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Yudong Wang

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Davide Pettenuzzo & Zhiyuan Pan & Yudong Wang, 2017. "Forecasting Stock Returns: A Predictor-Constrained Approach," Working Papers 116, Brandeis University, Department of Economics and International Business School.

    Cited by:

    1. Giovannelli, Alessandro & Massacci, Daniele & Soccorsi, Stefano, 2021. "Forecasting stock returns with large dimensional factor models," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 252-269.
    2. Liang, Chao & Xu, Yongan & Wang, Jianqiong & Yang, Mo, 2022. "Whether dimensionality reduction techniques can improve the ability of sentiment proxies to predict stock market returns," International Review of Financial Analysis, Elsevier, vol. 82(C).
    3. Wang, Yunqi & Zhou, Ti, 2023. "Out-of-sample equity premium prediction: The role of option-implied constraints," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 199-226.
    4. Nonejad, Nima, 2022. "Predicting equity premium out-of-sample by conditioning on newspaper-based uncertainty measures: A comparative study," International Review of Financial Analysis, Elsevier, vol. 83(C).
    5. Yi, Yongsheng & Ma, Feng & Zhang, Yaojie & Huang, Dengshi, 2018. "Forecasting the prices of crude oil using the predictor, economic and combined constraints," Economic Modelling, Elsevier, vol. 75(C), pages 237-245.
    6. Nonejad, Nima, 2022. "Forecasting crude oil price volatility out-of-sample using news-based geopolitical risk index: What forms of nonlinearity help improve forecast accuracy the most?," Finance Research Letters, Elsevier, vol. 46(PA).
    7. Nonejad, Nima, 2023. "Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 91-122.
    8. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2022. "Geopolitical risk trends and crude oil price predictability," Energy, Elsevier, vol. 258(C).
    9. Joao F. Caldeira & Rangan Gupta & Hudson S. Torrent, 2020. "Forecasting U.S. Aggregate Stock Market Excess Return: Do Functional Data Analysis Add Economic Value?," Working Papers 202087, University of Pretoria, Department of Economics.
    10. Nima Nonejad, 2021. "Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables," Quantitative Finance, Taylor & Francis Journals, vol. 21(8), pages 1387-1411, August.
    11. Navratil, Robert & Taylor, Stephen & Vecer, Jan, 2021. "On equity market inefficiency during the COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 77(C).
    12. Dai, Zhifeng & Kang, Jie & Wen, Fenghua, 2021. "Predicting stock returns: A risk measurement perspective," International Review of Financial Analysis, Elsevier, vol. 74(C).
    13. Nonejad, Nima, 2021. "Predicting equity premium using news-based economic policy uncertainty: Not all uncertainty changes are equally important," International Review of Financial Analysis, Elsevier, vol. 77(C).
    14. Zhang, Yue-Jun & Li, Zhao-Chen, 2021. "Forecasting the stock returns of Chinese oil companies: Can investor attention help?," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 531-555.
    15. Nonejad, Nima, 2021. "Predicting equity premium using dynamic model averaging. Does the state–space representation matter?," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    16. Wang, Yudong & Pan, Zhiyuan & Wu, Chongfeng & Wu, Wenfeng, 2020. "Industry equi-correlation: A powerful predictor of stock returns," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 1-24.
    17. Jonathan A. Batten & Harald Kinateder & Niklas Wagner, 2022. "Beating the Average: Equity Premium Variations, Uncertainty, and Liquidity," Abacus, Accounting Foundation, University of Sydney, vol. 58(3), pages 567-588, September.
    18. Nonejad, Nima, 2022. "Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).

Articles

  1. Mengxi He & Yaojie Zhang & Yudong Wang & Danyan Wen, 2024. "Modelling and forecasting crude oil price volatility with climate policy uncertainty," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-10, December.

    Cited by:

    1. Fei Lu & Feng Ma & Elie Bouri, 2024. "Stock market volatility predictability: new evidence from energy consumption," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-17, December.
    2. Gong, Xue & Xu, Weijun & Li, Xiaodan & Gong, Xue, 2024. "Presidential economic approval rating and global foreign exchange market volatility," International Review of Financial Analysis, Elsevier, vol. 96(PB).

  2. Zhikai Zhang & Yaojie Zhang & Yudong Wang & Qunwei Wang, 2024. "The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 557-584, April.

    Cited by:

    1. Małgorzata Błażejowska & Anna Czarny & Iwona Kowalska & Andrzej Michalczewski & Paweł Stępień, 2025. "The Hedging Strategies of Enterprises in the European Union Allowances Market—Implementation Actions for Sustainable Development," Sustainability, MDPI, vol. 17(5), pages 1-27, February.

  3. Zhang, Yaojie & Song, Bingheng & He, Mengxi & Wang, Yudong, 2024. "Abnormal temperature and the cross-section of stock returns in China," International Review of Financial Analysis, Elsevier, vol. 94(C).

    Cited by:

    1. Zhang, Yaojie & Zhang, Yuxuan & Ren, Xinrui & Jin, Meichen, 2024. "Geopolitical risk exposure and stock returns: Evidence from China," Finance Research Letters, Elsevier, vol. 64(C).

  4. Wen, Danyan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2024. "Forecasting crude oil market volatility: A comprehensive look at uncertainty variables," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1022-1041.

    Cited by:

    1. Wen, Danyan & Wang, Huihui & Wang, Yudong & Xiao, Jihong, 2024. "Crude oil futures and the short-term price predictability of petroleum products," Energy, Elsevier, vol. 307(C).
    2. Gong, Xue & Xu, Weijun & Li, Xiaodan & Gong, Xue, 2024. "Presidential economic approval rating and global foreign exchange market volatility," International Review of Financial Analysis, Elsevier, vol. 96(PB).
    3. He, Mengxi & Zhang, Zhikai & Zhang, Yaojie, 2024. "Forecasting crude oil prices with global ocean temperatures," Energy, Elsevier, vol. 311(C).

  5. Xianfeng Hao & Yudong Wang, 2023. "Cloud cover and expected oil returns," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-10, December.

    Cited by:

    1. Wen, Danyan & Wang, Huihui & Wang, Yudong & Xiao, Jihong, 2024. "Crude oil futures and the short-term price predictability of petroleum products," Energy, Elsevier, vol. 307(C).
    2. Mengxi He & Yaojie Zhang & Yudong Wang & Danyan Wen, 2024. "Modelling and forecasting crude oil price volatility with climate policy uncertainty," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-10, December.

  6. Zhang, Yaojie & He, Mengxi & Wang, Yudong & Liang, Chao, 2023. "Global economic policy uncertainty aligned: An informative predictor for crude oil market volatility," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1318-1332.

    Cited by:

    1. Gong, Xue & Lai, Ping & He, Mengxi & Wen, Danyan, 2024. "Climate risk and energy futures high frequency volatility prediction," Energy, Elsevier, vol. 307(C).
    2. Li, Zhao-Chen & Xie, Chi & Wang, Gang-Jin & Zhu, You & Zeng, Zhi-Jian & Gong, Jue, 2024. "Forecasting global stock market volatilities: A shrinkage heterogeneous autoregressive (HAR) model with a large cross-market predictor set," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 673-711.
    3. Wen, Danyan & Wang, Huihui & Wang, Yudong & Xiao, Jihong, 2024. "Crude oil futures and the short-term price predictability of petroleum products," Energy, Elsevier, vol. 307(C).
    4. He, Mengxi & Wen, Danyan & Xing, Lu & Zhang, Yaojie, 2024. "Industry volatility concentration and the predictability of aggregate stock market volatility," International Review of Economics & Finance, Elsevier, vol. 95(C).
    5. He, Mengxi & Shen, Lihua & Zhang, Yaojie & Zhang, Yi, 2023. "Predicting cryptocurrency returns for real-world investments: A daily updated and accessible predictor," Finance Research Letters, Elsevier, vol. 58(PA).
    6. Zeng, Qing & Tang, Yusui & Yang, Hua & Zhang, Xi, 2024. "Stock market volatility and economic policy uncertainty: New insight into a dynamic threshold mixed-frequency model," Finance Research Letters, Elsevier, vol. 59(C).
    7. Yaojie Zhang & Qingxiang Han & Mengxi He, 2024. "Forecasting stock market returns with a lottery index: Evidence from China," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1595-1606, August.
    8. Lang, Chunlin & Xu, Danyang & Corbet, Shaen & Hu, Yang & Goodell, John W., 2024. "Global financial risk and market connectedness: An empirical analysis of COVOL and major financial markets," International Review of Financial Analysis, Elsevier, vol. 93(C).
    9. Xu, Yongan & Duong, Duy & Xu, Hualong, 2023. "Attention! Predicting crude oil prices from the perspective of extreme weather," Finance Research Letters, Elsevier, vol. 57(C).
    10. Luo, Tao & Sun, Huaping & Zhang, Lixia & Bai, Jiancheng, 2024. "Do the dynamics of macroeconomic attention drive the yen/dollar exchange market volatility?," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 597-611.
    11. Amar Rao & Marco Tedeschi & Kamel Si Mohammed & Umer Shahzad, 2024. "Role of Economic Policy Uncertainty in Energy Commodities Prices Forecasting: Evidence from a Hybrid Deep Learning Approach," Computational Economics, Springer;Society for Computational Economics, vol. 64(6), pages 3295-3315, December.
    12. Zhu, Jiaji & Han, Wei & Zhang, Junchao, 2023. "Does climate risk matter for gold price volatility?," Finance Research Letters, Elsevier, vol. 58(PC).
    13. Li, Xinyu & Wu, Meng & Yuan, Luqi & Xiao, Meng & Zhong, Ronghao & Yu, Miao, 2024. "Uncertainties and oil price volatility: Can lasso help?," Finance Research Letters, Elsevier, vol. 61(C).
    14. Wen, Danyan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2024. "Forecasting crude oil market volatility: A comprehensive look at uncertainty variables," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1022-1041.
    15. Che, Ming & Wang, Li & Li, Yujia, 2024. "Global economic policy uncertainty and oil price uncertainty: Which is more important for global economic activity?," Energy, Elsevier, vol. 310(C).
    16. Li, Yan & Huynh, Luu Duc Toan & Xu, Yongan & Liang, Hao, 2023. "The forecast ability of a belief-based momentum indicator in full-day, daytime, and nighttime volatilities of Chinese oil futures," Energy Economics, Elsevier, vol. 127(PB).
    17. He, Mengxi & Zhang, Zhikai & Zhang, Yaojie, 2024. "Forecasting crude oil prices with global ocean temperatures," Energy, Elsevier, vol. 311(C).
    18. Gaoxiu Qiao & Yijun Pan & Chao Liang & Lu Wang & Jinghui Wang, 2024. "Forecasting Chinese crude oil futures volatility: New evidence based on dual feature processing of large‐scale variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2495-2521, November.

  7. Song, Yixuan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2023. "Forecasting crude oil prices: A reduced-rank approach," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 698-711.

    Cited by:

    1. Dong, Xianzhou & Guo, Weiyong & Zhou, Cheng & Luo, Yongqiang & Tian, Zhiyong & Zhang, Limao & Wu, Xiaoying & Liu, Baobing, 2024. "Hybrid model for robust and accurate forecasting building electricity demand combining physical and data-driven methods," Energy, Elsevier, vol. 311(C).
    2. Bai, Yun & Deng, Shuyun & Pu, Ziqiang & Li, Chuan, 2024. "Carbon price forecasting using leaky integrator echo state networks with the framework of decomposition-reconstruction-integration," Energy, Elsevier, vol. 305(C).
    3. Gong, Xue & Lai, Ping & He, Mengxi & Wen, Danyan, 2024. "Climate risk and energy futures high frequency volatility prediction," Energy, Elsevier, vol. 307(C).
    4. Ouyang, Zisheng & Lu, Min & Ouyang, Zhongzhe & Zhou, Xuewei & Wang, Ren, 2024. "A novel integrated method for improving the forecasting accuracy of crude oil: ESMD-CFastICA-BiLSTM-Attention," Energy Economics, Elsevier, vol. 138(C).
    5. Guan, Keqin & Gong, Xu, 2023. "A new hybrid deep learning model for monthly oil prices forecasting," Energy Economics, Elsevier, vol. 128(C).
    6. Lahmiri, Salim, 2024. "Fossil energy market price prediction by using machine learning with optimal hyper-parameters: A comparative study," Resources Policy, Elsevier, vol. 92(C).
    7. Yin, Linfei & Zheng, Da, 2024. "Decomposition prediction fractional-order PID reinforcement learning for short-term smart generation control of integrated energy systems," Applied Energy, Elsevier, vol. 355(C).

  8. Zhang, Yaojie & Wahab, M.I.M. & Wang, Yudong, 2023. "Forecasting crude oil market volatility using variable selection and common factor," International Journal of Forecasting, Elsevier, vol. 39(1), pages 486-502.

    Cited by:

    1. Yilun Zhang & Yuping Song & Ying Peng & Hanchao Wang, 2024. "Volatility forecasting incorporating intraday positive and negative jumps based on deep learning model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2749-2765, November.
    2. Xiao, Jihong & Wang, Yudong & Wen, Danyan, 2023. "The predictive effect of risk aversion on oil returns under different market conditions," Energy Economics, Elsevier, vol. 126(C).
    3. Ma, Tian & Li, Ganghui & Zhang, Huajing, 2024. "Stock return predictability using economic narrative: Evidence from energy sectors," Journal of Commodity Markets, Elsevier, vol. 35(C).
    4. Bae, Juhee, 2024. "Factor-augmented forecasting in big data," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1660-1688.
    5. Tiwari, Aviral Kumar & Sharma, Gagan Deep & Rao, Amar & Hossain, Mohammad Razib & Dev, Dhairya, 2024. "Unraveling the crystal ball: Machine learning models for crude oil and natural gas volatility forecasting," Energy Economics, Elsevier, vol. 134(C).
    6. Wen, Danyan & Wang, Huihui & Wang, Yudong & Xiao, Jihong, 2024. "Crude oil futures and the short-term price predictability of petroleum products," Energy, Elsevier, vol. 307(C).
    7. Huang, Xiaozhou & Wang, Yubao & Song, Juan, 2023. "The Chinese oil futures volatility: Evidence from high-low estimator information," Finance Research Letters, Elsevier, vol. 56(C).
    8. Štefan Bojnec, 2023. "Electricity Markets, Electricity Prices and Green Energy Transition," Energies, MDPI, vol. 16(2), pages 1-4, January.
    9. Jiawen Luo & Qun Zhang, 2024. "Air pollution, weather factors, and realized volatility forecasts of agricultural commodity futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 151-217, February.
    10. Zhang, Feipeng & Gao, Hongfu & Yuan, Di, 2024. "The asymmetric effect of G7 stock market volatility on predicting oil price volatility: Evidence from quantile autoregression model," Journal of Commodity Markets, Elsevier, vol. 35(C).
    11. Zhang, Yaojie & He, Mengxi & Liao, Cunfei & Wang, Yudong, 2023. "Climate risk exposure and the cross-section of Chinese stock returns," Finance Research Letters, Elsevier, vol. 55(PB).
    12. Fameliti Stavroula & Skintzi Vasiliki, 2024. "Macroeconomic attention and commodity market volatility," Empirical Economics, Springer, vol. 67(5), pages 1967-2007, November.
    13. Ma, Feng & Cao, Jiawei, 2023. "The Chinese equity premium predictability: Evidence from a long historical data," Finance Research Letters, Elsevier, vol. 53(C).
    14. Zhang, Hongwei & Wang, Wentao & Niu, Zibo, 2024. "Geopolitical risks and crude oil futures volatility: Evidence from machine learning," Resources Policy, Elsevier, vol. 98(C).

  9. Zhang, Zhikai & Wang, Yudong & Xiao, Jihong & Zhang, Yaojie, 2023. "Not all geopolitical shocks are alike: Identifying price dynamics in the crude oil market under tensions," Resources Policy, Elsevier, vol. 80(C).

    Cited by:

    1. Valérie Mignon & Jamel Saadaoui, 2023. "How political tensions and geopolitical risks impact oil prices?," Working Papers 2023.07, International Network for Economic Research - INFER.
    2. Chen, Zhuoyi & Liu, Yuanyuan & Zhang, Hongwei, 2024. "Can geopolitical risks impact the long-run correlation between crude oil and clean energy markets? Evidence from a regime-switching analysis," Renewable Energy, Elsevier, vol. 229(C).
    3. Yang, Tianle & Dong, Qingyuan & Du, Min & Du, Qunyang, 2023. "Geopolitical risks, oil price shocks and inflation: Evidence from a TVP–SV–VAR approach," Energy Economics, Elsevier, vol. 127(PB).
    4. Niu, Zibo & Wang, Chenlu & Zhang, Hongwei, 2023. "Forecasting stock market volatility with various geopolitical risks categories: New evidence from machine learning models," International Review of Financial Analysis, Elsevier, vol. 89(C).
    5. Su, Chi-Wei & Yang, Shengyao & Dumitrescu Peculea, Adelina & Ioana Biţoiu, Teodora & Qin, Meng, 2024. "Energy imports in turbulent eras: Evidence from China," Energy, Elsevier, vol. 306(C).
    6. Wu, Jie & Zhao, Ruizeng & Sun, Jiasen & Zhou, Xuewei, 2023. "Impact of geopolitical risks on oil price fluctuations: Based on GARCH-MIDAS model," Resources Policy, Elsevier, vol. 85(PB).
    7. Liu, Han & Yang, Peng & He, Yongda & Oxley, Les & Guo, Pengwei, 2024. "Exploring the influence of the geopolitical risks on the natural resource price volatility and correlation: Evidence from DCC-MIDAS-X model," Energy Economics, Elsevier, vol. 129(C).
    8. Roudari, Soheil & Mensi, Walid & Kharusi, Sami Al & Ahmadian-Yazdi, Farzaneh, 2023. "Impacts of oil shocks on stock markets in Norway and Japan: Does monetary policy's effectiveness matter?," International Economics, Elsevier, vol. 173(C), pages 343-358.
    9. Karkowska, Renata & Urjasz, Szczepan, 2023. "How does the Russian-Ukrainian war change connectedness and hedging opportunities? Comparison between dirty and clean energy markets versus global stock indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    10. Zhang, Hongwei & Wang, Wentao & Niu, Zibo, 2024. "Geopolitical risks and crude oil futures volatility: Evidence from machine learning," Resources Policy, Elsevier, vol. 98(C).

