A tug of war of forecasting the US stock market volatility: Oil futures overnight versus intraday information-Reference-Cited by-同舟云学术

A tug of war of forecasting the US stock market volatility: Oil futures overnight versus intraday information

Published:2022-08-31 Issue:1 Volume:42 Page:60-75
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:Journal of Forecasting

Author:

Ma Feng¹^ORCID,Wahab M. I. M.²,Chevallier Julien³⁴,Li Ziyang⁵

Affiliation:

1. School of Economics and Management Southwest Jiaotong University Chengdu China

2. Department of Mechanical and Industrial Engineering Ryerson University Toronto Canada

3. IPAG Lab IPAG Business School Paris France

4. University Paris 8 (LED) Paris France

5. Business School Sichuan University Chengdu China

Funder

National Natural Science Foundation of China

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/for.2903

Reference55 articles.

1. Cross-market volatility index with Factor-DCC

2. Overnight stock returns and realized volatility

3. Out of sample forecasts of quadratic variation

4. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

5. Volatility Forecasting: Downside Risk, Jumps and Leverage Effect

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