Uncertainty‐driven oil volatility risk premium and international stock market volatility forecasting-Reference-Cited by-同舟云学术

Uncertainty‐driven oil volatility risk premium and international stock market volatility forecasting

Published:2022-11-11 Issue: Volume: Page:
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:Journal of Forecasting

Author:

Fang Tong¹^ORCID,Miao Deyu¹²,Su Zhi³,Yin Libo⁴^ORCID

Affiliation:

1. School of Economics Shandong University Jinan China

2. School of Economics Fudan University Shanghai China

3. School of Statistics and Mathematics Central University of Finance and Economics Beijing China

4. School of Finance Central University of Finance and Economics Beijing China

Funder

National Natural Science Foundation of China

Natural Science Foundation of Shandong Province

Shandong University

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.2923

Reference89 articles.

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2. Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China

3. The distribution of realized stock return volatility

4. Andersen T. G. Bollerslev T. & Diebold F. X. (2007). Roughing It Up: Including Jump Components in the Measurement Modeling and Forecasting of Return Volatility. Review of Economics and Statistics 89(4) 701–720.https://doi.org/10.1162/rest.89.4.701

5. Modeling and Forecasting Realized Volatility

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