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Examining the predictive information of CBOE OVX on China’s oil futures volatility: Evidence from MS-MIDAS models

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Cited by:

  1. Ren, Xiaohang & liu, Ziqing & Jin, Chenglu & Lin, Ruya, 2023. "Oil price uncertainty and enterprise total factor productivity: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 201-218.
  2. Yan, Xiang & Bai, Jiancheng & Li, Xiafei & Chen, Zhonglu, 2022. "Can dimensional reduction technology make better use of the information of uncertainty indices when predicting volatility of Chinese crude oil futures?," Resources Policy, Elsevier, vol. 75(C).
  3. Liu, Wenwen & Gui, Yiming & Qiao, Gaoxiu, 2022. "Dynamics lead-lag relationship of jumps among Chinese stock index and futures market during the Covid-19 epidemic," Research in International Business and Finance, Elsevier, vol. 61(C).
  4. Lyu, Zhichong & Ma, Feng & Zhang, Jixiang, 2023. "Oil futures volatility prediction: Bagging or combination?," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 457-467.
  5. Li, Xiafei & Liao, Yin & Lu, Xinjie & Ma, Feng, 2022. "An oil futures volatility forecast perspective on the selection of high-frequency jump tests," Energy Economics, Elsevier, vol. 116(C).
  6. Virbickaitė, Audronė & Nguyen, Hoang & Tran, Minh-Ngoc, 2023. "Bayesian predictive distributions of oil returns using mixed data sampling volatility models," Resources Policy, Elsevier, vol. 86(PA).
  7. Guo, Xiaozhu & Huang, Dengshi & Li, Xiafei & Liang, Chao, 2023. "Are categorical EPU indices predictable for carbon futures volatility? Evidence from the machine learning method," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 672-693.
  8. Wu, Dan & Dai, Xingyu & Zhao, Ruikun & Cao, Yaru & Wang, Qunwei, 2023. "Pass-through from temperature intervals to China's commodity futures’ interval-valued returns: Evidence from the varying-coefficient ITS model," Finance Research Letters, Elsevier, vol. 58(PA).
  9. Hu, Genhua & Jiang, Haifeng, 2023. "Time-varying jumps in China crude oil futures market impacted by COVID-19 pandemic," Resources Policy, Elsevier, vol. 82(C).
  10. Guo, Yangli & Ma, Feng & Li, Haibo & Lai, Xiaodong, 2022. "Oil price volatility predictability based on global economic conditions," International Review of Financial Analysis, Elsevier, vol. 82(C).
  11. Lang, Qiaoqi & Lu, Xinjie & Ma, Feng & Huang, Dengshi, 2022. "Oil futures volatility predictability: Evidence based on Twitter-based uncertainty," Finance Research Letters, Elsevier, vol. 47(PA).
  12. Lu, Fei & Ma, Feng & Li, Pan & Huang, Dengshi, 2022. "Natural gas volatility predictability in a data-rich world," International Review of Financial Analysis, Elsevier, vol. 83(C).
  13. Xi, Yue & Zeng, Qing & Lu, Xinjie & Huynh, Toan L.D., 2022. "Oil and renewable energy stock markets: Unique role of extreme shocks," Energy Economics, Elsevier, vol. 109(C).
  14. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2022. "The growth of oil futures in China: Evidence of market maturity through global crises," Energy Economics, Elsevier, vol. 114(C).
  15. Wen, Fenghua & Chen, Meng & Zhang, Yun & Miao, Xiao, 2023. "Oil price uncertainty and audit fees: Evidence from the energy industry," Energy Economics, Elsevier, vol. 125(C).
  16. Harrison, Andre & Liu, Xiaochun & Stewart, Shamar L., 2023. "Structural sources of oil market volatility and correlation dynamics," Energy Economics, Elsevier, vol. 121(C).
  17. Li, Dakai, 2024. "Forecasting stock market realized volatility: The role of investor attention to the price of petroleum products," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 115-122.
  18. Fan, Zhenjun & Zhang, Zongyi & Zhao, Yanfei, 2021. "Does oil price uncertainty affect corporate leverage? Evidence from China," Energy Economics, Elsevier, vol. 98(C).