  10. Yu, Dan & Chen, Chuang & Wang, Yudong & Zhang, Yaojie, 2023. "Hedging pressure momentum and the predictability of oil futures returns," Economic Modelling, Elsevier, vol. 121(C).

    Cited by:

    1. Shirui Wang & Tianyang Zhang, 2024. "Predictability of commodity futures returns with machine learning models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 302-322, February.
    2. Christina Sklibosios Nikitopoulos & Alice Carole Thomas & Jianxin Wang, 2024. "Hedging pressure and oil volatility: Insurance versus liquidity demands," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 252-280, February.

  11. Zhang, Yaojie & Wang, Yudong, 2023. "Forecasting crude oil futures market returns: A principal component analysis combination approach," International Journal of Forecasting, Elsevier, vol. 39(2), pages 659-673.

    Cited by:

    1. Shi, Chunpei & Wei, Yu & Li, Xiafei & Liu, Yuntong, 2023. "Combination forecasts of China's oil futures returns based on multiple uncertainties and their connectedness with oil," Energy Economics, Elsevier, vol. 126(C).
    2. Wen, Danyan & Wang, Huihui & Wang, Yudong & Xiao, Jihong, 2024. "Crude oil futures and the short-term price predictability of petroleum products," Energy, Elsevier, vol. 307(C).
    3. Xu, Yongan & Duong, Duy & Xu, Hualong, 2023. "Attention! Predicting crude oil prices from the perspective of extreme weather," Finance Research Letters, Elsevier, vol. 57(C).
    4. Mengxi He & Yudong Wang & Yaojie Zhang, 2023. "The predictability of iron ore futures prices: A product‐material lead–lag effect," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1289-1304, September.
    5. Yongan Xu & Chao Liang, 2024. "Does extreme climate concern drive equity premiums? Evidence from China," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-14, December.
    6. Zhang, Jiaming & Guo, Songlin & Dou, Bin & Xie, Bingyuan, 2023. "Evidence of the internationalization of China's crude oil futures: Asymmetric linkages to global financial risks," Energy Economics, Elsevier, vol. 127(PA).
    7. Wen, Danyan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2024. "Forecasting crude oil market volatility: A comprehensive look at uncertainty variables," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1022-1041.
    8. Gao, Shang & Zhang, Zhikai & Wang, Yudong & Zhang, Yaojie, 2023. "Forecasting stock market volatility: The sum of the parts is more than the whole," Finance Research Letters, Elsevier, vol. 55(PA).
    9. He, Mengxi & Zhang, Zhikai & Zhang, Yaojie, 2024. "Forecasting crude oil prices with global ocean temperatures," Energy, Elsevier, vol. 311(C).
    10. Huo, Songtao & Ni, Likun & Basheer, Muhammad Farhan & Al-Aiban, Khalid M. & Hassan, Saira Ghulam, 2024. "The role of fintech, mineral resource abundance, green energy and financial inclusion on ecological footprint in E7 countries: New insight from panel nonlinear ARDL cointegration approach," Resources Policy, Elsevier, vol. 94(C).

  12. He, Mengxi & Wang, Yudong & Zeng, Qing & Zhang, Yaojie, 2023. "Forecasting aggregate stock market volatility with industry volatilities: The role of spillover index," Research in International Business and Finance, Elsevier, vol. 65(C).

    Cited by:

    1. Congxiao Chen & Wenya Chen & Li Shang & Haiqiao Wang & Decai Tang & David D. Lansana, 2024. "Price discovery and volatility spillovers in the interest rate derivatives market," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-14, December.
    2. Mensi, Walid & Ahmadian-Yazdi, Farzaneh & Al-Kharusi, Sami & Roudari, Soheil & Kang, Sang Hoon, 2024. "Extreme Connectedness Across Chinese Stock and Commodity Futures Markets," Research in International Business and Finance, Elsevier, vol. 70(PA).

  13. Ma, Yilin & Wang, Yudong & Wang, Weizhong & Zhang, Chong, 2023. "Portfolios with return and volatility prediction for the energy stock market," Energy, Elsevier, vol. 270(C).

    Cited by:

    1. Wu, Yunlin & Huang, Lei & Jiang, Hui, 2023. "Optimization of large portfolio allocation for new-energy stocks: Evidence from China," Energy, Elsevier, vol. 285(C).

  14. Gao, Shang & Zhang, Zhikai & Wang, Yudong & Zhang, Yaojie, 2023. "Forecasting stock market volatility: The sum of the parts is more than the whole," Finance Research Letters, Elsevier, vol. 55(PA).

    Cited by:

    1. Zhikai Zhang & Yaojie Zhang & Yudong Wang & Qunwei Wang, 2024. "The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 557-584, April.

  15. Zhang, Yaojie & He, Mengxi & Liao, Cunfei & Wang, Yudong, 2023. "Climate risk exposure and the cross-section of Chinese stock returns," Finance Research Letters, Elsevier, vol. 55(PB).

    Cited by:

    1. Liu, Peng & Chen, Yaru & Mu, Yan, 2024. "The impact of climate risk aversion on agribusiness share price volatility," Finance Research Letters, Elsevier, vol. 61(C).
    2. Yaojie Zhang & Qingxiang Han & Mengxi He, 2024. "Forecasting stock market returns with a lottery index: Evidence from China," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1595-1606, August.
    3. Zhang, Yaojie & Song, Bingheng & He, Mengxi & Wang, Yudong, 2024. "Abnormal temperature and the cross-section of stock returns in China," International Review of Financial Analysis, Elsevier, vol. 94(C).
    4. Zhang, Yaojie & Zhang, Yuxuan & Ren, Xinrui & Jin, Meichen, 2024. "Geopolitical risk exposure and stock returns: Evidence from China," Finance Research Letters, Elsevier, vol. 64(C).
    5. Liu, Hao & Lin, Chuyin, 2023. "Climate change news risk and corporate bond returns in China," Finance Research Letters, Elsevier, vol. 58(PC).

  16. Zhang, Zhikai & Wang, Yudong & Li, Bin, 2023. "Asymmetric spillover of geopolitical risk and oil price volatility: A global perspective," Resources Policy, Elsevier, vol. 83(C).

    Cited by:

    1. Islam, Md. Saiful & Islam, Md. Monirul & Rehman, Anis Ur & Alam, Md. Fakhre & Tarique, Md., 2024. "Mineral production amidst the economy of uncertainty: Response of metallic and non-metallic minerals to geopolitical turmoil in Saudi Arabia," Resources Policy, Elsevier, vol. 90(C).
    2. Zhu, Pengfei & Lu, Tuantuan & Shang, Yue & Zhang, Zerong & Wei, Yu, 2023. "Can China's national carbon trading market hedge the risks of light and medium crude oil? A comparative analysis with the European carbon market," Finance Research Letters, Elsevier, vol. 58(PA).
    3. Cheikh, Nidhaleddine Ben & Zaied, Younes Ben & Mattoussi, Wided, 2023. "Oil price shocks in the age of surging inflation," Energy Economics, Elsevier, vol. 128(C).
    4. Ren, Xiaohang & Yang, Wanping & Jin, Yi, 2024. "Geopolitical risk and renewable energy consumption: Evidence from a spatial convergence perspective," Energy Economics, Elsevier, vol. 131(C).
    5. Aloui, Riadh & Ben Jabeur, Sami & Rezgui, Hichem & Ben Arfi, Wissal, 2023. "Geopolitical risk and commodity future returns: Fresh insights from dynamic copula conditional value-at-risk approach," Resources Policy, Elsevier, vol. 85(PB).
    6. Zhang, Jiahao & Zhang, Yifeng & Wei, Yu & Wang, Zhuo, 2024. "Normal and extreme impact and connectedness between fossil energy futures markets and uncertainties: Does El Niño-Southern Oscillation matter?," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 188-215.
    7. Loc Dong Truong & Nhien Tuyet Doan & Anh Thi Kim Nguyen, 2024. "The Effects of Geopolitical Risks on Oil Price Volatility," International Journal of Energy Economics and Policy, Econjournals, vol. 14(1), pages 427-432, January.
    8. Chen, Hanfang & Wang, Zhongjie & Chen, Zhangchi, 2024. "Accounting integrity, borrowing capacity and corporate R&D input: Evidence from China," Finance Research Letters, Elsevier, vol. 62(PB).
    9. Hao, Xinlei & Ma, Yong & Pan, Dongtao, 2024. "Geopolitical risk and the predictability of spillovers between exchange, commodity and stock markets," Journal of Multinational Financial Management, Elsevier, vol. 73(C).

  17. Xiao, Jihong & Wang, Yudong & Wen, Danyan, 2023. "The predictive effect of risk aversion on oil returns under different market conditions," Energy Economics, Elsevier, vol. 126(C).

    Cited by:

    1. Liu, Hong & Zhu, Yulin & Cui, Na & Zheng, Yan, 2024. "The impact of global uncertainties on the spillover among the European carbon market, the Chinese oil futures market, and the international oil futures market," Finance Research Letters, Elsevier, vol. 67(PB).

  18. Zhang, Yaojie & He, Mengxi & Wen, Danyan & Wang, Yudong, 2023. "Forecasting crude oil price returns: Can nonlinearity help?," Energy, Elsevier, vol. 262(PB).

    Cited by:

    1. Gong, Xue & Lai, Ping & He, Mengxi & Wen, Danyan, 2024. "Climate risk and energy futures high frequency volatility prediction," Energy, Elsevier, vol. 307(C).
    2. AL-Alimi, Dalal & AlRassas, Ayman Mutahar & Al-qaness, Mohammed A.A. & Cai, Zhihua & Aseeri, Ahmad O. & Abd Elaziz, Mohamed & Ewees, Ahmed A., 2023. "TLIA: Time-series forecasting model using long short-term memory integrated with artificial neural networks for volatile energy markets," Applied Energy, Elsevier, vol. 343(C).
    3. Lahmiri, Salim, 2024. "Fossil energy market price prediction by using machine learning with optimal hyper-parameters: A comparative study," Resources Policy, Elsevier, vol. 92(C).
    4. Hasnain Iftikhar & Aimel Zafar & Josue E. Turpo-Chaparro & Paulo Canas Rodrigues & Javier Linkolk López-Gonzales, 2023. "Forecasting Day-Ahead Brent Crude Oil Prices Using Hybrid Combinations of Time Series Models," Mathematics, MDPI, vol. 11(16), pages 1-19, August.

  19. Wang, Yudong & Hao, Xianfeng, 2023. "Forecasting the real prices of crude oil: What is the role of parameter instability?," Energy Economics, Elsevier, vol. 117(C).

    Cited by:

    1. Geng, Qianjie & Wang, Yudong, 2024. "Forecasting the volatility of crude oil basis: Univariate models versus multivariate models," Energy, Elsevier, vol. 295(C).
    2. Amar Rao & Marco Tedeschi & Kamel Si Mohammed & Umer Shahzad, 2024. "Role of Economic Policy Uncertainty in Energy Commodities Prices Forecasting: Evidence from a Hybrid Deep Learning Approach," Computational Economics, Springer;Society for Computational Economics, vol. 64(6), pages 3295-3315, December.

  20. Xi Wu & Xinle Tong & Yudong Wang, 2022. "Managerial ability and idiosyncratic volatility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2566-2581, April.

    Cited by:

    1. Liukai Wang & Caiting Wang & Larisa Yarovaya & Heshu Huang, 2024. "Trade credit and corporate digital transformation: The role of managerial ability," The Financial Review, Eastern Finance Association, vol. 59(3), pages 779-806, August.
    2. BingHong Lin & BingXiang Li, 2024. "Impact of Managerial Ability on the Quality of Accounting Information Disclosure: Empirical Evidence From China," SAGE Open, , vol. 14(3), pages 21582440241, September.
    3. Hyoung-Joo Lim & Dafydd Mali, 2024. "An analysis of the effect of audit effort (hours) on stock price volatility: evidence of increasing demand reducing uncertainty," International Journal of Disclosure and Governance, Palgrave Macmillan, vol. 21(3), pages 359-375, September.

  21. Wen, Danyan & Liu, Li & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market returns: Enhanced moving average technical indicators," Resources Policy, Elsevier, vol. 76(C).

    Cited by:

    1. Qingxiang Han & Mengxi He & Yaojie Zhang & Muhammad Umar, 2023. "Default return spread: A powerful predictor of crude oil price returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1786-1804, November.
    2. Ghosh, Indranil & Alfaro-Cortés, Esteban & Gámez, Matías & García-Rubio, Noelia, 2023. "Prediction and interpretation of daily NFT and DeFi prices dynamics: Inspection through ensemble machine learning & XAI," International Review of Financial Analysis, Elsevier, vol. 87(C).
    3. Ouyang, Zisheng & Lu, Min & Ouyang, Zhongzhe & Zhou, Xuewei & Wang, Ren, 2024. "A novel integrated method for improving the forecasting accuracy of crude oil: ESMD-CFastICA-BiLSTM-Attention," Energy Economics, Elsevier, vol. 138(C).
    4. Yufeng Lin & Xiaogang Wang & Yuehua Wu, 2023. "An Adaptive Multiple-Asset Portfolio Strategy with User-Specified Risk Tolerance," Mathematics, MDPI, vol. 11(7), pages 1-35, March.
    5. Gaoxiu Qiao & Yijun Pan & Chao Liang & Lu Wang & Jinghui Wang, 2024. "Forecasting Chinese crude oil futures volatility: New evidence based on dual feature processing of large‐scale variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2495-2521, November.

  22. Wei, Yu & Zhang, Yaojie & Wang, Yudong, 2022. "Information connectedness of international crude oil futures: Evidence from SC, WTI, and Brent," International Review of Financial Analysis, Elsevier, vol. 81(C).

