相关参考文献
注意:仅列出部分参考文献,下载原文获取全部文献信息。Geopolitical risk and crude oil security: A Chinese perspective
Kai-Hua Wang et al.
ENERGY (2021)
Forecasting aggregate market volatility: The role of good and bad uncertainties
Li Liu et al.
JOURNAL OF FORECASTING (2021)
Oil supply risk and affecting parameters associated with oil supplementation and disruption
Wasim Iqbal et al.
JOURNAL OF CLEANER PRODUCTION (2020)
COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach
Arshian Sharif et al.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2020)
Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks
Manabu Asai et al.
INTERNATIONAL JOURNAL OF FORECASTING (2020)
Global Political Uncertainty and Asset Prices
Jonathan Brogaard et al.
REVIEW OF FINANCIAL STUDIES (2020)
Do Asian emerging stock markets react to international economic policy uncertainty and geopolitical risk alike? A quantile regression approach
M. Kannadhasan et al.
FINANCE RESEARCH LETTERS (2020)
Cryptocurrency volatility forecasting: A Markov regime-switching MIDAS approach
Feng Ma et al.
JOURNAL OF FORECASTING (2020)
Is implied volatility more informative for forecasting realized volatility: An international perspective
Chao Liang et al.
JOURNAL OF FORECASTING (2020)
Forecasting stock price volatility: New evidence from the GARCH-MIDAS model
Lu Wang et al.
INTERNATIONAL JOURNAL OF FORECASTING (2020)
Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models
Dexiang Mei et al.
ENERGY ECONOMICS (2020)
Does geopolitical risk strengthen or depress oil prices and financial liquidity? Evidence from Saudi Arabia
Chi-Wei Su et al.
ENERGY (2019)
Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks
Feng Ma et al.
JOURNAL OF EMPIRICAL FINANCE (2019)
Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?
Yue-Jun Zhang et al.
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE (2019)
How do the Renminbi and other East Asian currencies co-move
Benjamin Keddad
JOURNAL OF INTERNATIONAL MONEY AND FINANCE (2019)
Geopolitical risk and oil volatility: A new insight
Jing Liu et al.
ENERGY ECONOMICS (2019)
Sovereign bond return prediction with realized higher moments
Harald Kinateder et al.
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY (2019)
The impact of geopolitical risks on travel and leisure stocks
Sercan Demiralay et al.
TOURISM MANAGEMENT (2019)
What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?
Jamal Bouoiyour et al.
ENERGY ECONOMICS (2019)
Forecasting realised volatility: a Markov switching approach with time-varying transition probabilities
Xunxiao Wang et al.
ACCOUNTING AND FINANCE (2019)
Regime switching in the reactions of stock markets in Saudi Arabia to oil price variations
Jamel Jouini et al.
WORLD ECONOMY (2019)
Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors?
Yaojie Zhang et al.
JOURNAL OF EMPIRICAL FINANCE (2019)
Point and density forecasts of oil returns: The role of geopolitical risks
Vasilios Plakandaras et al.
RESOURCES POLICY (2019)
On the asymmetric impact of macro-variables on volatility
Alessandra Amendola et al.
ECONOMIC MODELLING (2019)
Time-varying effects of oil supply and demand shocks on China's macro-economy
Xu Gong et al.
ENERGY (2018)
The nexus between geopolitical uncertainty and crude oil markets: An entropy-based wavelet analysis
Gazi Salah Uddin et al.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2018)
Time varying risk aversion
Luigi Guiso et al.
JOURNAL OF FINANCIAL ECONOMICS (2018)
Forecasting the WTI crude oil price by a hybrid-refined method
Jian Chai et al.
ENERGY ECONOMICS (2018)
A Markov switching long memory model of crude oil price return volatility
Silvestro Di Sanzo
ENERGY ECONOMICS (2018)
Supply and demand driven oil price changes and their non-linear impact on precious metal returns: A Markov regime switching approach
Gazi Salah Uddin et al.
ENERGY ECONOMICS (2018)
Forecasting crude oil price volatility
Ana Maria Herrera et al.
INTERNATIONAL JOURNAL OF FORECASTING (2018)
TIME-VARYING TRANSITION PROBABILITIES FOR MARKOV REGIME SWITCHING MODELS
Marco Bazzi et al.
JOURNAL OF TIME SERIES ANALYSIS (2017)
Oil price uncertainty and clean energy stock returns: New evidence from crude oil volatility index
Anupam Dutta
JOURNAL OF CLEANER PRODUCTION (2017)
Forecasting the realized volatility of the oil futures market: A regime switching approach
Feng Ma et al.