  19. Qiang Ji & Dayong Zhang & Yuqian Zhao, 2022. "Intra-day co-movements of crude oil futures: China and the international benchmarks," Annals of Operations Research, Springer, vol. 313(1), pages 77-103, June.
  20. Huang, Wenyang & Gao, Tianxiao & Hao, Yun & Wang, Xiuqing, 2023. "Transformer-based forecasting for intraday trading in the Shanghai crude oil market: Analyzing open-high-low-close prices," Energy Economics, Elsevier, vol. 127(PA).
  21. Guo, Lili & Huang, Xinya & Li, Yanjiao & Li, Houjian, 2023. "Forecasting crude oil futures price using machine learning methods: Evidence from China," Energy Economics, Elsevier, vol. 127(PA).
  22. Lu, Xinjie & Ma, Feng & Wang, Tianyang & Wen, Fenghua, 2023. "International stock market volatility: A data-rich environment based on oil shocks," Journal of Economic Behavior & Organization, Elsevier, vol. 214(C), pages 184-215.
  23. Hong, Yanran & Wang, Lu & Liang, Chao & Umar, Muhammad, 2022. "Impact of financial instability on international crude oil volatility: New sight from a regime-switching framework," Resources Policy, Elsevier, vol. 77(C).
  24. Niu, Zibo & Ma, Feng & Zhang, Hongwei, 2022. "The role of uncertainty measures in volatility forecasting of the crude oil futures market before and during the COVID-19 pandemic," Energy Economics, Elsevier, vol. 112(C).
  25. Ma, Feng & Guo, Yangli & Chevallier, Julien & Huang, Dengshi, 2022. "Macroeconomic attention, economic policy uncertainty, and stock volatility predictability," International Review of Financial Analysis, Elsevier, vol. 84(C).
  26. Lu, Xinjie & Ma, Feng & Wang, Jiqian & Zhu, Bo, 2021. "Oil shocks and stock market volatility: New evidence," Energy Economics, Elsevier, vol. 103(C).
  27. Wang, Xiong & Li, Jingyao & Ren, Xiaohang, 2022. "Asymmetric causality of economic policy uncertainty and oil volatility index on time-varying nexus of the clean energy, carbon and green bond," International Review of Financial Analysis, Elsevier, vol. 83(C).
  28. Guo, Yangli & He, Feng & Liang, Chao & Ma, Feng, 2022. "Oil price volatility predictability: New evidence from a scaled PCA approach," Energy Economics, Elsevier, vol. 105(C).
  29. Zhang, Dongyang & Bai, Dingchuan & Chen, Xingyu, 2024. "Can crude oil futures market volatility motivate peer firms in competing ESG performance? An exploration of Shanghai International Energy Exchange," Energy Economics, Elsevier, vol. 129(C).
  30. Xinjie Lu & Feng Ma & Jiqian Wang & Jing Liu, 2022. "Forecasting oil futures realized range‐based volatility with jumps, leverage effect, and regime switching: New evidence from MIDAS models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 853-868, July.
  31. Li, Xiafei & Liang, Chao & Chen, Zhonglu & Umar, Muhammad, 2022. "Forecasting crude oil volatility with uncertainty indicators: New evidence," Energy Economics, Elsevier, vol. 108(C).
  32. Naeem, Muhammad Abubakr & Gul, Raazia & Shafiullah, Muhammad & Karim, Sitara & Lucey, Brian M., 2024. "Tail risk spillovers between Shanghai oil and other markets," Energy Economics, Elsevier, vol. 130(C).
  33. Liu, Min & Lee, Chien-Chiang, 2021. "Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting," Energy Economics, Elsevier, vol. 103(C).
  34. Das, Debojyoti & Maitra, Debasish & Dutta, Anupam & Basu, Sankarshan, 2022. "Financial stress and crude oil implied volatility: New evidence from continuous wavelet transformation framework," Energy Economics, Elsevier, vol. 115(C).
  35. Shao Ying-Hui & Liu Ying-Lin & Yang Yan-Hong, 2022. "The short-term effect of COVID-19 pandemic on China's crude oil futures market: A study based on multifractal analysis," Papers 2204.05199, arXiv.org.
  36. Shen, Lihua & Lu, Xinjie & Luu Duc Huynh, Toan & Liang, Chao, 2023. "Air quality index and the Chinese stock market volatility: Evidence from both market and sector indices," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 224-239.
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