    Cited by:

    1. Naqvi, Bushra & Mirza, Nawazish & Umar, Muhammad & Rizvi, Syed Kumail Abbas, 2023. "Shanghai crude oil futures: Returns Independence, volatility asymmetry, and hedging potential," Energy Economics, Elsevier, vol. 128(C).
    2. Wei, Yu & Wang, Yizhi & Vigne, Samuel A. & Ma, Zhenyu, 2023. "Alarming contagion effects: The dangerous ripple effect of extreme price spillovers across crude oil, carbon emission allowance, and agriculture futures markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    3. Shi, Chunpei & Wei, Yu & Li, Xiafei & Liu, Yuntong, 2023. "Combination forecasts of China's oil futures returns based on multiple uncertainties and their connectedness with oil," Energy Economics, Elsevier, vol. 126(C).
    4. Xu, Yongan & Liang, Chao & Wang, Jianqiong, 2023. "Financial stress and returns predictability: Fresh evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
    5. Zhu, Pengfei & Lu, Tuantuan & Shang, Yue & Zhang, Zerong & Wei, Yu, 2023. "Can China's national carbon trading market hedge the risks of light and medium crude oil? A comparative analysis with the European carbon market," Finance Research Letters, Elsevier, vol. 58(PA).
    6. Yan, Wan-Lin & Cheung, Adrian (Wai Kong), 2024. "Connectedness among Chinese climate policy uncertainty, exchange rate, Chinese and international crude oil markets: Insights from time and frequency domain analyses of high order moments," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
    7. Guo, Kun & Li, Yichong & Zhang, Yunhan & Chen, Yingtong & Ma, Yanran, 2024. "Cross-country risk spillovers of ESG stock indices: Dynamic patterns and the role of climate transition risks," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    8. Matthew Greenwood-Nimmo & Evžen Kocenda & Viet Hoang Nguyen, 2023. "Does the Spillover Index Respond to Adverse Shocks? A Bootstrap-Based Probabilistic Analysis," CESifo Working Paper Series 10668, CESifo.
    9. Gong, Xu & Liao, Qin, 2024. "Physical climate risk attention and dynamic volatility connectedness among new energy stocks," Energy Economics, Elsevier, vol. 136(C).
    10. Chai, Li & Wang, Yuqi & Qi, Xiaohong, 2024. "Cross-category connectedness between Shanghai crude oil futures and Chinese stock markets related to the Belt and Road Initiative," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
    11. Wei, Yu & Shi, Chunpei & Zhou, Chunyan & Wang, Qian & Liu, Yuntong & Wang, Yizhi, 2024. "Market volatilities vs oil shocks: Which dominate the relative performance of green bonds?," Energy Economics, Elsevier, vol. 136(C).
    12. Apostolakis, George N. & Floros, Christos & Gkillas, Konstantinos & Wohar, Mark, 2024. "Volatility spillovers across the spot and futures oil markets after news announcements," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    13. Kočenda, Evžen & Moravcová, Michala, 2024. "Frequency volatility connectedness and portfolio hedging of U.S. energy commodities," Research in International Business and Finance, Elsevier, vol. 69(C).
    14. Zhang, Jiahao & Chen, Xiaodan & Wei, Yu & Bai, Lan, 2023. "Does the connectedness among fossil energy returns matter for renewable energy stock returns? Fresh insights from the Cross-Quantilogram analysis," International Review of Financial Analysis, Elsevier, vol. 88(C).
    15. Qin, Jingrui & Cong, Xiaoping & Ma, Di & Rong, Xueyun, 2024. "Dynamic quantile connectedness between oil and stock markets: Theimpactof theinterestrate," Energy Economics, Elsevier, vol. 136(C).
    16. Majid Mirzaee Ghazani & Ali Akbar Momeni Malekshah & Reza Khosravi, 2024. "Analyzing time–frequency connectedness between cryptocurrencies, stock indices, and benchmark crude oils during the COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-28, December.
    17. Zhang, Yunhan & Ji, Qiang & Zhang, Dayong & Guo, Kun, 2024. "How does Shanghai crude oil futures affect top global oil companies: The role of multi-uncertainties," Energy Economics, Elsevier, vol. 131(C).
    18. Yang, Jie & Feng, Yun & Yang, Hao, 2024. "The spillover and comovement of downside and upside tail risks among crude oil futures markets," International Review of Financial Analysis, Elsevier, vol. 96(PA).
    19. Zeng, Qing & Zhang, Jixiang & Zhong, Juandan, 2024. "China's futures market volatility and sectoral stock market volatility prediction," Energy Economics, Elsevier, vol. 132(C).
    20. Zhang, Jiahao & Zhang, Yifeng & Wei, Yu & Wang, Zhuo, 2024. "Normal and extreme impact and connectedness between fossil energy futures markets and uncertainties: Does El Niño-Southern Oscillation matter?," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 188-215.
    21. Qian Wang & Yu Wei & Yifeng Zhang & Yuntong Liu, 2023. "Evaluating the Safe-Haven Abilities of Bitcoin and Gold for Crude Oil Market: Evidence During the COVID-19 Pandemic," Evaluation Review, , vol. 47(3), pages 391-432, June.
    22. Wan, Jieru & Yin, Libo & Wu, You, 2024. "Return and volatility connectedness across global ESG stock indexes: Evidence from the time-frequency domain analysis," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 397-428.
    23. Cui, Jinxin & Maghyereh, Aktham, 2023. "Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective," Journal of Commodity Markets, Elsevier, vol. 30(C).
    24. Wang, Yizhi & Wei, Yu & Lucey, Brian M. & Su, Yang, 2023. "Return spillover analysis across central bank digital currency attention and cryptocurrency markets," Research in International Business and Finance, Elsevier, vol. 64(C).
    25. Wang, Zhuo & Chen, Xiaodan & Zhou, Chunyan & Zhang, Yifeng & Wei, Yu, 2024. "Examining the quantile cross-coherence between fossil energy and clean energy: Is the dependence structure changing with the COVID-19 outbreak?," International Review of Financial Analysis, Elsevier, vol. 94(C).
    26. Pan, Qunxing & Sun, Yujia, 2023. "Changes in volatility leverage and spillover effects of crude oil futures markets affected by the 2022 Russia-Ukraine conflict," Finance Research Letters, Elsevier, vol. 58(PB).
    27. Ren, Xiaohang & Xiao, Ya & Duan, Kun & Urquhart, Andrew, 2024. "Spillover effects between fossil energy and green markets: Evidence from informational inefficiency," Energy Economics, Elsevier, vol. 131(C).
    28. Zhang, Jiaming & Guo, Songlin & Dou, Bin & Xie, Bingyuan, 2023. "Evidence of the internationalization of China's crude oil futures: Asymmetric linkages to global financial risks," Energy Economics, Elsevier, vol. 127(PA).
    29. Bai, Lan & Wei, Yu & Zhang, Jiahao & Wang, Yizhi & Lucey, Brian M., 2023. "Diversification effects of China's carbon neutral bond on renewable energy stock markets: A minimum connectedness portfolio approach," Energy Economics, Elsevier, vol. 123(C).
    30. Lu, Xunfa & He, Pengchao & Zhang, Zhengjun & Apergis, Nicholas & Roubaud, David, 2024. "Extreme co-movements between decomposed oil price shocks and sustainable investments," Energy Economics, Elsevier, vol. 134(C).
    31. Wu, You & Ren, Wenting & Wan, Jieru & Liu, Xiaoxue, 2023. "Time-frequency volatility connectedness between fossil energy and agricultural commodities: Comparing the COVID-19 pandemic with the Russia-Ukraine conflict," Finance Research Letters, Elsevier, vol. 55(PA).
    32. Naeem, Muhammad Abubakr & Gul, Raazia & Shafiullah, Muhammad & Karim, Sitara & Lucey, Brian M., 2024. "Tail risk spillovers between Shanghai oil and other markets," Energy Economics, Elsevier, vol. 130(C).
    33. Xu, Yongan & Liang, Chao & Li, Yan & Huynh, Toan L.D., 2022. "News sentiment and stock return: Evidence from managers’ news coverages," Finance Research Letters, Elsevier, vol. 48(C).
    34. Wei, Yu & Zhang, Jiahao & Bai, Lan & Wang, Yizhi, 2023. "Connectedness among El Niño-Southern Oscillation, carbon emission allowance, crude oil and renewable energy stock markets: Time- and frequency-domain evidence based on TVP-VAR model," Renewable Energy, Elsevier, vol. 202(C), pages 289-309.

  23. Li, Chenchen & Wang, Yudong & Wu, Chongfeng, 2022. "Oil implied volatility and expected stock returns along the worldwide supply chain," Energy Economics, Elsevier, vol. 114(C).

    Cited by:

    1. Shahbaz, Muhammad & Sheikh, Umaid A. & Tabash, Mosab I. & Jiao, Zhilun, 2024. "Shock transmission between climate policy uncertainty, financial stress indicators, oil price uncertainty and industrial metal volatility: Identifying moderators, hedgers and shock transmitters," Energy Economics, Elsevier, vol. 136(C).
    2. Xie, Qichang & Jiang, Yinghui & Jia, Nanfei & Wang, Hongtao, 2024. "Asymmetric impact of oil structural shocks on non-ferrous metals supply chains: A groundbreaking multidimensional quantile-on-quantile regression," International Review of Financial Analysis, Elsevier, vol. 96(PA).
    3. Qiao, Gaoxiu & Ma, Xuekun & Jiang, Gongyue & Wang, Lu, 2024. "Crude oil volatility index forecasting: New evidence based on positive and negative jumps from Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 415-437.
    4. Yin, Libo & Yang, Sen, 2023. "Oil price returns and firm's fixed investment: A production pattern," Energy Economics, Elsevier, vol. 125(C).

  24. Xiao, Jihong & Wang, Yudong, 2022. "Good oil volatility, bad oil volatility, and stock return predictability," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 953-966.

    Cited by:

    1. Rao, Amar & Dev, Dhairya & Kharbanda, Aeshna & Parihar, Jaya Singh & Sala, Dariusz, 2024. "Mineral policy and sustainable development goals: Volatility forecasting in the Global South's minerals market," Resources Policy, Elsevier, vol. 98(C).
    2. Zhu, Qing & Che, Jianhua & Liu, Shan, 2024. "Comparative analysis of profits from Bitcoin and its derivatives using artificial intelligence for hedge," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 654(C).
    3. Choi, Sun-Yong, 2024. "Sectoral responses to economic policy uncertainty and geopolitical risk in the US stock market," Journal of Multinational Financial Management, Elsevier, vol. 76(C).
    4. Chen, Wang & Chevallier, Julien & Wang, Jiqian & Zhong, Juandan, 2022. "Stock market return predictability revisited: Evidence from a new index constructing the oil market," Finance Research Letters, Elsevier, vol. 49(C).
    5. Zhang, Feipeng & Gao, Hongfu & Yuan, Di, 2024. "The asymmetric effect of G7 stock market volatility on predicting oil price volatility: Evidence from quantile autoregression model," Journal of Commodity Markets, Elsevier, vol. 35(C).
    6. Xiao, Jihong & Jiang, Jiajie & Zhang, Yaojie, 2024. "Policy uncertainty, investor sentiment, and good and bad volatilities in the stock market: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 84(C).
    7. Zhang, Zhikai & Wang, Yudong & Li, Bin, 2023. "Asymmetric spillover of geopolitical risk and oil price volatility: A global perspective," Resources Policy, Elsevier, vol. 83(C).
    8. Tong Fang & Deyu Miao & Zhi Su & Libo Yin, 2023. "Uncertainty‐driven oil volatility risk premium and international stock market volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 872-904, July.

  25. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2022. "Geopolitical risk trends and crude oil price predictability," Energy, Elsevier, vol. 258(C).

    Cited by:

    1. Qingxiang Han & Mengxi He & Yaojie Zhang & Muhammad Umar, 2023. "Default return spread: A powerful predictor of crude oil price returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1786-1804, November.
    2. Xiao, Jihong & Wang, Yudong & Wen, Danyan, 2023. "The predictive effect of risk aversion on oil returns under different market conditions," Energy Economics, Elsevier, vol. 126(C).
    3. Meng, Lingyan & Li, Jinshi, 2024. "Natural resources volatility and geopolitical risk: A novel perspective of oil and mineral rents using quantile-quantile regression for China," Resources Policy, Elsevier, vol. 88(C).
    4. Huang, Shoujun & Gubareva, Mariya & Teplova, Tamara & Bossman, Ahmed, 2024. "African forex markets: Modeling their predictability and the asymmetric effects of oil and geopolitical risk," Energy Economics, Elsevier, vol. 136(C).
    5. Ronnie Figueiredo & Mohammad Soliman & Alamir N. Al-Alawi & Maria José Sousa, 2022. "The Impacts of Geopolitical Risks on the Energy Sector: Micro-Level Operative Analysis in the European Union," Economies, MDPI, vol. 10(12), pages 1-12, November.
    6. Li, Ye & Chen, Yiyan & Lean, Hooi Hooi, 2024. "Geopolitical risk and crude oil price predictability: Novel decomposition ensemble approach based ternary interval number series," Resources Policy, Elsevier, vol. 92(C).
    7. Du, Zhili & Zhang, Guowei & Lin, Boqiang, 2024. "Exploring vehicle preference dynamics: Analyzing the influence of oil price volatility on consumer car purchase decisions - A comparative survey experiment," Energy, Elsevier, vol. 312(C).
    8. Xiao, Jihong & Wen, Fenghua & He, Zhifang, 2023. "Impact of geopolitical risks on investor attention and speculation in the oil market: Evidence from nonlinear and time-varying analysis," Energy, Elsevier, vol. 267(C).
    9. Xiao, Jihong & Liu, Hong, 2023. "The time-varying impact of uncertainty on oil market fear: Does climate policy uncertainty matter?," Resources Policy, Elsevier, vol. 82(C).
    10. Yang, Tianle & Dong, Qingyuan & Du, Min & Du, Qunyang, 2023. "Geopolitical risks, oil price shocks and inflation: Evidence from a TVP–SV–VAR approach," Energy Economics, Elsevier, vol. 127(PB).
    11. Zhao, Dong & Sibt e-Ali, Muhammad & Omer Chaudhry, Muhammad & Ayub, Bakhtawer & Waqas, Muhammad & Ullah, Irfan, 2024. "Modeling the Nexus between geopolitical risk, oil price volatility and renewable energy investment; evidence from Chinese listed firms," Renewable Energy, Elsevier, vol. 225(C).
    12. Özkan, Oktay & Destek, Mehmet Akif & Balsalobre-Lorente, Daniel & Esmaeili, Parisa, 2024. "Unlocking the impact of international financial support to infrastructure, energy efficiency, and ICT on CO2 emissions in India," Energy Policy, Elsevier, vol. 194(C).
    13. Lee, Chien-Chiang & Lou, Runchi & Wang, Fuhao, 2023. "Geopolitical risk and the sustainable utilization of natural resources: Evidence from developing countries," Resources Policy, Elsevier, vol. 85(PA).
    14. Chen, Zhiguo & Gao, Wei & Zafar, Quratulain & Dördüncü, Hazar, 2023. "Natural resources extraction and geopolitical risk: Examining oil resources extraction in China," Resources Policy, Elsevier, vol. 85(PA).
    15. Xia, Liangke & Wan, Lijiang & Wang, Weizheng & Luo, Jian & Yan, Jiale, 2023. "Energy accessibility via natural resources: Do natural resources ensure energy accessibility in low income countries?," Resources Policy, Elsevier, vol. 86(PB).
    16. Su, Chi-Wei & Wang, Dan & Mirza, Nawazish & Zhong, Yifan & Umar, Muhammad, 2023. "The impact of consumer confidence on oil prices," Energy Economics, Elsevier, vol. 124(C).
    17. Pandey, Dharen Kumar & Al-ahdal, Waleed M. & Rusere, Warren & Ali, Azwadi & Nor, Safwan Mohd, 2024. "Impact of firm characteristics and country-level governance on global energy stocks during crises," Research in International Business and Finance, Elsevier, vol. 72(PA).
    18. Tamilselvan, M. & Halder, Abhishek & Kannadhasan, M., 2024. "Exploring the ingredients, mixtures, and inclinations of geopolitical risk," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 187-206.
    19. He, Mengxi & Shen, Lihua & Zhang, Yaojie & Zhang, Yi, 2023. "Predicting cryptocurrency returns for real-world investments: A daily updated and accessible predictor," Finance Research Letters, Elsevier, vol. 58(PA).
    20. Olanipekun, Ifedolapo Olabisi & Ozkan, Oktay & Olasehinde-Williams, Godwin, 2023. "Is renewable energy use lowering resource-related uncertainties?," Energy, Elsevier, vol. 271(C).
    21. Zhang, Jiahao & Zhang, Yifeng & Wei, Yu & Wang, Zhuo, 2024. "Normal and extreme impact and connectedness between fossil energy futures markets and uncertainties: Does El Niño-Southern Oscillation matter?," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 188-215.
    22. Loc Dong Truong & Nhien Tuyet Doan & Anh Thi Kim Nguyen, 2024. "The Effects of Geopolitical Risks on Oil Price Volatility," International Journal of Energy Economics and Policy, Econjournals, vol. 14(1), pages 427-432, January.
    23. Liu, Longlong & Zhou, Suyu & Jie, Qian & Du, Pei & Xu, Yan & Wang, Jianzhou, 2024. "A robust time-varying weight combined model for crude oil price forecasting," Energy, Elsevier, vol. 299(C).
    24. Adeniyi Adeosun, Opeoluwa & Anagreh, Suhaib & Tabash, Mosab I. & Adedokun, Adebayo, 2023. "Revisiting the connectedness between oil prices and uncertainty indicators in BRICS countries," Resources Policy, Elsevier, vol. 86(PA).
    25. Muğaloğlu, Erhan & Kuşkaya, Sevda & Aldieri, Luigi & Alnour, Mohammed & Hoque, Mohammad Enamul & Magazzino, Cosimo & Bilgili, Faik, 2023. "Dynamic regime differences in the market behavior of primary natural resources in response to geopolitical risk and economic policy uncertainty," Resources Policy, Elsevier, vol. 87(PB).
    26. Shao, Liuguo & Cao, Saisha & Zhang, Hua, 2024. "The impact of geopolitical risk on strategic emerging minerals prices: Evidence from MODWT-based Granger causality test," Resources Policy, Elsevier, vol. 88(C).
    27. Saâdaoui, Foued & Ben Jabeur, Sami, 2023. "Analyzing the influence of geopolitical risks on European power prices using a multiresolution causal neural network," Energy Economics, Elsevier, vol. 124(C).
    28. Zhang, Yaojie & He, Jiaxin & He, Mengxi & Li, Shaofang, 2023. "Geopolitical risk and stock market volatility: A global perspective," Finance Research Letters, Elsevier, vol. 53(C).
    29. Zhang, Jiaming & Xiang, Yitian & Zou, Yang & Guo, Songlin, 2024. "Volatility forecasting of Chinese energy market: Which uncertainty have better performance?," International Review of Financial Analysis, Elsevier, vol. 91(C).
    30. Zhang, Jiaming & Guo, Songlin & Dou, Bin & Xie, Bingyuan, 2023. "Evidence of the internationalization of China's crude oil futures: Asymmetric linkages to global financial risks," Energy Economics, Elsevier, vol. 127(PA).
    31. Wei Hu & Yue Shan & Yun Deng & Ningning Fu & Jian Duan & Haining Jiang & Jianzhen Zhang, 2023. "Geopolitical Risk Evolution and Obstacle Factors of Countries along the Belt and Road and Its Types Classification," IJERPH, MDPI, vol. 20(2), pages 1-24, January.
    32. Dong, Qingyuan & Du, Qunyang & Min Du, Anna, 2024. "Interplay between oil prices, country risks, and stock returns in the context of global conflict: A PVAR approach," Research in International Business and Finance, Elsevier, vol. 72(PB).
    33. Ding, Tao & Li, Hao & Tan, Ruipeng & Zhao, Xin, 2023. "How does geopolitical risk affect carbon emissions?: An empirical study from the perspective of mineral resources extraction in OECD countries," Resources Policy, Elsevier, vol. 85(PB).
    34. Wang, Kai-Hua & Wen, Cui-Ping & Liu, Hong-Wen & Liu, Lu, 2023. "Promotion or hindrance? Exploring the bidirectional causality between geopolitical risk and green bonds from an energy perspective," Resources Policy, Elsevier, vol. 85(PB).
    35. Zhang, Zhikai & Wang, Yudong & Li, Bin, 2023. "Asymmetric spillover of geopolitical risk and oil price volatility: A global perspective," Resources Policy, Elsevier, vol. 83(C).
    36. Lee, Chien-Chiang & Olasehinde-Williams, Godwin & Özkan, Oktay, 2024. "Is geopolitical oil price uncertainty forcing the world to use energy more efficiently? Evidence from advanced statistical methods," Economic Analysis and Policy, Elsevier, vol. 82(C), pages 908-919.
    37. Zouhaier Dhifaoui & Kaies Ncibi & Faicel Gasmi & Abulmajeed Abdallah Alqarni, 2023. "The Nexus between Climate Change and Geopolitical Risk Index in Saudi Arabia Based on the Fourier-Domain Transfer Entropy Spectrum Method," Sustainability, MDPI, vol. 15(18), pages 1-22, September.
    38. Lai, Fujun & Xiong, Deping & Zhu, Sha & Li, Yunzhong & Tan, Yanzhi, 2023. "Will geopolitical risks only inhibit corporate investment? Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    39. Chen, Juan & Xiao, Zuoping & Bai, Jiancheng & Guo, Hongling, 2023. "Predicting volatility in natural gas under a cloud of uncertainties," Resources Policy, Elsevier, vol. 82(C).
    40. Zhang, Zhikai & Wang, Yudong & Zhang, Yaojie & Wang, Qunwei, 2024. "Forecasting carbon prices under diversified attention: A dynamic model averaging approach with common factors," Energy Economics, Elsevier, vol. 133(C).

