Forecasting the dynamic relationship between crude oil and stock prices since the 19th century
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DOI: 10.1016/j.jcomm.2021.100169
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- Ivanovski, Kris & Hailemariam, Abebe, 2022. "Time-varying geopolitical risk and oil prices," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 206-221.
- Rice, Gregory & Wirjanto, Tony & Zhao, Yuqian, 2023. "Exploring volatility of crude oil intraday return curves: A functional GARCH-X model," Journal of Commodity Markets, Elsevier, vol. 32(C).
- Yingchao Zou & Kaijian He, 2022. "Forecasting Crude Oil Risk Using a Multivariate Multiscale Convolutional Neural Network Model," Mathematics, MDPI, vol. 10(14), pages 1-11, July.
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More about this item
Keywords
Forecasting; Oil price; Stock price; Volatility and correlation; Multivariate GAS model; DCC-GARCH model;All these keywords.
JEL classification:
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
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