Forecasting international equity market volatility: A new approach

Citations

Cited by:

1. Huthaifa Alqaralleh, 2024. "The sovereign Credit Default Swap Spreads and Chinese Sectors Stock Market: A Causality in Quantile and Dependence Analysis," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(4), pages 845-866, December.
2. Ma, Feng & Lyu, Zhichong & Li, Haibo, 2024. "Can ChatGPT predict Chinese equity premiums?," Finance Research Letters, Elsevier, vol. 65(C).
3. Sheng, Lin Wen & Uddin, Gazi Salah & Sen, Ding & Hao, Zhu Shi, 2024. "The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets: A regime weighted measure and its forecast inference," International Review of Financial Analysis, Elsevier, vol. 91(C).
4. Zhang, Yaojie & He, Mengxi & Wang, Yudong & Wen, Danyan, 2025. "Model specification for volatility forecasting benchmark," International Review of Financial Analysis, Elsevier, vol. 97(C).
5. Jin, Daxiang & Yu, Jize, 2023. "Predicting cryptocurrency market volatility: Novel evidence from climate policy uncertainty," Finance Research Letters, Elsevier, vol. 58(PC).
6. Hong, Yanran & Luo, Keyu & Xing, Xiaochao & Wang, Lu & Huynh, Luu Duc Toan, 2024. "Exchange rate movements and the energy transition," Energy Economics, Elsevier, vol. 136(C).
7. Dai, Zhifeng & Luo, Zhuang & Liu, Chang, 2023. "Dynamic volatility spillovers and investment strategies between crude oil, new energy, and resource related sectors," Resources Policy, Elsevier, vol. 83(C).
8. Wu, Hanlin & Li, Pan & Cao, Jiawei & Xu, Zijian, 2024. "Forecasting the Chinese crude oil futures volatility using jump intensity and Markov-regime switching model," Energy Economics, Elsevier, vol. 134(C).
9. Gongyue Jiang & Gaoxiu Qiao & Shiyuan Huang, 2026. "Exploring the Forecasting of Crude Oil, Gold, and Euro Currency Implied Volatility Indices: Insights From the Decomposed Stock Market Volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 45(3), pages 1203-1224, April.
10. Xin Liu & Zhen Xu & Qingxia Zhang & Liang Zhou, 2024. "Multistage Supply Chain Channel Principal-Agent Model in the Context of e-Commerce With Fairness Preference," Evaluation Review, , vol. 48(6), pages 1115-1145, December.
11. Li, Jingwen & Wang, Yue & Song, Yubing & Su, Chi Wei, 2023. "How resistant is gold to stress? New evidence from global supply chain," Resources Policy, Elsevier, vol. 85(PB).
12. Ma, Binfeng & Wang, Xiaofang, 2023. "How does green floating bond and financial sector readiness promote green economic growth evidence from China," Resources Policy, Elsevier, vol. 85(PB).
13. Wang, Jia & Wang, Xinyi & Wang, Xu, 2024. "International oil shocks and the volatility forecasting of Chinese stock market based on machine learning combination models," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
14. Xiaohang Ren & Wanping Yang & Wenting Jiang & Yi Jin, 2026. "Extreme volatility of crude oil futures in the wake of a black swan event," Risk Management, Palgrave Macmillan, vol. 28(2), pages 1-19, May.
15. Li, Yan & Huynh, Luu Duc Toan & Xu, Yongan & Liang, Hao, 2023. "The forecast ability of a belief-based momentum indicator in full-day, daytime, and nighttime volatilities of Chinese oil futures," Energy Economics, Elsevier, vol. 127(PB).
16. Gao, Shang & Zhang, Zhikai & Wang, Yudong & Zhang, Yaojie, 2023. "Forecasting stock market volatility: The sum of the parts is more than the whole," Finance Research Letters, Elsevier, vol. 55(PA).
17. Lin, Wensheng & Wang, Xuewu, 2025. "Regime-dependent volatility spillover asymmetry in Shanghai and Hong Kong stock markets with forecasting and portfolio inferences," Economic Modelling, Elsevier, vol. 152(C).
18. Lu, Xinjie & Su, Yuandong & Huang, Dengshi, 2023. "Chinese agricultural futures volatility: New insights from potential domestic and global predictors," International Review of Financial Analysis, Elsevier, vol. 89(C).
19. Yuetong Zhang & Ying Peng & Yuping Song, 2025. "Realized Volatility Forecasting for Stocks and Futures Indices with Rolling CEEMDAN and Machine Learning Models," Computational Economics, Springer;Society for Computational Economics, vol. 66(2), pages 1215-1268, August.
20. Chen, Juan & Xiao, Zuoping & Bai, Jiancheng & Guo, Hongling, 2023. "Predicting volatility in natural gas under a cloud of uncertainties," Resources Policy, Elsevier, vol. 82(C).
21. Liang, Chao & Huynh, Luu Duc Toan & Li, Yan, 2023. "Market momentum amplifies market volatility risk: Evidence from China’s equity market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
22. Qiu, Rui & Liu, Jing & Li, Yan, 2023. "Long-term adjusted volatility: Powerful capability in forecasting stock market returns," International Review of Financial Analysis, Elsevier, vol. 86(C).
23. Peng, Lijuan & Liang, Chao, 2023. "Sustainable development during the post-COVID-19 period: Role of crude oil," Resources Policy, Elsevier, vol. 85(PA).
24. 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.
25. Su, Yuandong & Liang, Chao & Zhang, Li & Zeng, Qing, 2022. "Uncover the response of the U.S grain commodity market on El Niño–Southern Oscillation," International Review of Economics & Finance, Elsevier, vol. 81(C), pages 98-112.
26. Li, Zepei & Huang, Haizhen, 2023. "Challenges for volatility forecasts of US fossil energy spot markets during the COVID-19 crisis," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 31-45.
27. Li, Xiafei & Guo, Qiang & Liang, Chao & Umar, Muhammad, 2023. "Forecasting gold volatility with geopolitical risk indices," Research in International Business and Finance, Elsevier, vol. 64(C).