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Point and Density Forecasts of Oil Returns: The Role of Geopolitical Risks

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  1. Assaf, Ata & Charif, Husni & Mokni, Khaled, 2021. "Dynamic connectedness between uncertainty and energy markets: Do investor sentiments matter?," Resources Policy, Elsevier, vol. 72(C).
  2. Asai, Manabu & Gupta, Rangan & McAleer, Michael, 2020. "Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks," International Journal of Forecasting, Elsevier, vol. 36(3), pages 933-948.
  3. Nonejad, Nima, 2021. "Predicting equity premium using news-based economic policy uncertainty: Not all uncertainty changes are equally important," International Review of Financial Analysis, Elsevier, vol. 77(C).
  4. Layal Mansour-Ichrakieh, 2021. "The Impact of Israeli and Saudi Arabian Geopolitical Risks on the Lebanese Financial Market," JRFM, MDPI, vol. 14(3), pages 1-24, February.
  5. Zhang, Zhikai & Wang, Yudong & Xiao, Jihong & Zhang, Yaojie, 2023. "Not all geopolitical shocks are alike: Identifying price dynamics in the crude oil market under tensions," Resources Policy, Elsevier, vol. 80(C).
  6. Le, Thanh Ha, 2023. "Quantile time-frequency connectedness between cryptocurrency volatility and renewable energy volatility during the COVID-19 pandemic and Ukraine-Russia conflicts," Renewable Energy, Elsevier, vol. 202(C), pages 613-625.
  7. Yang, Jianlei & Yang, Chunpeng, 2021. "The impact of mixed-frequency geopolitical risk on stock market returns," Economic Analysis and Policy, Elsevier, vol. 72(C), pages 226-240.
  8. Li, Yingli & Huang, Jianbai & Chen, Jinyu, 2021. "Dynamic spillovers of geopolitical risks and gold prices: New evidence from 18 emerging economies," Resources Policy, Elsevier, vol. 70(C).
  9. Riza Demirer & Rangan Gupta & Qiang Ji & Aviral Kumar Tiwari, 2018. "Geopolitical Risks and the Predictability of Regional Oil Returns and Volatility," Working Papers 201860, University of Pretoria, Department of Economics.
  10. Faheem Aslam & Paulo Ferreira & Haider Ali & Ana Ercília José, 2022. "Application of Multifractal Analysis in Estimating the Reaction of Energy Markets to Geopolitical Acts and Threats," Sustainability, MDPI, vol. 14(10), pages 1-23, May.
  11. Mansour-Ichrakieh, Layal, 2020. "The impact of Israeli Geopolitical Risks on the Lebanese Financial Market: A Destabilizer Multiplier," MPRA Paper 99376, University Library of Munich, Germany.
  12. Νikolaos A. Kyriazis, 2021. "The effects of geopolitical uncertainty on cryptocurrencies and other financial assets," SN Business & Economics, Springer, vol. 1(1), pages 1-14, January.
  13. Wang, Zhe & Teng, Yin-Pei & Wu, Shuzhao & Liu, Yuxiang & Liu, Xianchang, 2023. "Geopolitical risk, financial system and natural resources extraction: Evidence from China," Resources Policy, Elsevier, vol. 82(C).
  14. Boying Li & Chun-Ping Chang & Yin Chu & Bo Sui, 2020. "Oil prices and geopolitical risks: What implications are offered via multi-domain investigations?," Energy & Environment, , vol. 31(3), pages 492-516, May.
  15. Lee, Chi-Chuan & Tang, Huayun & Li, Ding, 2022. "The roles of oil shocks and geopolitical uncertainties on China’s green bond returns," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 494-505.
  16. Wen, Danyan & Liu, Li & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market returns: Enhanced moving average technical indicators," Resources Policy, Elsevier, vol. 76(C).
  17. Cai, Yifei & Wu, Yanrui, 2021. "Time-varying interactions between geopolitical risks and renewable energy consumption," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 116-137.
  18. Aysan, Ahmet Faruk & Polat, Ali Yavuz & Tekin, Hasan & Tunalı, Ahmet Semih, 2022. "The Ascent of Geopolitics: Scientometric Analysis and Ramifications of Geopolitical Risk," MPRA Paper 112741, University Library of Munich, Germany.
  19. Jiang, Wei & Chen, Yunfei, 2022. "The time-frequency connectedness among metal, energy and carbon markets pre and during COVID-19 outbreak," Resources Policy, Elsevier, vol. 77(C).
  20. Nonejad, Nima, 2022. "An interesting finding about the ability of geopolitical risk to forecast aggregate equity return volatility out-of-sample," Finance Research Letters, Elsevier, vol. 47(PB).