ENERGY ECONOMICS (2017)
Geopolitical risks and the oil-stock nexus over 1899-2016
Nikolaos Antonakakis et al.
FINANCE RESEARCH LETTERS (2017)
Forecasting oil price realized volatility using information channels from other asset classes
Stavros Degiannakis et al.
JOURNAL OF INTERNATIONAL MONEY AND FINANCE (2017)
Can investor attention predict oil prices?
Liyan Han et al.
ENERGY ECONOMICS (2017)
Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques
Anders Bredahl Kock et al.
ECONOMETRIC REVIEWS (2016)
The impact of oil shocks on exchange rates: A Markov-switching approach
Syed Abul Basher et al.
ENERGY ECONOMICS (2016)
Forecasting crude oil market volatility: A Markov switching multifractal volatility approach
Yudong Wang et al.
INTERNATIONAL JOURNAL OF FORECASTING (2016)
Forecasting the volatility of crude oil futures using HAR-type models with structural breaks
Fenghua Wen et al.
ENERGY ECONOMICS (2016)
Interpreting the crude oil price movements: Evidence from the Markov regime switching model
Yue-Jun Zhang et al.
APPLIED ENERGY (2015)
Good and bad uncertainty: Macroeconomic and financial market implications
Gill Segal et al.
JOURNAL OF FINANCIAL ECONOMICS (2015)
Regime switching model of US crude oil and stock market prices: 1859 to 2013
Mehmet Balcilar et al.
ENERGY ECONOMICS (2015)
Do high-frequency financial data help forecast oil prices? The MIDAS touch at work
Christiane Baumeister et al.
INTERNATIONAL JOURNAL OF FORECASTING (2015)
Forecasting the Equity Risk Premium: The Role of Technical Indicators
Christopher J. Neely et al.
MANAGEMENT SCIENCE (2014)
Forecasting volatility of the U.S. oil market
Erik Haugom et al.
JOURNAL OF BANKING & FINANCE (2014)
Modelling oil price volatility with structural breaks
Afees A. Salisu et al.
ENERGY POLICY (2013)
Beyond one-step-ahead forecasting: Evaluation of alternative multi-step-ahead forecasting models for crude oil prices
Tao Xiong et al.
ENERGY ECONOMICS (2013)
Oil shocks, policy uncertainty and stock market return
Wensheng Kang et al.
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY (2013)
Modeling and forecasting the volatility of petroleum futures prices
Sang Hoon Kang et al.
ENERGY ECONOMICS (2013)
Out-of-Sample Forecast Tests Robust to the Choice of Window Size
Barbara Rossi et al.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2012)
Volatility regimes, asymmetric basis effects and forecasting performance: An empirical investigation of the WTI crude oil futures market
Kuang-Liang Chang
ENERGY ECONOMICS (2012)
Volatility forecast comparison using imperfect volatility proxies
Andrew J. Patton
JOURNAL OF ECONOMETRICS (2011)
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries
George Filis et al.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2011)
THE ASYMMETRIC EFFECTS OF OIL PRICE SHOCKS
Sajjadur Rahman et al.
MACROECONOMIC DYNAMICS (2011)
What has driven oil prices since 2000? A structural change perspective
Ying Fan et al.
ENERGY ECONOMICS (2011)
Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach
Chkili Walid et al.
EMERGING MARKETS REVIEW (2011)
Forecasting crude oil market volatility: Further evidence using GARCH-class models
Yu Wei et al.
ENERGY ECONOMICS (2010)
The asymmetric effects of oil shocks on output growth: A Markov-Switching analysis for the G-7 countries
Alessandro Cologni et al.
ECONOMIC MODELLING (2009)
Predicting excess stock returns out of sample: Can anything beat the historical average?
John Y. Campbell et al.
REVIEW OF FINANCIAL STUDIES (2008)
Rolling-sampled parameters of ARCH and Levy-stable models
Stavros Degiannakis et al.
APPLIED ECONOMICS (2008)
Asymptotics for out of sample tests of Granger causality
Michael W. McCracken
JOURNAL OF ECONOMETRICS (2007)
Approximately normal tests for equal predictive accuracy in nested models
Todd E. Clark et al.
JOURNAL OF ECONOMETRICS (2007)
A test for superior predictive ability
PR Hansen
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2005)
The asymmetry of the impact of oil price shocks on economic activities: An application of the multivariate threshold model
BN Huang et al.
ENERGY ECONOMICS (2005)
IGARCH models and structural breaks
GM Caporale et al.
APPLIED ECONOMICS LETTERS (2003)