  26. Song, Yixuan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market volatility: A newspaper-based predictor regarding petroleum market volatility," Resources Policy, Elsevier, vol. 79(C).

    Cited by:

    1. Shi, Chunpei & Wei, Yu & Li, Xiafei & Liu, Yuntong, 2023. "Combination forecasts of China's oil futures returns based on multiple uncertainties and their connectedness with oil," Energy Economics, Elsevier, vol. 126(C).
    2. Ioannis Dokas & Georgios Oikonomou & Minas Panagiotidis & Eleftherios Spyromitros, 2023. "Macroeconomic and Uncertainty Shocks’ Effects on Energy Prices: A Comprehensive Literature Review," Energies, MDPI, vol. 16(3), pages 1-35, February.
    3. Zhang, Xiaoyun & Guo, Qiang, 2024. "How useful are energy-related uncertainty for oil price volatility forecasting?," Finance Research Letters, Elsevier, vol. 60(C).
    4. Zhikai Zhang & Yaojie Zhang & Yudong Wang & Qunwei Wang, 2024. "The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 557-584, April.
    5. Mengxi He & Yaojie Zhang & Yudong Wang & Danyan Wen, 2024. "Modelling and forecasting crude oil price volatility with climate policy uncertainty," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-10, December.
    6. Feng, Lingbing & Rao, Haicheng & Lucey, Brian & Zhu, Yiying, 2024. "Volatility forecasting on China's oil futures: New evidence from interpretable ensemble boosting trees," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 1595-1615.

  27. Mengxi He & Yaojie Zhang & Danyan Wen & Yudong Wang, 2022. "Forecasting the Chinese stock market volatility: A regression approach with a t-distributed error," Applied Economics, Taylor & Francis Journals, vol. 54(50), pages 5811-5826, October.

    Cited by:

    1. Yaojie Zhang & Mengxi He & Yuqi Zhao & Xianfeng Hao, 2023. "Predicting stock realized variance based on an asymmetric robust regression approach," Bulletin of Economic Research, Wiley Blackwell, vol. 75(4), pages 1022-1047, October.
    2. He, Mengxi & Wen, Danyan & Xing, Lu & Zhang, Yaojie, 2024. "Industry volatility concentration and the predictability of aggregate stock market volatility," International Review of Economics & Finance, Elsevier, vol. 95(C).
    3. Jin, Daxiang & He, Mengxi & Xing, Lu & Zhang, Yaojie, 2022. "Forecasting China's crude oil futures volatility: How to dig out the information of other energy futures volatilities?," Resources Policy, Elsevier, vol. 78(C).
    4. Yuqing Feng & Yaojie Zhang & Yudong Wang, 2024. "Out‐of‐sample volatility prediction: Rolling window, expanding window, or both?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(3), pages 567-582, April.

  28. Wensheng Cai & Zhiyuan Pan & Yudong Wang, 2022. "Uncertainty and the predictability of stock returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 765-792, July.

    Cited by:

    1. Junyu Zhang & Xinfeng Ruan & Jin E. Zhang, 2023. "Risk‐neutral moments and return predictability: International evidence," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(5), pages 1086-1111, August.

  29. Yaojie Zhang & Mengxi He & Danyan Wen & Yudong Wang, 2022. "Forecasting Bitcoin volatility: A new insight from the threshold regression model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 633-652, April.

    Cited by:

    1. He, Mengxi & Wang, Yudong & Zeng, Qing & Zhang, Yaojie, 2023. "Forecasting aggregate stock market volatility with industry volatilities: The role of spillover index," Research in International Business and Finance, Elsevier, vol. 65(C).
    2. Simona-Vasilica Oprea & Irina Alexandra Georgescu & Adela Bâra, 2024. "Is Bitcoin ready to be a widespread payment method? Using price volatility and setting strategies for merchants," Electronic Commerce Research, Springer, vol. 24(2), pages 1267-1305, June.
    3. He, Mengxi & Shen, Lihua & Zhang, Yaojie & Zhang, Yi, 2023. "Predicting cryptocurrency returns for real-world investments: A daily updated and accessible predictor," Finance Research Letters, Elsevier, vol. 58(PA).
    4. Jiqian Wang & Feng Ma & Elie Bouri & Yangli Guo, 2023. "Which factors drive Bitcoin volatility: Macroeconomic, technical, or both?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 970-988, July.

  30. Honghai Yu & Xianfeng Hao & Yudong Wang, 2022. "Good volatility, bad volatility, and time series return predictability," The European Journal of Finance, Taylor & Francis Journals, vol. 28(6), pages 571-595, April.

    Cited by:

    1. Qiao, Kenan & Ji, Zhehan & Xie, Haibin, 2023. "Unrealized return dispersion and the equity risk premium," Finance Research Letters, Elsevier, vol. 58(PA).

  31. Yaojie Zhang & Yudong Wang & Feng Ma & Yu Wei, 2022. "To jump or not to jump: momentum of jumps in crude oil price volatility prediction," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-31, December.

    Cited by:

    1. Guo, Yangli & Li, Pan & Wu, Hanlin, 2023. "Jumps in the Chinese crude oil futures volatility forecasting: New evidence," Energy Economics, Elsevier, vol. 126(C).
    2. Yuqing Feng & Yaojie Zhang & Yudong Wang, 2024. "Out‐of‐sample volatility prediction: Rolling window, expanding window, or both?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(3), pages 567-582, April.

  32. Li Liu & Zhiyuan Pan & Yudong Wang, 2022. "Shrinking return forecasts," The Financial Review, Eastern Finance Association, vol. 57(3), pages 641-661, August.

    Cited by:

    1. IWASAKI, Ichiro & MA, Xinxin & MIZOBATA, Satoshi, 2023. "Board Generational Diversity in Emerging Markets," CEI Working Paper Series 2023-02, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.

  33. Xiao, Jihong & Wang, Yudong, 2022. "Macroeconomic uncertainty, speculation, and energy futures returns: Evidence from a quantile regression," Energy, Elsevier, vol. 241(C).

    Cited by:

    1. Xiao, Jihong & Wang, Yudong & Wen, Danyan, 2023. "The predictive effect of risk aversion on oil returns under different market conditions," Energy Economics, Elsevier, vol. 126(C).
    2. Algirdas Justinas Staugaitis & Bernardas Vaznonis, 2022. "Financial Speculation Impact on Agricultural and Other Commodity Return Volatility: Implications for Sustainable Development and Food Security," Agriculture, MDPI, vol. 12(11), pages 1-27, November.
    3. Xiao, Jihong & Wen, Fenghua & He, Zhifang, 2023. "Impact of geopolitical risks on investor attention and speculation in the oil market: Evidence from nonlinear and time-varying analysis," Energy, Elsevier, vol. 267(C).
    4. Zhang, Teng & Xu, Zhiwei & Li, Jiaqi, 2023. "The asset pricing implications of global oil price uncertainty: Evidence from the cross-section of Chinese stock returns," Energy, Elsevier, vol. 285(C).
    5. Dai, Zhifeng & Tang, Rui & Zhang, Xiaotong, 2023. "A new multilayer network for measuring interconnectedness among the energy firms," Energy Economics, Elsevier, vol. 124(C).
    6. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2022. "Geopolitical risk trends and crude oil price predictability," Energy, Elsevier, vol. 258(C).
    7. Algirdas Justinas Staugaitis & Bernardas Vaznonis, 2022. "Short-Term Speculation Effects on Agricultural Commodity Returns and Volatility in the European Market Prior to and during the Pandemic," Agriculture, MDPI, vol. 12(5), pages 1-26, April.
    8. Cheng Che & Xin Geng & Huixian Zheng & Yi Chen & Xiaoguang Zhang, 2022. "The Pricing Mechanism Analysis of China’s Natural Gas Supply Chain under the “Dual Carbon” Target Based on the Perspective of Game Theory," Sustainability, MDPI, vol. 14(15), pages 1-21, August.
    9. Zhang, Jiahao & Zhang, Yifeng & Wei, Yu & Wang, Zhuo, 2024. "Normal and extreme impact and connectedness between fossil energy futures markets and uncertainties: Does El Niño-Southern Oscillation matter?," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 188-215.
    10. Huang, Xinya & Wang, Yufeng & Li, Houjian, 2024. "Exploring the asymmetric influence of economic policy uncertainty on the nonlinear relationship between exchange rate and carbon prices in China," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
    11. Alaminos, David & Guillén-Pujadas, Miguel & Vizuete-Luciano, Emili & Merigó, José María, 2024. "What is going on with studies on financial speculation? Evidence from a bibliometric analysis," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 429-445.
    12. Sarit Maitra, 2023. "Impact of Economic Uncertainty, Geopolitical Risk, Pandemic, Financial & Macroeconomic Factors on Crude Oil Returns -- An Empirical Investigation," Papers 2310.01123, arXiv.org, revised Oct 2023.
    13. Enwo-Irem, Imaculata Nnenna & Urom, Christian, 2024. "Climate change concerns and macroeconomic condition predictability," Finance Research Letters, Elsevier, vol. 60(C).
    14. Ibrahim Mohamed Ali Ali, 2023. "Income Inequality and Environmental Degradation in Middle-Income Countries: A Test of Two Competing Hypotheses," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 166(2), pages 299-321, April.
    15. Uribe, Jorge M. & Mosquera-López, Stephania & Arenas, Oscar J., 2022. "Assessing the relationship between electricity and natural gas prices in European markets in times of distress," Energy Policy, Elsevier, vol. 166(C).

  34. Danyan Wen & Mengxi He & Yaojie Zhang & Yudong Wang, 2022. "Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 230-251, March.

    Cited by:

    1. Chao Liang & Yongan Xu & Zhonglu Chen & Xiafei Li, 2023. "Forecasting China's stock market volatility with shrinkage method: Can Adaptive Lasso select stronger predictors from numerous predictors?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3689-3699, October.
    2. Yaojie Zhang & Mengxi He & Yuqi Zhao & Xianfeng Hao, 2023. "Predicting stock realized variance based on an asymmetric robust regression approach," Bulletin of Economic Research, Wiley Blackwell, vol. 75(4), pages 1022-1047, October.
    3. Yaojie Zhang & Qingxiang Han & Mengxi He, 2024. "Forecasting stock market returns with a lottery index: Evidence from China," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1595-1606, August.
    4. Jin, Daxiang & He, Mengxi & Xing, Lu & Zhang, Yaojie, 2022. "Forecasting China's crude oil futures volatility: How to dig out the information of other energy futures volatilities?," Resources Policy, Elsevier, vol. 78(C).
    5. Guo, Kun & Liu, Fengqi & Sun, Xiaolei & Zhang, Dayong & Ji, Qiang, 2023. "Predicting natural gas futures’ volatility using climate risks," Finance Research Letters, Elsevier, vol. 55(PA).

  35. Li Liu & Yudong Wang, 2021. "Forecasting aggregate market volatility: The role of good and bad uncertainties," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 40-61, January.

    Cited by:

    1. Bucci, Andrea & Palomba, Giulio & Rossi, Eduardo, 2023. "The role of uncertainty in forecasting volatility comovements across stock markets," Economic Modelling, Elsevier, vol. 125(C).
    2. Zeng, Qing & Zhang, Jixiang & Zhong, Juandan, 2024. "China's futures market volatility and sectoral stock market volatility prediction," Energy Economics, Elsevier, vol. 132(C).
    3. Wang, Lu & Ma, Feng & Hao, Jianyang & Gao, Xinxin, 2021. "Forecasting crude oil volatility with geopolitical risk: Do time-varying switching probabilities play a role?," International Review of Financial Analysis, Elsevier, vol. 76(C).
    4. Zhikai Zhang & Yaojie Zhang & Yudong Wang & Qunwei Wang, 2024. "The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 557-584, April.
    5. Wen, Danyan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2024. "Forecasting crude oil market volatility: A comprehensive look at uncertainty variables," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1022-1041.
    6. Xinjie Lu & Feng Ma & Jiqian Wang & Jing Liu, 2022. "Forecasting oil futures realized range‐based volatility with jumps, leverage effect, and regime switching: New evidence from MIDAS models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 853-868, July.
    7. Yan, Han & Liu, Bin & Zhu, Xingting & Wu, Yan, 2024. "Systemic risk monitoring model from the perspective of public information arrival," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    8. Danyan Wen & Mengxi He & Yaojie Zhang & Yudong Wang, 2022. "Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 230-251, March.

  36. Li Liu & Zhiyuan Pan & Yudong Wang, 2021. "What can we learn from the return predictability over the business cycle?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 108-131, January.

    Cited by:

    1. Mengxi He & Xianfeng Hao & Yaojie Zhang & Fanyi Meng, 2021. "Forecasting stock return volatility using a robust regression model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1463-1478, December.
    2. Yongan Xu & Jianqiong Wang & Zhonglu Chen & Chao Liang, 2023. "Sentiment indices and stock returns: Evidence from China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 1063-1080, January.
    3. Xu, Yongan & Wang, Jianqiong & Chen, Zhonglu & Liang, Chao, 2021. "Economic policy uncertainty and stock market returns: New evidence," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    4. Xianfeng Hao & Yudong Wang, 2023. "Forecasting the stock risk premium: A new statistical constraint," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1805-1822, November.
    5. Johnson, James A. & Medeiros, Marcelo C. & Paye, Bradley S., 2022. "Jumps in stock prices: New insights from old data," Journal of Financial Markets, Elsevier, vol. 60(C).
    6. Chen, Zhonglu & Zhang, Li & Weng, Chen, 2023. "Does climate policy uncertainty affect Chinese stock market volatility?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 369-381.

  37. Wu, Xi & Wang, Yudong, 2021. "How does corporate investment react to oil prices changes? Evidence from China," Energy Economics, Elsevier, vol. 97(C).

