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Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? New evidence

Author

Listed:
  • Jiqian Wang
  • Yisu Huang
  • Feng Ma
  • Julien Chevallier

    (LED - Laboratoire d'Economie Dionysien - UP8 - Université Paris 8 Vincennes-Saint-Denis)

Abstract

No abstract is available for this item.

Suggested Citation

  • Jiqian Wang & Yisu Huang & Feng Ma & Julien Chevallier, 2020. "Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? New evidence," Post-Print halshs-04250251, HAL.
    • Handle: RePEc:hal:journl:halshs-04250251
    DOI: 10.1016/j.eneco.2020.104897
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    Cited by:

    1. Ghani, Usman & Zhu, Bo & Ghani, Maria & Khan, Nasir & khan, Raja Danish Akbar, 2023. "Role of oil shocks in US stock market volatility: A new insight from GARCH-MIDAS perspective," Resources Policy, Elsevier, vol. 85(PB).
    2. Maria Ghani & Usman Ghani, 2024. "Economic Policy Uncertainty and Emerging Stock Market Volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(1), pages 165-181, March.
    3. Si Mohammed, Kamel & Tedeschi, Marco & Mallek, Sabrine & Tarczyńska-Łuniewska, Małgorzata & Zhang, Anqi, 2023. "Realized semi variance quantile connectedness between oil prices and stock market: Spillover from Russian-Ukraine clash," Resources Policy, Elsevier, vol. 85(PA).
    4. Luo, Qin & Bu, Jinfeng & Xu, Weiju & Huang, Dengshi, 2023. "Stock market volatility prediction: Evidence from a new bagging model," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 445-456.
    5. Nikitopoulos, Christina Sklibosios & Thomas, Alice Carole & Wang, Jianxin, 2023. "The economic impact of daily volatility persistence on energy markets," Journal of Commodity Markets, Elsevier, vol. 30(C).

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