  21. Rangan Gupta & Sayar Karmakar & Christian Pierdzioch, 2022. "Safe Havens, Machine Learning, and the Sources of Geopolitical Risk: A Forecasting Analysis Using Over a Century of Data," Working Papers 202201, University of Pretoria, Department of Economics.
  22. Liu, Jing & Ma, Feng & Tang, Yingkai & Zhang, Yaojie, 2019. "Geopolitical risk and oil volatility: A new insight," Energy Economics, Elsevier, vol. 84(C).
  23. Yang, Cai & Niu, Zibo & Gao, Wang, 2022. "The time-varying effects of trade policy uncertainty and geopolitical risks shocks on the commodity market prices: Evidence from the TVP-VAR-SV approach," Resources Policy, Elsevier, vol. 76(C).
  24. Salisu, Afees A. & Pierdzioch, Christian & Gupta, Rangan, 2021. "Geopolitical risk and forecastability of tail risk in the oil market: Evidence from over a century of monthly data," Energy, Elsevier, vol. 235(C).
  25. Zhang, Zhikai & Wang, Yudong & Li, Bin, 2023. "Asymmetric spillover of geopolitical risk and oil price volatility: A global perspective," Resources Policy, Elsevier, vol. 83(C).
  26. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2022. "Geopolitical risk trends and crude oil price predictability," Energy, Elsevier, vol. 258(C).
  27. Foglia, Matteo & Palomba, Giulio & Tedeschi, Marco, 2023. "Disentangling the geopolitical risk and its effects on commodities. Evidence from a panel of G8 countries," Resources Policy, Elsevier, vol. 85(PB).
  28. Gong, Xu & Sun, Yi & Du, Zhili, 2022. "Geopolitical risk and China's oil security," Energy Policy, Elsevier, vol. 163(C).
  29. Xiafei Li & Yu Wei & Xiaodan Chen & Feng Ma & Chao Liang & Wang Chen, 2022. "Which uncertainty is powerful to forecast crude oil market volatility? New evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4279-4297, October.
  30. Sarit Maitra, 2023. "Impact of Economic Uncertainty, Geopolitical Risk, Pandemic, Financial & Macroeconomic Factors on Crude Oil Returns -- An Empirical Investigation," Papers 2310.01123, arXiv.org, revised Oct 2023.
  31. Lee, Chi-Chuan & Lee, Chien-Chiang & Li, Yong-Yi, 2021. "Oil price shocks, geopolitical risks, and green bond market dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
  32. Qin, Yun & Hong, Kairong & Chen, Jinyu & Zhang, Zitao, 2020. "Asymmetric effects of geopolitical risks on energy returns and volatility under different market conditions," Energy Economics, Elsevier, vol. 90(C).
  33. Ahdi Noomen Ajmi & Roula Inglesi-Lotz, 2021. "Revisiting the Kuznets Curve Hypothesis for Tunisia: Carbon Dioxide vs. Ecological Footprint," Working Papers 202171, University of Pretoria, Department of Economics.
  34. Salisu, Afees A. & Ogbonna, Ahamuefula E. & Vo, Xuan Vinh, 2023. "Oil tail risks and the realized variance of consumer prices in advanced economies," Resources Policy, Elsevier, vol. 83(C).
  35. Li, Sufang & Tu, Dalun & Zeng, Yan & Gong, Chenggang & Yuan, Di, 2022. "Does geopolitical risk matter in crude oil and stock markets? Evidence from disaggregated data," Energy Economics, Elsevier, vol. 113(C).
  36. Song, Yixuan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market volatility: A newspaper-based predictor regarding petroleum market volatility," Resources Policy, Elsevier, vol. 79(C).
  37. Aloui, Donia & Benkraiem, Ramzi & Guesmi, Khaled & Mzoughi, Hela, 2023. "Managing natural resource prices in a geopolitical risk environment," Resources Policy, Elsevier, vol. 83(C).
  38. Guo, Jingjun & Zhao, Zhengling & Sun, Jingyun & Sun, Shaolong, 2022. "Multi-perspective crude oil price forecasting with a new decomposition-ensemble framework," Resources Policy, Elsevier, vol. 77(C).
  39. Cheikh, Nidhaleddine Ben & Zaied, Younes Ben, 2023. "Investigating the dynamics of crude oil and clean energy markets in times of geopolitical tensions," Energy Economics, Elsevier, vol. 124(C).
  40. Si Mohammed, Kamel & Khalfaoui, Rabeh & Doğan, Buhari & Sharma, Gagan Deep & Mentel, Urszula, 2023. "The reaction of the metal and gold resource planning in the post-COVID-19 era and Russia-Ukrainian conflict: Role of fossil fuel markets for portfolio hedging strategies," Resources Policy, Elsevier, vol. 83(C).