    Cited by:

    1. Amin, Md Ruhul & Wang, Xinyu & Aktas, Elvan, 2023. "Does oil price uncertainty affect corporate innovation?," Energy Economics, Elsevier, vol. 118(C).
    2. He, Jiaxin & Li, Jingyi & Zhao, Daiqing & Chen, Xing, 2022. "Does oil price affect corporate innovation? Evidence from new energy vehicle enterprises in China," Renewable and Sustainable Energy Reviews, Elsevier, vol. 156(C).
    3. Kuantan, Dhaha Praviandi & Siregar, Hermanto & Ratnawati, Anny & Juhro, Solikin M., 2021. "Corporate Investment Behavior and Level of Participation in the Global Value Chain: A Dynamic Panel Data Approach," MPRA Paper 115417, University Library of Munich, Germany, revised 23 Oct 2021.
    4. Sugra Humbatova & Afag Huseyn & Natig Gadim-Oglu Hajiyev, 2023. "Impact of Oil Factor on Investment: The Case of Azerbaijan," International Journal of Energy Economics and Policy, Econjournals, vol. 13(2), pages 129-148, March.
    5. Long, Shaobo & Zhang, Rui, 2022. "The asymmetric effects of international oil prices, oil price uncertainty and income on urban residents’ consumption in China," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 789-805.
    6. Chen, Lingtao & Yuan, Yongna & Zhao, Na, 2022. "The effect of oil price uncertainty on corporate investment in the presence of growth options: Evidence from listed companies in China (1998–2019)," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    7. Deng, Zhengxing & Hao, Yu, 2024. "Energy price uncertainty, environmental policy, and firm investment: A dynamic modeling approach," Energy Economics, Elsevier, vol. 130(C).
    8. Anh, Dao Le Trang & Quang, Nguyen Thi Thieu & Anh, Nguyen Tuan, 2024. "Investment decision and efficiency: Global insights on manufacturing firms amidst energy uncertainties," Energy Economics, Elsevier, vol. 137(C).
    9. Song, Xinyu & Yang, Baochen, 2022. "Oil price uncertainty, corporate governance and firm performance," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 469-487.
    10. Eugene Msizi Buthelezi, 2023. "Dynamics of Macroeconomic Uncertainty on Economic Growth in the Presence of Fiscal Consolidation in South Africa from 1994 to 2022," Economies, MDPI, vol. 11(4), pages 1-24, April.
    11. Wang, Kai-Hua & Su, Chi-Wei & Xiao, Yidong & Liu, Lu, 2022. "Is the oil price a barometer of China's automobile market? From a wavelet-based quantile-on-quantile regression perspective," Energy, Elsevier, vol. 240(C).
    12. Zhang, Teng & Xu, Zhiwei, 2023. "The informational feedback effect of stock prices on corporate investments: A comparison of new energy firms and traditional energy firms in China," Energy Economics, Elsevier, vol. 127(PA).

  38. Wang, Yudong & Hao, Xianfeng & Wu, Chongfeng, 2021. "Forecasting stock returns: A time-dependent weighted least squares approach," Journal of Financial Markets, Elsevier, vol. 53(C).

    Cited by:

    1. Ma, Tian & Li, Ganghui & Zhang, Huajing, 2024. "Stock return predictability using economic narrative: Evidence from energy sectors," Journal of Commodity Markets, Elsevier, vol. 35(C).
    2. Yaojie Zhang & Mengxi He & Yuqi Zhao & Xianfeng Hao, 2023. "Predicting stock realized variance based on an asymmetric robust regression approach," Bulletin of Economic Research, Wiley Blackwell, vol. 75(4), pages 1022-1047, October.
    3. He, Mengxi & Zhang, Yaojie, 2022. "Climate policy uncertainty and the stock return predictability of the oil industry," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    4. Wang, Yudong & Hao, Xianfeng, 2023. "Forecasting the real prices of crude oil: What is the role of parameter instability?," Energy Economics, Elsevier, vol. 117(C).
    5. Yaojie Zhang & Mengxi He & Zhikai Zhang, 2024. "Forecasting stock returns with industry volatility concentration," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2705-2730, November.
    6. Zhang, Yaojie & He, Mengxi & Liao, Cunfei & Wang, Yudong, 2023. "Climate risk exposure and the cross-section of Chinese stock returns," Finance Research Letters, Elsevier, vol. 55(PB).
    7. Wen, Danyan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2024. "Forecasting crude oil market volatility: A comprehensive look at uncertainty variables," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1022-1041.
    8. Qianjie Geng & Xianfeng Hao & Yudong Wang, 2024. "Forecasting the volatility of crude oil futures: A time‐dependent weighted least squares with regularization constraint," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(2), pages 309-325, March.
    9. Zhang, Xiaomeng & Zhang, Xinyu, 2023. "Optimal model averaging based on forward-validation," Journal of Econometrics, Elsevier, vol. 237(2).

  39. Wen, Danyan & Wang, Yudong & Zhang, Yaojie, 2021. "Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism," Economic Modelling, Elsevier, vol. 96(C), pages 209-219.

    Cited by:

    1. Ghosh, Indranil & Chaudhuri, Tamal Datta & Alfaro-Cortés, Esteban & Gámez, Matías & García, Noelia, 2022. "A hybrid approach to forecasting futures prices with simultaneous consideration of optimality in ensemble feature selection and advanced artificial intelligence," Technological Forecasting and Social Change, Elsevier, vol. 181(C).
    2. Ham, Hyuna & Ryu, Doojin & Webb, Robert I., 2022. "The effects of overnight events on daytime trading sessions," International Review of Financial Analysis, Elsevier, vol. 83(C).
    3. Zhang, Wei & Wang, Pengfei & Li, Yi, 2021. "Bond intraday momentum," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
    4. Yu, Dan & Chen, Chuang & Wang, Yudong & Zhang, Yaojie, 2023. "Hedging pressure momentum and the predictability of oil futures returns," Economic Modelling, Elsevier, vol. 121(C).
    5. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2021. "Realized skewness and the short-term predictability for aggregate stock market volatility," Economic Modelling, Elsevier, vol. 103(C).
    6. Yu, Deshui & Huang, Difang & Chen, Li & Li, Luyang, 2023. "Forecasting dividend growth: The role of adjusted earnings yield," Economic Modelling, Elsevier, vol. 120(C).
    7. Wang, Cheng & Bouri, Elie & Xu, Yahua & Zhang, Dingsheng, 2023. "Intraday and overnight tail risks and return predictability in the crude oil market: Evidence from oil-related regular news and extreme shocks," Energy Economics, Elsevier, vol. 127(PB).
    8. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2022. "The growth of oil futures in China: Evidence of market maturity through global crises," Energy Economics, Elsevier, vol. 114(C).
    9. Chen, Jilong & Xu, Liao & Xu, Hao, 2022. "The impact of COVID-19 on commodity options market: Evidence from China," Economic Modelling, Elsevier, vol. 116(C).
    10. Li, Yan & Huynh, Luu Duc Toan & Xu, Yongan & Liang, Hao, 2023. "The forecast ability of a belief-based momentum indicator in full-day, daytime, and nighttime volatilities of Chinese oil futures," Energy Economics, Elsevier, vol. 127(PB).

  40. Wen, Danyan & Wang, Yudong, 2021. "Volatility linkages between stock and commodity markets revisited: Industry perspective and portfolio implications," Resources Policy, Elsevier, vol. 74(C).

    Cited by:

    1. Gaete, Michael & Herrera, Rodrigo, 2023. "Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach," Journal of Commodity Markets, Elsevier, vol. 32(C).
    2. Wang, Suhui, 2023. "Tail dependence, dynamic linkages, and extreme spillover between the stock and China's commodity markets," Journal of Commodity Markets, Elsevier, vol. 29(C).
    3. Al-Nassar, Nassar S. & Assaf, Rima & Chaibi, Anis & Makram, Beljid, 2024. "The nexus between mineral, renewable commodities, and regional stock sectors during health and military crises," Resources Policy, Elsevier, vol. 96(C).
    4. Jin, Daxiang & He, Mengxi & Xing, Lu & Zhang, Yaojie, 2022. "Forecasting China's crude oil futures volatility: How to dig out the information of other energy futures volatilities?," Resources Policy, Elsevier, vol. 78(C).
    5. Bigerna, Simona & D’Errico, Maria Chiara & Polinori, Paolo, 2022. "Dynamic forecast error variance decomposition as risk management process for the Gulf Cooperation Council oil portfolios," Resources Policy, Elsevier, vol. 78(C).
    6. Zhang, Zhikai & Wang, Yudong & Li, Bin, 2023. "Asymmetric spillover of geopolitical risk and oil price volatility: A global perspective," Resources Policy, Elsevier, vol. 83(C).
    7. Mishra, Aswini Kumar & Ghate, Kshitish, 2022. "Dynamic connectedness in non-ferrous commodity markets: Evidence from India using TVP-VAR and DCC-GARCH approaches," Resources Policy, Elsevier, vol. 76(C).

  41. He, Mengxi & Zhang, Yaojie & Wen, Danyan & Wang, Yudong, 2021. "Forecasting crude oil prices: A scaled PCA approach," Energy Economics, Elsevier, vol. 97(C).

    Cited by:

    1. Qingxiang Han & Mengxi He & Yaojie Zhang & Muhammad Umar, 2023. "Default return spread: A powerful predictor of crude oil price returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1786-1804, November.
    2. Shi, Chunpei & Wei, Yu & Li, Xiafei & Liu, Yuntong, 2023. "Combination forecasts of China's oil futures returns based on multiple uncertainties and their connectedness with oil," Energy Economics, Elsevier, vol. 126(C).
    3. Wen, Danyan & Liu, Li & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market returns: Enhanced moving average technical indicators," Resources Policy, Elsevier, vol. 76(C).
    4. Chen, Louisa & Verousis, Thanos & Wang, Kai & Zhou, Zhiping, 2023. "Financial stress and commodity price volatility," Energy Economics, Elsevier, vol. 125(C).
    5. Liang, Chao & Xu, Yongan & Wang, Jianqiong & Yang, Mo, 2022. "Whether dimensionality reduction techniques can improve the ability of sentiment proxies to predict stock market returns," International Review of Financial Analysis, Elsevier, vol. 82(C).
    6. Hou, Guolian & Wang, Junjie & Fan, Yuzhen, 2024. "Multistep short-term wind power forecasting model based on secondary decomposition, the kernel principal component analysis, an enhanced arithmetic optimization algorithm, and error correction," Energy, Elsevier, vol. 286(C).
    7. Ma, Tian & Li, Ganghui & Zhang, Huajing, 2024. "Stock return predictability using economic narrative: Evidence from energy sectors," Journal of Commodity Markets, Elsevier, vol. 35(C).
    8. Guo, Yangli & Ma, Feng & Li, Haibo & Lai, Xiaodong, 2022. "Oil price volatility predictability based on global economic conditions," International Review of Financial Analysis, Elsevier, vol. 82(C).
    9. He, Mengxi & Wang, Yudong & Zeng, Qing & Zhang, Yaojie, 2023. "Forecasting aggregate stock market volatility with industry volatilities: The role of spillover index," Research in International Business and Finance, Elsevier, vol. 65(C).
    10. Lu, Fei & Ma, Feng & Li, Pan & Huang, Dengshi, 2022. "Natural gas volatility predictability in a data-rich world," International Review of Financial Analysis, Elsevier, vol. 83(C).
    11. Yu, Dan & Chen, Chuang & Wang, Yudong & Zhang, Yaojie, 2023. "Hedging pressure momentum and the predictability of oil futures returns," Economic Modelling, Elsevier, vol. 121(C).
    12. He, Mengxi & Zhang, Yaojie, 2022. "Climate policy uncertainty and the stock return predictability of the oil industry," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    13. Qi Shi, 2024. "The Second RP-PCA Factor and Crude Oil Price Predictability," Prague Economic Papers, Prague University of Economics and Business, vol. 2024(6), pages 662-690.
    14. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2022. "Geopolitical risk trends and crude oil price predictability," Energy, Elsevier, vol. 258(C).
    15. He, Mengxi & Wen, Danyan & Xing, Lu & Zhang, Yaojie, 2024. "Industry volatility concentration and the predictability of aggregate stock market volatility," International Review of Economics & Finance, Elsevier, vol. 95(C).
    16. Li, Xiaodan & Gong, Xue & Ge, Futing & Huang, Jingjing, 2024. "Forecasting stock volatility using pseudo-out-of-sample information," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 123-135.
    17. Khan, Faridoon & Muhammadullah, Sara & Sharif, Arshian & Lee, Chien-Chiang, 2024. "The role of green energy stock market in forecasting China's crude oil market: An application of IIS approach and sparse regression models," Energy Economics, Elsevier, vol. 130(C).
    18. Xu Gong & Mengjie Li & Keqin Guan & Chuanwang Sun, 2023. "Climate change attention and carbon futures return prediction," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1261-1288, September.
    19. Guo, Yangli & He, Feng & Liang, Chao & Ma, Feng, 2022. "Oil price volatility predictability: New evidence from a scaled PCA approach," Energy Economics, Elsevier, vol. 105(C).
    20. Wang, Jiashun & Wang, Jiqian & Ma, Feng, 2024. "International commodity market and stock volatility predictability: Evidence from G7 countries," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 62-71.
    21. He, Mengxi & Shen, Lihua & Zhang, Yaojie & Zhang, Yi, 2023. "Predicting cryptocurrency returns for real-world investments: A daily updated and accessible predictor," Finance Research Letters, Elsevier, vol. 58(PA).
    22. Huang, Yisu & Ma, Feng & Bouri, Elie & Huang, Dengshi, 2023. "A comprehensive investigation on the predictive power of economic policy uncertainty from non-U.S. countries for U.S. stock market returns," International Review of Financial Analysis, Elsevier, vol. 87(C).
    23. Yan, Xiang & Bai, Jiancheng & Li, Xiafei & Chen, Zhonglu, 2022. "Can dimensional reduction technology make better use of the information of uncertainty indices when predicting volatility of Chinese crude oil futures?," Resources Policy, Elsevier, vol. 75(C).
    24. Zhang, Lixia & Luo, Qin & Guo, Xiaozhu & Umar, Muhammad, 2022. "Medium-term and long-term volatility forecasts for EUA futures with country-specific economic policy uncertainty indices," Resources Policy, Elsevier, vol. 77(C).
    25. Xing, Li-Min & Zhang, Yue-Jun, 2022. "Forecasting crude oil prices with shrinkage methods: Can nonconvex penalty and Huber loss help?," Energy Economics, Elsevier, vol. 110(C).
    26. Yin, Libo & Cao, Hong & Guo, Yumei, 2024. "The information content of Shanghai crude oil futures vs WTI benchmark: Evidence from temporal and spatial dimensions," Energy Economics, Elsevier, vol. 132(C).
    27. Shu, Lei & Lu, Feiyang & Chen, Yu, 2023. "Robust forecasting with scaled independent component analysis," Finance Research Letters, Elsevier, vol. 51(C).
    28. Liu, Wei-han & Xu, Xingfu, 2024. "Forecasting crude oil price: A deep forest ensemble approach," Finance Research Letters, Elsevier, vol. 69(PB).
    29. Guo, Xiaozhu & Huang, Dengshi & Li, Xiafei & Liang, Chao, 2023. "Are categorical EPU indices predictable for carbon futures volatility? Evidence from the machine learning method," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 672-693.
    30. Zhang, Yaojie & He, Mengxi & Liao, Cunfei & Wang, Yudong, 2023. "Climate risk exposure and the cross-section of Chinese stock returns," Finance Research Letters, Elsevier, vol. 55(PB).
    31. Zhikai Zhang & Yaojie Zhang & Yudong Wang & Qunwei Wang, 2024. "The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 557-584, April.
    32. Mengxi He & Yudong Wang & Yaojie Zhang, 2023. "The predictability of iron ore futures prices: A product‐material lead–lag effect," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1289-1304, September.
    33. Luo, Keyu & Guo, Qiang & Li, Xiafei, 2022. "Can the return connectedness indices from grey energy to natural gas help to forecast the natural gas returns?," Energy Economics, Elsevier, vol. 109(C).
    34. Zhang, Yaojie & He, Mengxi & Wen, Danyan & Wang, Yudong, 2023. "Forecasting crude oil price returns: Can nonlinearity help?," Energy, Elsevier, vol. 262(PB).
    35. Fameliti Stavroula & Skintzi Vasiliki, 2024. "Macroeconomic attention and commodity market volatility," Empirical Economics, Springer, vol. 67(5), pages 1967-2007, November.
    36. Zhang, Ditian & Tang, Pan, 2023. "Forecasting European Union allowances futures: The role of technical indicators," Energy, Elsevier, vol. 270(C).
    37. Amar Rao & Marco Tedeschi & Kamel Si Mohammed & Umer Shahzad, 2024. "Role of Economic Policy Uncertainty in Energy Commodities Prices Forecasting: Evidence from a Hybrid Deep Learning Approach," Computational Economics, Springer;Society for Computational Economics, vol. 64(6), pages 3295-3315, December.
    38. Li, Yan & Huo, Jiale & Xu, Yongan & Liang, Chao, 2023. "Belief-based momentum indicator and stock market return predictability," Research in International Business and Finance, Elsevier, vol. 64(C).
    39. Gong, Xue & Ye, Xin & Zhang, Weiguo & Zhang, Yue, 2023. "Predicting energy futures high-frequency volatility using technical indicators: The role of interaction," Energy Economics, Elsevier, vol. 119(C).
    40. Jin, Daxiang & He, Mengxi & Xing, Lu & Zhang, Yaojie, 2022. "Forecasting China's crude oil futures volatility: How to dig out the information of other energy futures volatilities?," Resources Policy, Elsevier, vol. 78(C).
    41. Liu, Jing & He, Qiubei & Li, Yan & Huynh, Luu Duc Toan & Liang, Chao, 2023. "The change in stock-selection risk and stock market returns," International Review of Financial Analysis, Elsevier, vol. 85(C).
    42. Li, Xiafei & Guo, Qiang & Liang, Chao & Umar, Muhammad, 2023. "Forecasting gold volatility with geopolitical risk indices," Research in International Business and Finance, Elsevier, vol. 64(C).
    43. Zhang, Yaojie & He, Jiaxin & He, Mengxi & Li, Shaofang, 2023. "Geopolitical risk and stock market volatility: A global perspective," Finance Research Letters, Elsevier, vol. 53(C).
    44. Wen, Danyan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2024. "Forecasting crude oil market volatility: A comprehensive look at uncertainty variables," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1022-1041.
    45. Lu, Xinjie & Ma, Feng & Wang, Tianyang & Wen, Fenghua, 2023. "International stock market volatility: A data-rich environment based on oil shocks," Journal of Economic Behavior & Organization, Elsevier, vol. 214(C), pages 184-215.
    46. Yi, Yongsheng & He, Mengxi & Zhang, Yaojie, 2022. "Out-of-sample prediction of Bitcoin realized volatility: Do other cryptocurrencies help?," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    47. Li, Yan & Liang, Chao & Huynh, Toan Luu Duc, 2022. "Forecasting US stock market returns by the aggressive stock-selection opportunity," Finance Research Letters, Elsevier, vol. 50(C).
    48. Xue Gong & Weiguo Zhang & Weijun Xu & Zhe Li, 2022. "Uncertainty index and stock volatility prediction: evidence from international markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-44, December.
    49. Bai, Fan & Zhang, Yaqi & Chen, Zhonglu & Li, Yan, 2023. "The volatility of daily tug-of-war intensity and stock market returns," Finance Research Letters, Elsevier, vol. 55(PA).
    50. Lucey, Brian & Ren, Boru, 2021. "Does news tone help forecast oil?," Economic Modelling, Elsevier, vol. 104(C).
    51. Fang, Tianhui & Zheng, Chunling & Wang, Donghua, 2023. "Forecasting the crude oil prices with an EMD-ISBM-FNN model," Energy, Elsevier, vol. 263(PA).
    52. Xu Gong & Keqin Guan & Qiyang Chen, 2022. "The role of textual analysis in oil futures price forecasting based on machine learning approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1987-2017, October.
    53. He, Mengxi & Zhang, Zhikai & Zhang, Yaojie, 2024. "Forecasting crude oil prices with global ocean temperatures," Energy, Elsevier, vol. 311(C).
    54. Li, Xiafei & Liang, Chao & Chen, Zhonglu & Umar, Muhammad, 2022. "Forecasting crude oil volatility with uncertainty indicators: New evidence," Energy Economics, Elsevier, vol. 108(C).
    55. Zhang, Zhikai & Wang, Yudong & Zhang, Yaojie & Wang, Qunwei, 2024. "Forecasting carbon prices under diversified attention: A dynamic model averaging approach with common factors," Energy Economics, Elsevier, vol. 133(C).
    56. Gaoxiu Qiao & Yijun Pan & Chao Liang & Lu Wang & Jinghui Wang, 2024. "Forecasting Chinese crude oil futures volatility: New evidence based on dual feature processing of large‐scale variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2495-2521, November.
    57. Xu, Yongan & Liang, Chao & Li, Yan & Huynh, Toan L.D., 2022. "News sentiment and stock return: Evidence from managers’ news coverages," Finance Research Letters, Elsevier, vol. 48(C).

