The asymmetric effect of G7 stock market volatility on predicting oil price volatility: Evidence from quantile autoregression model

Author:

Zhang Feipeng,Gao HongfuORCID,Yuan DiORCID

Funder

National Natural Science Foundation of China

Publisher

Elsevier BV

Reference58 articles.

1. Comparing density forecasts via weighted likelihood ratio tests;Amisano;J. Bus. Econ. Stat.,2007

2. Answering the skeptics: yes, standard volatility models do provide accurate forecasts;Andersen;Int. Econ. Rev.,1998

3. Forecasting energy prices: quantile‐based risk models;Apergis;J. Forecast.,2022

4. Oil and stock markets before and after financial crises: a local Gaussian correlation approach;Bampinas;J. Futures Mark.,2017

5. Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle, Chapter Measuring Downside Risk-Realized Semivariance;Barndorff-Nielsen,2010

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