  41. Li, Yingli & Huang, Jianbai & Gao, Wang & Zhang, Hongwei, 2021. "Analyzing the time-frequency connectedness among oil, gold prices and BRICS geopolitical risks," Resources Policy, Elsevier, vol. 73(C).
  42. Nonejad, Nima, 2022. "Predicting equity premium out-of-sample by conditioning on newspaper-based uncertainty measures: A comparative study," International Review of Financial Analysis, Elsevier, vol. 83(C).
  43. Guo, Yating & Wong, Wing-Keung & Su, Nan & Ghardallou, Wafa & Orosco Gavilán, Juan Carlos & Uyen, Pham Thi Minh & Cong, Phan The, 2023. "Resource curse hypothesis and economic growth: A global analysis using bootstrapped panel quantile regression analysis," Resources Policy, Elsevier, vol. 85(PA).
  44. Choi, Sun-Yong, 2022. "Evidence from a multiple and partial wavelet analysis on the impact of geopolitical concerns on stock markets in North-East Asian countries," Finance Research Letters, Elsevier, vol. 46(PB).
  45. Gong, Xiao-Li & Feng, Yong-Kang & Liu, Jian-Min & Xiong, Xiong, 2023. "Study on international energy market and geopolitical risk contagion based on complex network," Resources Policy, Elsevier, vol. 82(C).
  46. Xiao, Jihong & Wen, Fenghua & He, Zhifang, 2023. "Impact of geopolitical risks on investor attention and speculation in the oil market: Evidence from nonlinear and time-varying analysis," Energy, Elsevier, vol. 267(C).
  47. Wu, Chunying & Wang, Jianzhou & Hao, Yan, 2022. "Deterministic and uncertainty crude oil price forecasting based on outlier detection and modified multi-objective optimization algorithm," Resources Policy, Elsevier, vol. 77(C).
  48. Xiao, Jihong & Liu, Hong, 2023. "The time-varying impact of uncertainty on oil market fear: Does climate policy uncertainty matter?," Resources Policy, Elsevier, vol. 82(C).
  49. Zhang, Jialin & Shi, Shaodong, 2023. "Extraction of natural resources and geopolitical risk revisited: A novel perspective of research and development with financial development," Resources Policy, Elsevier, vol. 85(PA).
  50. Klepikov, Vladimir Pavlovich & Klepikov, Vladimir Vladimirovich, 2020. "Quantitative approach to estimating crude oil supply in Southern Europe," Resources Policy, Elsevier, vol. 69(C).
  51. Wang, Kai-Hua & Su, Chi-Wei & Umar, Muhammad, 2021. "Geopolitical risk and crude oil security: A Chinese perspective," Energy, Elsevier, vol. 219(C).
  52. Sohag, Kazi & Hammoudeh, Shawkat & Elsayed, Ahmed H. & Mariev, Oleg & Safonova, Yulia, 2022. "Do geopolitical events transmit opportunity or threat to green markets? Decomposed measures of geopolitical risks," Energy Economics, Elsevier, vol. 111(C).
  53. Wang, Lu & Ma, Feng & Hao, Jianyang & Gao, Xinxin, 2021. "Forecasting crude oil volatility with geopolitical risk: Do time-varying switching probabilities play a role?," International Review of Financial Analysis, Elsevier, vol. 76(C).
  54. Hu, Min & Zhang, Dayong & Ji, Qiang & Wei, Lijian, 2020. "Macro factors and the realized volatility of commodities: A dynamic network analysis," Resources Policy, Elsevier, vol. 68(C).
  55. Salisu, Afees A. & Adediran, Idris & Omoke, Philip C. & Tchankam, Jean Paul, 2023. "Gold and tail risks," Resources Policy, Elsevier, vol. 80(C).
  56. Ding, Lili & Zhao, Zhongchao & Han, Meng, 2021. "Probability density forecasts for steam coal prices in China: The role of high-frequency factors," Energy, Elsevier, vol. 220(C).
  57. Evrim Mandaci, Pınar & Azimli, Asil & Mandaci, Nazif, 2023. "The impact of geopolitical risks on connectedness among natural resource commodities: A quantile vector autoregressive approach," Resources Policy, Elsevier, vol. 85(PA).
  58. Nonejad, Nima, 2021. "Predicting the return on the spot price of crude oil out-of-sample by conditioning on news-based uncertainty measures: Some new empirical results," Energy Economics, Elsevier, vol. 104(C).
  59. Tang, Yumei & Chen, Xihui Haviour & Sarker, Provash Kumer & Baroudi, Sarra, 2023. "Asymmetric effects of geopolitical risks and uncertainties on green bond markets," Technological Forecasting and Social Change, Elsevier, vol. 189(C).
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