  42. Xiao, Jihong & Wang, Yudong, 2021. "Investor attention and oil market volatility: Does economic policy uncertainty matter?," Energy Economics, Elsevier, vol. 97(C).

    Cited by:

    1. Wu, Nan & Wen, Fenghua & Gong, Xu, 2022. "Marionettes behind co-movement of commodity prices: Roles of speculative and hedging activities," Energy Economics, Elsevier, vol. 115(C).
    2. Damien KUNJAL, 2023. "The Role of Investor Attention in ETF Liquidity," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 7(2), pages 45-64.
    3. Xiao, Jihong & Chen, Xian & Li, Yang & Wen, Fenghua, 2022. "Oil price uncertainty and stock price crash risk: Evidence from China," Energy Economics, Elsevier, vol. 112(C).
    4. Liu, Fangying & Su, Chi Wei & Tao, Ran & Lobonţ, Oana-Ramona, 2024. "Does economic and climate policy uncertainty matter the oil market?," Resources Policy, Elsevier, vol. 95(C).
    5. Liu, Zhenhua & Zhang, Huiying & Ding, Zhihua & Lv, Tao & Wang, Xu & Wang, Deqing, 2022. "When are the effects of economic policy uncertainty on oil–stock correlations larger? Evidence from a regime-switching analysis," Economic Modelling, Elsevier, vol. 114(C).
    6. Yildirim, Zekeriya & Guloglu, Hasan, 2024. "Macro-financial transmission of global oil shocks to BRIC countries — International financial (uncertainty) conditions matter," Energy, Elsevier, vol. 306(C).
    7. Huabin Bian & Renhai Hua & Qingfu Liu & Ping Zhang, 2022. "Petroleum market volatility tracker in China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(11), pages 2022-2040, November.
    8. Marie Bessec & Julien Fouquau, 2024. "A Green Wave in Media: A Change of Tack in Stock Markets," Post-Print hal-04706501, HAL.
    9. Mao, Zhouheng & Wang, Hui & Bibi, Sidra, 2024. "Crude oil volatility spillover and stock market returns across the COVID-19 pandemic and post-pandemic periods: An empirical study of China, US, and India," Resources Policy, Elsevier, vol. 88(C).
    10. Xiao, Jihong & Wen, Fenghua & He, Zhifang, 2023. "Impact of geopolitical risks on investor attention and speculation in the oil market: Evidence from nonlinear and time-varying analysis," Energy, Elsevier, vol. 267(C).
    11. Xiao, Jihong & Liu, Hong, 2023. "The time-varying impact of uncertainty on oil market fear: Does climate policy uncertainty matter?," Resources Policy, Elsevier, vol. 82(C).
    12. Jana, Rabin K., 2024. "Are metaverse coins more prone to geopolitical risk than traditional crypto assets?," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 436-447.
    13. Yasmeen, Rizwana & Shah, Wasi Ul Hassan, 2024. "Energy uncertainty, geopolitical conflict, and militarization matters for Renewable and non-renewable energy development: Perspectives from G7 economies," Energy, Elsevier, vol. 306(C).
    14. Doğan, Buhari & Trabelsi, Nader & Tiwari, Aviral Kumar & Ghosh, Sudeshna, 2023. "Dynamic dependence and causality between crude oil, green bonds, commodities, geopolitical risks, and policy uncertainty," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 36-62.
    15. Gu, Xin & Zhu, Zixiang & Yu, Minli, 2021. "The macro effects of GPR and EPU indexes over the global oil market—Are the two types of uncertainty shock alike?," Energy Economics, Elsevier, vol. 100(C).
    16. He, Feng & Yan, Yulin & Hao, Jing & Wu, Ji (George), 2022. "Retail investor attention and corporate green innovation: Evidence from China," Energy Economics, Elsevier, vol. 115(C).
    17. Dai, Zhifeng & Tang, Rui & Zhang, Xiaotong, 2023. "A new multilayer network for measuring interconnectedness among the energy firms," Energy Economics, Elsevier, vol. 124(C).
    18. Huang, Yisu & Xu, Weiju & Huang, Dengshi & Zhao, Chenchen, 2023. "Chinese crude oil futures volatility and sustainability: An uncertainty indices perspective," Resources Policy, Elsevier, vol. 80(C).
    19. Maxwell Chukwudi Udeagha & Edwin Muchapondwa, 2023. "Environmental sustainability in South Africa: Understanding the criticality of economic policy uncertainty, fiscal decentralization, and green innovation," Sustainable Development, John Wiley & Sons, Ltd., vol. 31(3), pages 1638-1651, June.
    20. Xu Gong & Mengjie Li & Keqin Guan & Chuanwang Sun, 2023. "Climate change attention and carbon futures return prediction," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1261-1288, September.
    21. Oguzhan Cepni, Duc Khuong Nguyen, and Ahmet Sensoy, 2022. "News Media and Attention Spillover across Energy Markets: A Powerful Predictor of Crude Oil Futures Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Special I).
    22. Benlemlih, Mohammed & El Ouadghiri, Imane & Peillex, Jonathan & Platania, Federico & Toscano Hernandez, Celina, 2024. "Low-carbon movement and stock market uncertainty: Insights from international comparisons between fossil fuel companies," Energy Economics, Elsevier, vol. 136(C).
    23. Wang, Qunwei & Liu, Mengmeng & Xiao, Ling & Dai, Xingyu & Li, Matthew C. & Wu, Fei, 2022. "Conditional sovereign CDS in market basket risk scenario: A dynamic vine-copula analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
    24. Lu Wang & Shan Li & Chao Liang, 2024. "Exploring the impact of oil security attention on oil volatility: A new perspective," International Finance, Wiley Blackwell, vol. 27(1), pages 61-80, April.
    25. Lin, Boqiang & Chen, Yiyang & Gong, Xu, 2024. "Stress from attention: The relationship between climate change attention and crude oil markets," Journal of Commodity Markets, Elsevier, vol. 34(C).
    26. Tong, Yuan & Wan, Ning & Dai, Xingyu & Bi, Xiaoyi & Wang, Qunwei, 2022. "China's energy stock market jumps: To what extent does the COVID-19 pandemic play a part?," Energy Economics, Elsevier, vol. 109(C).
    27. Liu, Wenwen & Zhao, Peng & Luo, Ziyang & Tang, Miaomiao, 2024. "The dynamic impact of network attention on natural resources prices in pre-and post-Russian-Ukrainian war," Resources Policy, Elsevier, vol. 97(C).
    28. Jingjian, Si & Xiangyun, Gao & Jinsheng, Zhou & Anjian, Wang & Xiaotian, Sun & Yiran, Zhao & Hongyu, Wei, 2023. "The impact of oil price shocks on energy stocks from the perspective of investor attention," Energy, Elsevier, vol. 278(PB).
    29. Xiao, Jihong & Wang, Yudong, 2022. "Good oil volatility, bad oil volatility, and stock return predictability," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 953-966.
    30. Xiao, Jihong & Jiang, Jiajie & Zhang, Yaojie, 2024. "Policy uncertainty, investor sentiment, and good and bad volatilities in the stock market: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 84(C).
    31. Xiao, Jihong & Wang, Yudong, 2022. "Macroeconomic uncertainty, speculation, and energy futures returns: Evidence from a quantile regression," Energy, Elsevier, vol. 241(C).
    32. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Attention to oil prices and its impact on the oil, gold and stock markets and their covariance," Energy Economics, Elsevier, vol. 120(C).
    33. Lin, Boqiang & Wei, Kai, 2024. "Does investor attitude toward carbon neutrality affect stock returns in China?," International Review of Financial Analysis, Elsevier, vol. 93(C).
    34. Li, Xiafei & Liang, Chao & Chen, Zhonglu & Umar, Muhammad, 2022. "Forecasting crude oil volatility with uncertainty indicators: New evidence," Energy Economics, Elsevier, vol. 108(C).
    35. Zhang, Zhikai & Wang, Yudong & Zhang, Yaojie & Wang, Qunwei, 2024. "Forecasting carbon prices under diversified attention: A dynamic model averaging approach with common factors," Energy Economics, Elsevier, vol. 133(C).
    36. Pham, Linh & Cepni, Oguzhan, 2022. "Extreme directional spillovers between investor attention and green bond markets," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 186-210.

  43. Zhiyuan Pan & Yudong Wang & Li Liu, 2021. "Realized bipower variation, jump components, and option valuation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1933-1958, December.

    Cited by:

    1. Pan, Zhiyuan & Shuai, Jiangyu & Liang, Zhilei & Sun, Xianchao, 2022. "Jump dynamics, spillover effect and option valuation," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).

  44. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2021. "Realized skewness and the short-term predictability for aggregate stock market volatility," Economic Modelling, Elsevier, vol. 103(C).

    Cited by:

    1. Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2023. "Discovering the drivers of stock market volatility in a data-rich world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    2. He, Mengxi & Wang, Yudong & Zeng, Qing & Zhang, Yaojie, 2023. "Forecasting aggregate stock market volatility with industry volatilities: The role of spillover index," Research in International Business and Finance, Elsevier, vol. 65(C).
    3. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2022. "Geopolitical risk trends and crude oil price predictability," Energy, Elsevier, vol. 258(C).
    4. Song, Ziyu & Gong, Xiaomin & Zhang, Cheng & Yu, Changrui, 2023. "Investor sentiment based on scaled PCA method: A powerful predictor of realized volatility in the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 528-545.
    5. Mengxi He & Yaojie Zhang & Yudong Wang & Danyan Wen, 2024. "Modelling and forecasting crude oil price volatility with climate policy uncertainty," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-10, December.
    6. Matteo Foglia & Vasilios Plakandaras & Rangan Gupta & Elie Bouri, 2023. "Multi-Layer Spillovers between Volatility and Skewness in International Stock Markets Over a Century of Data: The Role of Disaster Risks," Working Papers 202337, University of Pretoria, Department of Economics.
    7. Jin, Daxiang & He, Mengxi & Xing, Lu & Zhang, Yaojie, 2022. "Forecasting China's crude oil futures volatility: How to dig out the information of other energy futures volatilities?," Resources Policy, Elsevier, vol. 78(C).
    8. Elie Bouri & Rangan Gupta & Asingamaanda Liphadzi & Christian Pierdzioch, 2024. "Forecasting Stock Returns Volatility of the G7 Over Centuries: The Role of Climate Risks," Working Papers 202424, University of Pretoria, Department of Economics.
    9. Niu, Zibo & Ma, Feng & Zhang, Hongwei, 2022. "The role of uncertainty measures in volatility forecasting of the crude oil futures market before and during the COVID-19 pandemic," Energy Economics, Elsevier, vol. 112(C).
    10. Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2024. "Forecasting Realized US Stock Market Volatility: Is there a Role for Economic Policy Uncertainty?," Working Papers 202408, University of Pretoria, Department of Economics.
    11. Ni, He & Zhang, Qin & Guo, Xingjian & Mirza, Sultan Sikandar, 2024. "Portfolio optimization by enhanced LinUCB," Finance Research Letters, Elsevier, vol. 70(C).
    12. Yuqing Feng & Yaojie Zhang & Yudong Wang, 2024. "Out‐of‐sample volatility prediction: Rolling window, expanding window, or both?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(3), pages 567-582, April.
    13. Chen, Yan & Liu, Yakun & Zhang, Feipeng, 2024. "Coskewness and the short-term predictability for Bitcoin return," Technological Forecasting and Social Change, Elsevier, vol. 200(C).

  45. Yaojie Zhang & Yudong Wang & Feng Ma, 2021. "Forecasting US stock market volatility: How to use international volatility information," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 733-768, August.

    Cited by:

    1. Li, Houjian & Zhou, Deheng & Hu, Jiayu & Li, Junwen & Su, Mengying & Guo, Lili, 2023. "Forecasting the realized volatility of Energy Stock Market: A multimodel comparison," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    2. He, Mengxi & Wang, Yudong & Zeng, Qing & Zhang, Yaojie, 2023. "Forecasting aggregate stock market volatility with industry volatilities: The role of spillover index," Research in International Business and Finance, Elsevier, vol. 65(C).
    3. Lu, Fei & Ma, Feng & Li, Pan & Huang, Dengshi, 2022. "Natural gas volatility predictability in a data-rich world," International Review of Financial Analysis, Elsevier, vol. 83(C).
    4. Chen, Zhonglu & Ye, Yong & Li, Xiafei, 2022. "Forecasting China's crude oil futures volatility: New evidence from the MIDAS-RV model and COVID-19 pandemic," Resources Policy, Elsevier, vol. 75(C).
    5. Dai, Zhifeng & Luo, Zhuang & Liu, Chang, 2023. "Dynamic volatility spillovers and investment strategies between crude oil, new energy, and resource related sectors," Resources Policy, Elsevier, vol. 83(C).
    6. Luo, Qin & Bu, Jinfeng & Xu, Weiju & Huang, Dengshi, 2023. "Stock market volatility prediction: Evidence from a new bagging model," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 445-456.
    7. Maki, Daiki, 2024. "Asymmetric effect of trading volume on realized volatility," International Review of Economics & Finance, Elsevier, vol. 94(C).
    8. Yan, Xiang & Bai, Jiancheng & Li, Xiafei & Chen, Zhonglu, 2022. "Can dimensional reduction technology make better use of the information of uncertainty indices when predicting volatility of Chinese crude oil futures?," Resources Policy, Elsevier, vol. 75(C).
    9. Chen, Juan & Ma, Feng & Qiu, Xuemei & Li, Tao, 2023. "The role of categorical EPU indices in predicting stock-market returns," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 365-378.
    10. Zhikai Zhang & Yaojie Zhang & Yudong Wang & Qunwei Wang, 2024. "The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 557-584, April.
    11. Yi, Yongsheng & He, Mengxi & Zhang, Yaojie, 2022. "Out-of-sample prediction of Bitcoin realized volatility: Do other cryptocurrencies help?," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    12. Wang, Yide & Chen, Zan & Ji, Xiaodong, 2023. "Cross-market information transmission and stock market volatility prediction," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
    13. Zhang, Zhikai & Wang, Yudong & Zhang, Yaojie & Wang, Qunwei, 2024. "Forecasting carbon prices under diversified attention: A dynamic model averaging approach with common factors," Energy Economics, Elsevier, vol. 133(C).

  46. Qianjie Geng & Yudong Wang, 2021. "Futures Hedging in CSI 300 Markets: A Comparison Between Minimum-Variance and Maximum-Utility Frameworks," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 719-742, February.

