Oil Prices (2008)Understanding Crude Oil PricesA 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…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Oil and the Macroeconomy Since the 1970s (2004)Oil and the Macroeconomy Sinc…This is what happened to the oil price-macroeconomy relationship (1996)This is what happened to the …Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results (1989)Oil and the Macroeconomy When…Oil and the Macroeconomy since World War II (1983)Oil and the Macroeconomy sinc…Climate risk and predictability of global stock market volatility (2025)Climate risk and predictabili…Global financial risk and market connectedness: An empirical analysis of COVOL and major financial markets (2024)Global financial risk and mar…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)Comparing alternative tests of causality in temporal systems (1983)Oil price shocks and stock market activity (1999)What is an Oil Shock? (2000)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)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)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)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)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)Manager sentiment and stock returns (2018)Macroeconomic Forecasting Using Diffusion Indexes (2002)Policy Uncertainty and Corporate Investment (2015)The Role of Monetary Policy (1995)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)Estimation and Inference of Impulse Responses by Local Projections (2005)Geopolitical risk and the systemic risk in the commodity markets under the war in Ukraine (2022)Russia–Ukraine crisis: The effects on the European stock market (2022)The impact of the Russian-Ukrainian war on global financial markets (2023)The Cross-Section of Expected Stock Returns (1992)Postwar U.S. Business Cycles: An Empirical Investigation (1997)COVID-Induced Economic Uncertainty (2020)Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy? (2008)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)The Economic Effects of Energy Price Shocks (2008)
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References

  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 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
  • 1983Oil and the Macroeconomy since World War II3,823 cited
  • 2022Measuring Geopolitical Risk3,788 cited
  • 2015Measuring Uncertainty2,908 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 1996This is what happened to the oil price-macroeconomy relationship1,684 cited
  • 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited
  • 1989Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results1,557 cited
  • 2010Volatility forecast comparison using imperfect volatility proxies1,281 cited
  • 2008Understanding Crude Oil Prices1,270 cited
  • 2004Oil and the Macroeconomy Since the 1970s1,137 cited
  • 2014Investor Sentiment Aligned: A Powerful Predictor of Stock Returns1,129 cited

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  • 2014Forecasting the Equity Risk Premium: The Role of Technical Indicators1,001 cited
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    • 2024Global financial risk and market connectedness: An empirical analysis of COVOL and major financial markets27 cited
    • 2025Climate risk and predictability of global stock market volatility22 cited