    Cited by:

    1. Sharma, Udayan & Karmakar, Madhusudan, 2023. "Measuring minimum variance hedging effectiveness: Traditional vs. sophisticated models," International Review of Financial Analysis, Elsevier, vol. 87(C).

  47. Zhiyuan Pan & Yudong Wang & Li Liu, 2021. "Macroeconomic uncertainty and expected shortfall (and value at risk): a new dynamic semiparametric model," Quantitative Finance, Taylor & Francis Journals, vol. 21(11), pages 1791-1805, November.

    Cited by:

    1. Saad Alsunbul & Basim Alzugaiby & Sajid Chaudhry & Rhada Boujlil, 2024. "The fatter the tail, the shorter the sail," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(1), pages 331-380, March.
    2. Bahram Adrangi & Arjun Chatrath & Kambiz Raffiee, 2023. "S&P 500 volatility, volatility regimes, and economic uncertainty," Bulletin of Economic Research, Wiley Blackwell, vol. 75(4), pages 1362-1387, October.

  48. Song, Xiaoling & Wang, Yudong & Zhang, Zhe & Shen, Charles & Peña-Mora, Feniosky, 2021. "Economic-environmental equilibrium-based bi-level dispatch strategy towards integrated electricity and natural gas systems," Applied Energy, Elsevier, vol. 281(C).

    Cited by:

    1. Çalcı, Baturay & Leibowicz, Benjamin D. & Bard, Jonathan F. & Jayadev, Gopika G., 2024. "A bilevel approach to multi-period natural gas pricing and investment in gas-consuming infrastructure," Energy, Elsevier, vol. 303(C).
    2. Fan, Lurong & Ma, Ning & Zhang, Wen, 2023. "Multi-stakeholder equilibrium-based subsidy allocation mechanism for promoting coalbed methane scale extraction-utilization," Energy, Elsevier, vol. 277(C).
    3. Hsu, Hsin-Wei & Yang, Chu-Chuan, 2024. "Assessing land resource planning for agrivoltaics development: Examining synergies approaches between government and farmers," Energy, Elsevier, vol. 298(C).
    4. Fan, Wei & Tan, Qingbo & Zhang, Amin & Ju, Liwei & Wang, Yuwei & Yin, Zhe & Li, Xudong, 2023. "A Bi-level optimization model of integrated energy system considering wind power uncertainty," Renewable Energy, Elsevier, vol. 202(C), pages 973-991.
    5. Dezhou Kong & Jianru Jing & Tingyue Gu & Xuanyue Wei & Xingning Sa & Yimin Yang & Zhiang Zhang, 2023. "Theoretical Analysis of Integrated Community Energy Systems (ICES) Considering Integrated Demand Response (IDR): A Review of the System Modelling and Optimization," Energies, MDPI, vol. 16(10), pages 1-22, May.
    6. Chen, Yixuan & Hou, Yunhe, 2022. "Fast yet balanced trade-offs for multi-timescale multi-objective economic-environmental dispatch under varying conflicts," Applied Energy, Elsevier, vol. 328(C).
    7. Ahmed, Ijaz & Rehan, Muhammad & Basit, Abdul & Malik, Saddam Hussain & Alvi, Um-E-Habiba & Hong, Keum-Shik, 2022. "Multi-area economic emission dispatch for large-scale multi-fueled power plants contemplating inter-connected grid tie-lines power flow limitations," Energy, Elsevier, vol. 261(PB).
    8. Ma, Ning & Fan, Lurong, 2023. "Double recovery strategy of carbon for coal-to-power based on a multi-energy system with tradable green certificates," Energy, Elsevier, vol. 273(C).
    9. Pengying Wang & Shuo Zhang & Limei Chen, 2023. "Research on the Integration of a Natural Gas-Distributed Energy System into the Oilfield Facility in China," Sustainability, MDPI, vol. 15(4), pages 1-15, February.
    10. Ma, Mingtao & Huang, Huijun & Song, Xiaoling & Peña-Mora, Feniosky & Zhang, Zhe & Chen, Jie, 2022. "Optimal sizing and operations of shared energy storage systems in distribution networks: A bi-level programming approach," Applied Energy, Elsevier, vol. 307(C).
    11. Hua, Weiqi & Jiang, Jing & Sun, Hongjian & Teng, Fei & Strbac, Goran, 2022. "Consumer-centric decarbonization framework using Stackelberg game and Blockchain," Applied Energy, Elsevier, vol. 309(C).
    12. Wu, Hui & Yue, Qiong & Guo, Ping & Xu, Xiaoyu, 2025. "Exploiting the potential of carbon emission reduction in cropping-livestock systems: Managing water-energy-food nexus for sustainable development," Applied Energy, Elsevier, vol. 377(PB).
    13. Liu, Dewen & Luo, Zhao & Qin, Jinghui & Wang, Hua & Wang, Gang & Li, Zhao & Zhao, Weijie & Shen, Xin, 2023. "Low-carbon dispatch of multi-district integrated energy systems considering carbon emission trading and green certificate trading," Renewable Energy, Elsevier, vol. 218(C).
    14. Zhang, Tong & Li, Zhigang & Wu, Qiuwei & Pan, Shixian & Wu, Q.H., 2022. "Dynamic energy flow analysis of integrated gas and electricity systems using the holomorphic embedding method," Applied Energy, Elsevier, vol. 309(C).
    15. Stennikov, Valery & Barakhtenko, Evgeny & Mayorov, Gleb & Sokolov, Dmitry & Zhou, Bin, 2022. "Coordinated management of centralized and distributed generation in an integrated energy system using a multi-agent approach," Applied Energy, Elsevier, vol. 309(C).

  49. Wen, Danyan & Wang, Yudong & Ma, Chaoqun & Zhang, Yaojie, 2020. "Information transmission between gold and financial assets: Mean, volatility, or risk spillovers?," Resources Policy, Elsevier, vol. 69(C).

    Cited by:

    1. Mensi, Walid & Shafiullah, Muhammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Volatility spillovers between strategic commodity futures and stock markets and portfolio implications: Evidence from developed and emerging economies," Resources Policy, Elsevier, vol. 71(C).
    2. Ding, Qian & Huang, Jianbai & Gao, Wang & Zhang, Hongwei, 2022. "Does political risk matter for gold market fluctuations? A structural VAR analysis," Research in International Business and Finance, Elsevier, vol. 60(C).
    3. Bouri, Elie & Lei, Xiaojie & Jalkh, Naji & Xu, Yahua & Zhang, Hongwei, 2021. "Spillovers in higher moments and jumps across US stock and strategic commodity markets," Resources Policy, Elsevier, vol. 72(C).
    4. Maghyereh, Aktham & Awartani, Basel & Virk, Nader S., 2022. "Asymmetric risk transmissions between oil, gold and US equities: Recent evidence from the realized variance of the futures prices," Resources Policy, Elsevier, vol. 79(C).
    5. Yan, Wan-Lin & Cheung, Adrian (Wai Kong), 2023. "The dynamic spillover effects of climate policy uncertainty and coal price on carbon price: Evidence from China," Finance Research Letters, Elsevier, vol. 53(C).
    6. Mensi, Walid & Mishra, Tapas & Ko, Hee-Un & Vo, Xuan Vinh & Kang, Sang Hoon, 2024. "Quantile dependence and portfolio management between oil, gold, silver, and MENA stock markets," Research in International Business and Finance, Elsevier, vol. 70(PA).
    7. Yousaf, Imran & Arfaoui, Nadia & Gubareva, Mariya, 2024. "Spillovers and hedging effectiveness between oil and US equity sectors: Evidence from the COVID pre- and post-vaccination phases," Research in International Business and Finance, Elsevier, vol. 69(C).
    8. Arfaoui, Nadia & Yousaf, Imran & Jareño, Francisco, 2023. "Return and volatility connectedness between gold and energy markets: Evidence from the pre- and post-COVID vaccination phases," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 617-634.
    9. Chen, Zhonglu & Ye, Yong & Li, Xiafei, 2022. "Forecasting China's crude oil futures volatility: New evidence from the MIDAS-RV model and COVID-19 pandemic," Resources Policy, Elsevier, vol. 75(C).
    10. Dai, Zhifeng & Luo, Zhuang & Liu, Chang, 2023. "Dynamic volatility spillovers and investment strategies between crude oil, new energy, and resource related sectors," Resources Policy, Elsevier, vol. 83(C).
    11. Lin, Boqiang & Su, Tong, 2021. "Do China's macro-financial factors determine the Shanghai crude oil futures market?," International Review of Financial Analysis, Elsevier, vol. 78(C).
    12. Liao, Jianhui & Zhu, Xuehong & Chen, Jinyu, 2021. "Dynamic spillovers across oil, gold and stock markets in the presence of major public health emergencies," International Review of Financial Analysis, Elsevier, vol. 77(C).
    13. Hong, Yanran & Ma, Feng & Wang, Lu & Liang, Chao, 2022. "How does the COVID-19 outbreak affect the causality between gold and the stock market? New evidence from the extreme Granger causality test," Resources Policy, Elsevier, vol. 78(C).
    14. Ding, Qian & Huang, Jianbai & Chen, Jinyu, 2021. "Dynamic and frequency-domain risk spillovers among oil, gold, and foreign exchange markets: Evidence from implied volatility," Energy Economics, Elsevier, vol. 102(C).
    15. Zhao, Yihang & Zhou, Zhenxi & Zhang, Kaiwen & Huo, Yaotong & Sun, Dong & Zhao, Huiru & Sun, Jingqi & Guo, Sen, 2023. "Research on spillover effect between carbon market and electricity market: Evidence from Northern Europe," Energy, Elsevier, vol. 263(PF).
    16. Suleman, Muhammad Tahir & McIver, Ron & Kang, Sang Hoon, 2021. "Asymmetric volatility connectedness between Islamic stock and commodity markets," Global Finance Journal, Elsevier, vol. 49(C).

  50. Liu, Li & Tan, Siming & Wang, Yudong, 2020. "Can commodity prices forecast exchange rates?," Energy Economics, Elsevier, vol. 87(C).

    Cited by:

    1. Athanasios Triantafyllou & Dimitrios Bakas & Marilou Ioakimidis, 2019. "Commodity Price Uncertainty as a Leading Indicator of Economic Activity," Working Paper series 19-03, Rimini Centre for Economic Analysis.
    2. Wen, Danyan & Liu, Li & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market returns: Enhanced moving average technical indicators," Resources Policy, Elsevier, vol. 76(C).
    3. Liu, Yunqiang & Liu, Sha & Ye, Deping & Tang, Hong & Wang, Fang, 2022. "Dynamic impact of negative public sentiment on agricultural product prices during COVID-19," Journal of Retailing and Consumer Services, Elsevier, vol. 64(C).
    4. Juan Antonio Galán-Gutiérrez & Rodrigo Martín-García, 2022. "Fundamentals vs. Financialization during Extreme Events: From Backwardation to Contango, a Copper Market Analysis during the COVID-19 Pandemic," Mathematics, MDPI, vol. 10(4), pages 1-23, February.
    5. Gkillas, Konstantinos & Konstantatos, Christoforos & Papathanasiou, Spyros & Wohar, Mark, 2023. "Estimation of value at risk for copper," Journal of Commodity Markets, Elsevier, vol. 32(C).
    6. Olga Dodd & Adrian Fernández-Pérez & Simon Sosvilla-Rivero, 2024. "Currency and commodity return relationship under extreme geopolitical risks: evidence from the invasion of Ukraine," Applied Economics Letters, Taylor & Francis Journals, vol. 31(1), pages 46-55, January.
    7. Kočenda, Evžen & Moravcová, Michala, 2024. "Frequency volatility connectedness and portfolio hedging of U.S. energy commodities," Research in International Business and Finance, Elsevier, vol. 69(C).
    8. Borgards, Oliver & Czudaj, Robert L. & Hoang, Thi Hong Van, 2021. "Price overreactions in the commodity futures market: An intraday analysis of the Covid-19 pandemic impact," Resources Policy, Elsevier, vol. 71(C).
    9. Ernest Owusu Boakye & Kari Heimonen & Juha Junttila, 2024. "Commodity markets and the global macroeconomy: evidence from machine learning and GVAR," Empirical Economics, Springer, vol. 67(5), pages 1919-1965, November.
    10. Zhao, Yinglan & Feng, Chen & Xu, Nuo & Peng, Song & Liu, Chang, 2023. "Early warning of exchange rate risk based on structural shocks in international oil prices using the LSTM neural network model," Energy Economics, Elsevier, vol. 126(C).
    11. Makkonen, Adam & Vallström, Daniel & Uddin, Gazi Salah & Rahman, Md Lutfur & Haddad, Michel Ferreira Cardia, 2021. "The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns," Energy Economics, Elsevier, vol. 100(C).
    12. Tanin, Tauhidul Islam & Hasanov, Akram Shavkatovich & Shaiban, Mohammed Sharaf Mohsen & Brooks, Robert, 2022. "Risk transmission from the oil market to Islamic and conventional banks in oil-exporting and oil-importing countries," Energy Economics, Elsevier, vol. 115(C).
    13. Zuzana Rowland & George Lazaroiu & Ivana Podhorská, 2020. "Use of Neural Networks to Accommodate Seasonal Fluctuations When Equalizing Time Series for the CZK/RMB Exchange Rate," Risks, MDPI, vol. 9(1), pages 1-21, December.
    14. Chatziantoniou, Ioannis & Elsayed, Ahmed H. & Gabauer, David & Gozgor, Giray, 2023. "Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies," Energy Economics, Elsevier, vol. 120(C).

  51. Liu, Donghui & Meng, Lingjie & Wang, Yudong, 2020. "Oil price shocks and Chinese economy revisited: New evidence from SVAR model with sign restrictions," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 20-32.

    Cited by:

    1. Pham T. T. Trinh & Bui T. T. My, 2023. "The impact of world oil price shocks on macroeconomic variables in Vietnam: the transmission through domestic oil price," Asian-Pacific Economic Literature, The Crawford School, The Australian National University, vol. 37(1), pages 67-87, May.
    2. Ling Tian & Haisong Dong, 2023. "Study on the Dynamic Relationship between Chinese Residents’ Individual Characteristics and Commercial Health Insurance Demand," IJERPH, MDPI, vol. 20(6), pages 1-20, March.
    3. Sohag, Kazi & Sokhanvar, Amin & Belyaeva, Zhanna & Mirnezami, Seyed Reza, 2022. "Hydrocarbon prices shocks, fiscal stability and consolidation: Evidence from Russian Federation," Resources Policy, Elsevier, vol. 76(C).
    4. Sohag, Kazi & Kalina, Irina & Samargandi, Nahla, 2024. "Oil market cyclical shocks and fiscal stance in OPEC+," Energy, Elsevier, vol. 296(C).
    5. Jiang, Meihua & Huang, Yuzhe, 2023. "Is forward guidance an effective policy: A time-varying analysis," Finance Research Letters, Elsevier, vol. 58(PB).
    6. Markus Brueckner & Haidi Hong & Joaquin Vespignani, 2023. "Effects of Government Regulation of Diesel and Petrol Prices on GDP Growth: Evidence from China," ANU Working Papers in Economics and Econometrics 2023-690, Australian National University, College of Business and Economics, School of Economics.
    7. Rodrigo da Silva Souza & Leonardo Bornacki Mattos, 2023. "Macroeconomic effects of oil price shocks on an emerging market economy," Economic Change and Restructuring, Springer, vol. 56(2), pages 803-824, April.
    8. Markus Brueckner & Haidi Hong & Joaquin Vespignani, 2023. "Regulation of Petrol and Diesel Prices and their Effects on GDP Growth: Evidence from China," CAMA Working Papers 2023-17, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    9. Tong, Yuan & Wan, Ning & Dai, Xingyu & Bi, Xiaoyi & Wang, Qunwei, 2022. "China's energy stock market jumps: To what extent does the COVID-19 pandemic play a part?," Energy Economics, Elsevier, vol. 109(C).
    10. Adedeji, Abdulkabir N. & Ahmed, Funmilola F. & Adam, Shehu U., 2021. "Examining the dynamic effect of COVID-19 pandemic on dwindling oil prices using structural vector autoregressive model," Energy, Elsevier, vol. 230(C).
    11. Wang, Kai-Hua & Su, Chi-Wei & Xiao, Yidong & Liu, Lu, 2022. "Is the oil price a barometer of China's automobile market? From a wavelet-based quantile-on-quantile regression perspective," Energy, Elsevier, vol. 240(C).
    12. Jiang, Qisheng & Cheng, Sheng, 2021. "How the fiscal and monetary policy uncertainty of China respond to global oil price volatility: A multi-regime-on-scale approach," Resources Policy, Elsevier, vol. 72(C).
    13. Nan, Yu & Sun, Renjin & Zhen, Zhao & Fangjing, Chu, 2022. "Measurement of international crude oil price cyclical fluctuations and correlation with the world economic cyclical changes," Energy, Elsevier, vol. 260(C).
    14. Roudari, Soheil & Mensi, Walid & Kharusi, Sami Al & Ahmadian-Yazdi, Farzaneh, 2023. "Impacts of oil shocks on stock markets in Norway and Japan: Does monetary policy's effectiveness matter?," International Economics, Elsevier, vol. 173(C), pages 343-358.
    15. Zhang, Chuanguo & Mou, Xinjie & Ye, Shuping, 2022. "How do dynamic jumps in global crude oil prices impact China's industrial sector?," Energy, Elsevier, vol. 249(C).
    16. Zhaoyong Sun & Xinyu Cai & Wei-Chiao Huang, 2022. "The Impact of Oil Price Fluctuations on Consumption, Output, and Investment in China’s Industrial Sectors," Energies, MDPI, vol. 15(9), pages 1-19, May.
    17. Köse, Nezir & Ünal, Emre, 2021. "The effects of the oil price and oil price volatility on inflation in Turkey," Energy, Elsevier, vol. 226(C).

  52. Wang, Yudong & Liu, Li & Wu, Chongfeng, 2020. "Forecasting commodity prices out-of-sample: Can technical indicators help?," International Journal of Forecasting, Elsevier, vol. 36(2), pages 666-683.

    Cited by:

    1. Henriques, Irene & Sadorsky, Perry, 2023. "Forecasting rare earth stock prices with machine learning," Resources Policy, Elsevier, vol. 86(PA).
    2. Wen, Chufu & Zhu, Haoyang & Dai, Zhifeng, 2023. "Forecasting commodity prices returns: The role of partial least squares approach," Energy Economics, Elsevier, vol. 125(C).
    3. Wen, Danyan & Liu, Li & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market returns: Enhanced moving average technical indicators," Resources Policy, Elsevier, vol. 76(C).
    4. Vecchi, Edoardo & Berra, Gabriele & Albrecht, Steffen & Gagliardini, Patrick & Horenko, Illia, 2023. "Entropic approximate learning for financial decision-making in the small data regime," Research in International Business and Finance, Elsevier, vol. 65(C).
    5. Xiaolu Wei & Hongbing Ouyang, 2023. "Forecasting Carbon Price Using Double Shrinkage Methods," IJERPH, MDPI, vol. 20(2), pages 1-20, January.
    6. Wen, Danyan & Wang, Yudong & Zhang, Yaojie, 2021. "Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism," Economic Modelling, Elsevier, vol. 96(C), pages 209-219.
    7. Choi, Insu & Kim, Woo Chang, 2024. "Practical forecasting of risk boundaries for industrial metals and critical minerals via statistical machine learning techniques," International Review of Financial Analysis, Elsevier, vol. 94(C).
    8. Yufeng Lin & Xiaogang Wang & Yuehua Wu, 2023. "An Adaptive Multiple-Asset Portfolio Strategy with User-Specified Risk Tolerance," Mathematics, MDPI, vol. 11(7), pages 1-35, March.
    9. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2022. "Geopolitical risk trends and crude oil price predictability," Energy, Elsevier, vol. 258(C).
    10. Plakandaras, Vasilios & Ji, Qiang, 2022. "Intrinsic decompositions in gold forecasting," Journal of Commodity Markets, Elsevier, vol. 28(C).
    11. Barua, Ronil & Sharma, Anil K., 2022. "Dynamic Black Litterman portfolios with views derived via CNN-BiLSTM predictions," Finance Research Letters, Elsevier, vol. 49(C).
    12. Khan, Faridoon & Muhammadullah, Sara & Sharif, Arshian & Lee, Chien-Chiang, 2024. "The role of green energy stock market in forecasting China's crude oil market: An application of IIS approach and sparse regression models," Energy Economics, Elsevier, vol. 130(C).
    13. Pan, Zhiyuan & Zhong, Hao & Wang, Yudong & Huang, Juan, 2024. "Forecasting oil futures returns with news," Energy Economics, Elsevier, vol. 134(C).
    14. Kyungbo Park & Hangook Kim & Jeonghwa Cha, 2023. "An Exploratory Study on the Development of a Crisis Index: Focusing on South Korea’s Petroleum Industry," Energies, MDPI, vol. 16(14), pages 1-24, July.
    15. Xing, Li-Min & Zhang, Yue-Jun, 2022. "Forecasting crude oil prices with shrinkage methods: Can nonconvex penalty and Huber loss help?," Energy Economics, Elsevier, vol. 110(C).
    16. Zhang, Yaojie & Wang, Yudong, 2023. "Forecasting crude oil futures market returns: A principal component analysis combination approach," International Journal of Forecasting, Elsevier, vol. 39(2), pages 659-673.
    17. Zhang, Yue-Jun & Li, Zhao-Chen, 2021. "Forecasting the stock returns of Chinese oil companies: Can investor attention help?," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 531-555.
    18. Hardy, Nicolás & Ferreira, Tiago & Quinteros, Maria J. & Magner, Nicolás S., 2023. "“Watch your tone!”: Forecasting mining industry commodity prices with financial report tone," Resources Policy, Elsevier, vol. 86(PA).
    19. Zhang, Ditian & Tang, Pan, 2023. "Forecasting European Union allowances futures: The role of technical indicators," Energy, Elsevier, vol. 270(C).
    20. Syed Abul, Basher & Perry, Sadorsky, 2022. "Forecasting Bitcoin price direction with random forests: How important are interest rates, inflation, and market volatility?," MPRA Paper 113293, University Library of Munich, Germany.
    21. Jonathan Berrisch & Florian Ziel, 2020. "Distributional Modeling and Forecasting of Natural Gas Prices," Papers 2010.06227, arXiv.org, revised Aug 2021.
    22. Gong, Xue & Ye, Xin & Zhang, Weiguo & Zhang, Yue, 2023. "Predicting energy futures high-frequency volatility using technical indicators: The role of interaction," Energy Economics, Elsevier, vol. 119(C).
    23. Li, Zhao-Chen & Xie, Chi & Zeng, Zhi-Jian & Wang, Gang-Jin & Zhang, Ting, 2023. "Forecasting global stock market volatilities in an uncertain world," International Review of Financial Analysis, Elsevier, vol. 85(C).
    24. Perry Sadorsky, 2021. "Predicting Gold and Silver Price Direction Using Tree-Based Classifiers," JRFM, MDPI, vol. 14(5), pages 1-21, April.
    25. Sadorsky, Perry, 2022. "Forecasting solar stock prices using tree-based machine learning classification: How important are silver prices?," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
    26. Jiqian Wang & Feng Ma & Elie Bouri & Yangli Guo, 2023. "Which factors drive Bitcoin volatility: Macroeconomic, technical, or both?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 970-988, July.
    27. Pagnini, Luisa & Bracco, Stefano & Delfino, Federico & de-Simón-Martín, Miguel, 2024. "Levelized cost of electricity in renewable energy communities: Uncertainty propagation analysis," Applied Energy, Elsevier, vol. 366(C).
    28. Zhang, Zhikai & Wang, Yudong & Zhang, Yaojie & Wang, Qunwei, 2024. "Forecasting carbon prices under diversified attention: A dynamic model averaging approach with common factors," Energy Economics, Elsevier, vol. 133(C).
    29. Perry Sadorsky, 2021. "A Random Forests Approach to Predicting Clean Energy Stock Prices," JRFM, MDPI, vol. 14(2), pages 1-20, January.

  53. Wang, Yudong & Pan, Zhiyuan & Wu, Chongfeng & Wu, Wenfeng, 2020. "Industry equi-correlation: A powerful predictor of stock returns," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 1-24.

    Cited by:

    1. Wen, Danyan & Liu, Li & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market returns: Enhanced moving average technical indicators," Resources Policy, Elsevier, vol. 76(C).
    2. Yu, Dan & Chen, Chuang & Wang, Yudong & Zhang, Yaojie, 2023. "Hedging pressure momentum and the predictability of oil futures returns," Economic Modelling, Elsevier, vol. 121(C).
    3. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2021. "Realized skewness and the short-term predictability for aggregate stock market volatility," Economic Modelling, Elsevier, vol. 103(C).
    4. He, Mengxi & Zhang, Yaojie, 2022. "Climate policy uncertainty and the stock return predictability of the oil industry," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    5. Chen, Tzu-Ying & Tsai, An-Mei & Tzeng, Larry Y., 2022. "Revisiting almost marginal conditional stochastic dominance," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 260-269.
    6. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2022. "Geopolitical risk trends and crude oil price predictability," Energy, Elsevier, vol. 258(C).
    7. He, Mengxi & Wen, Danyan & Xing, Lu & Zhang, Yaojie, 2024. "Industry volatility concentration and the predictability of aggregate stock market volatility," International Review of Economics & Finance, Elsevier, vol. 95(C).
    8. Joao F. Caldeira & Rangan Gupta & Hudson S. Torrent, 2020. "Forecasting U.S. Aggregate Stock Market Excess Return: Do Functional Data Analysis Add Economic Value?," Working Papers 202087, University of Pretoria, Department of Economics.
    9. Rudkin, Simon & Rudkin, Wanling & Dłotko, Paweł, 2023. "On the topology of cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 89(C).
    10. Lin, Boqiang & Li, Minyang, 2024. "Micro Mechanisms Driving China's Clean Energy Flourish: Business Expansion and Financing," International Review of Financial Analysis, Elsevier, vol. 92(C).
    11. Jujie Wang & Yinan Liao & Zhenzhen Zhuang & Dongming Gao, 2021. "An Optimal Weighted Combined Model Coupled with Feature Reconstruction and Deep Learning for Multivariate Stock Index Forecasting," Mathematics, MDPI, vol. 9(21), pages 1-20, October.
    12. Zhifeng Dai & Haoyang Zhu & Xiaoming Chang & Fenghua Wen, 2025. "Forecasting stock returns: the role of VIX-based upper and lower shadow of Japanese candlestick," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-35, December.
    13. He, Mengxi & Zhang, Zhikai & Zhang, Yaojie, 2024. "Forecasting crude oil prices with global ocean temperatures," Energy, Elsevier, vol. 311(C).

  54. Zhiyuan Pan & Ruijun Bu & Li Liu & Yudong Wang, 2020. "Macroeconomic fundamentals, jump dynamics and expected volatility," Quantitative Finance, Taylor & Francis Journals, vol. 20(8), pages 1345-1371, August.

    Cited by:

    1. Yun-Shi Dai & Peng-Fei Dai & Wei-Xing Zhou, 2024. "The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model," Papers 2404.01641, arXiv.org.
    2. Pan, Zhiyuan & Xiao, Dongli & Dong, Qingma & Liu, Li, 2022. "Structural breaks, macroeconomic fundamentals and cross hedge ratio," Finance Research Letters, Elsevier, vol. 47(PA).
    3. Mei, Xueting & Wang, Xinyu, 2024. "Forecasting stock volatility using time-distance weighting fundamental’s shocks," Finance Research Letters, Elsevier, vol. 65(C).
    4. Shen, Lihua & Lu, Xinjie & Luu Duc Huynh, Toan & Liang, Chao, 2023. "Air quality index and the Chinese stock market volatility: Evidence from both market and sector indices," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 224-239.
    5. Zeng, Qing & Tang, Yusui & Yang, Hua & Zhang, Xi, 2024. "Stock market volatility and economic policy uncertainty: New insight into a dynamic threshold mixed-frequency model," Finance Research Letters, Elsevier, vol. 59(C).
    6. Tong, Yuan & Wan, Ning & Dai, Xingyu & Bi, Xiaoyi & Wang, Qunwei, 2022. "China's energy stock market jumps: To what extent does the COVID-19 pandemic play a part?," Energy Economics, Elsevier, vol. 109(C).
    7. Liu, Feng & Xu, Jie & Ai, Chunrong, 2023. "Heterogeneous impacts of oil prices on China's stock market: Based on a new decomposition method," Energy, Elsevier, vol. 268(C).
    8. Liu, Feng & Shao, Shuai & Li, Xin & Pan, Na & Qi, Yu, 2023. "Economic policy uncertainty, jump dynamics, and oil price volatility," Energy Economics, Elsevier, vol. 120(C).
    9. Dai, Xingyu & Li, Matthew C. & Xiao, Ling & Wang, Qunwei, 2022. "COVID-19 and China commodity price jump behavior: An information spillover and wavelet coherency analysis," Resources Policy, Elsevier, vol. 79(C).
    10. Danyan Wen & Mengxi He & Yaojie Zhang & Yudong Wang, 2022. "Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 230-251, March.

  55. Wen, Danyan & Liu, Li & Ma, Chaoqun & Wang, Yudong, 2020. "Extreme risk spillovers between crude oil prices and the U.S. exchange rate: Evidence from oil-exporting and oil-importing countries," Energy, Elsevier, vol. 212(C).

    Cited by:

    1. Rufei Zhang & Haizhen Zhang & Wang Gao & Ting Li & Shixiong Yang, 2022. "The Dynamic Effects of Oil Price Shocks on Exchange Rates—From a Time-Varying Perspective," Sustainability, MDPI, vol. 14(14), pages 1-20, July.
    2. Chandrarin, Grahita & Sohag, Kazi & Cahyaningsih, Diyah Sukanti & Yuniawan, Dani & Herdhayinta, Heyvon, 2022. "The response of exchange rate to coal price, palm oil price, and inflation in Indonesia: Tail dependence analysis," Resources Policy, Elsevier, vol. 77(C).
    3. Huang, Shoujun & Gubareva, Mariya & Teplova, Tamara & Bossman, Ahmed, 2024. "African forex markets: Modeling their predictability and the asymmetric effects of oil and geopolitical risk," Energy Economics, Elsevier, vol. 136(C).
    4. Lu, Xinjie & Zeng, Qing & Zhong, Juandan & Zhu, Bo, 2024. "International stock market volatility: A global tail risk sight," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    5. Afshan, Sahar & Yaqoob, Tanzeela & Zaied, Younes Ben & Mishra, Shekhar & Mishra, Sibanjan, 2024. "Oil shocks and currency behavior: A dual approach to digital and traditional currencies," Global Finance Journal, Elsevier, vol. 62(C).
    6. Sheng, Xin & Kim, Won Joong & Gupta, Rangan & Ji, Qiang, 2023. "The impacts of oil price volatility on financial stress: Is the COVID-19 period different?," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 520-532.
    7. Hlongwane, Nyiko Worship, 2022. "The relationship between oil prices and exchange rates in South Africa," MPRA Paper 113209, University Library of Munich, Germany.
    8. Neluka Devpura, 2021. "Can Oil Prices Predict Japanese Yen?," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 1(3), pages 1-5.
    9. Lin, Yong & Wang, Renyu & Gong, Xingyue & Jia, Guozhu, 2022. "Cross-correlation and forecast impact of public attention on USD/CNY exchange rate: Evidence from Baidu Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
    10. Bhaskar Bagchi & Biswajit Paul, 2023. "Effects of Crude Oil Price Shocks on Stock Markets and Currency Exchange Rates in the Context of Russia-Ukraine Conflict: Evidence from G7 Countries," JRFM, MDPI, vol. 16(2), pages 1-18, January.
    11. Kumar, Pawan & Singh, Vipul Kumar, 2022. "Does crude oil fire the emerging markets currencies contagion spillover? A systemic perspective," Energy Economics, Elsevier, vol. 116(C).
    12. Haykir, Ozkan & Yagli, Ibrahim & Aktekin Gok, Emine Dilara & Budak, Hilal, 2022. "Oil price explosivity and stock return: Do sector and firm size matter?," Resources Policy, Elsevier, vol. 78(C).
    13. Wang, Qunwei & Liu, Mengmeng & Xiao, Ling & Dai, Xingyu & Li, Matthew C. & Wu, Fei, 2022. "Conditional sovereign CDS in market basket risk scenario: A dynamic vine-copula analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
    14. Huang, Shoujun & Bossman, Ahmed & Gubareva, Mariya & Teplova, Tamara, 2024. "International transmission of shocks and African forex markets," Energy Economics, Elsevier, vol. 131(C).
    15. Sohag, Kazi & Hassan, M. Kabir & Kalina, Irina & Mariev, Oleg, 2023. "The relative response of Russian National Wealth Fund to oil demand, supply and risk shocks," Energy Economics, Elsevier, vol. 123(C).
    16. Golitsis, Petros & Gkasis, Pavlos & Bellos, Sotirios K., 2022. "Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    17. Zhu, Huiming & Li, Shuang & Huang, Zishan, 2023. "Frequency domain quantile dependence and connectedness between crude oil and exchange rates: Evidence from oil-importing and exporting countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 1-30.
    18. Akyildirim, Erdinc & Cepni, Oguzhan & Molnár, Peter & Uddin, Gazi Salah, 2022. "Connectedness of energy markets around the world during the COVID-19 pandemic," Energy Economics, Elsevier, vol. 109(C).
    19. Jin, Daxiang & He, Mengxi & Xing, Lu & Zhang, Yaojie, 2022. "Forecasting China's crude oil futures volatility: How to dig out the information of other energy futures volatilities?," Resources Policy, Elsevier, vol. 78(C).
    20. Bruna, Karel & Van Tran, Quang, 2023. "Asymmetric effects of oil price shocks on EUR/USD exchange rate and structural shock decomposition in a BVAR model with sign restriction," Energy Economics, Elsevier, vol. 128(C).
    21. Xiao, Jihong & Wang, Yudong, 2022. "Macroeconomic uncertainty, speculation, and energy futures returns: Evidence from a quantile regression," Energy, Elsevier, vol. 241(C).
    22. Yanqiong Liu & Zhenghui Li & Yanyan Yao & Hao Dong, 2021. "Asymmetry of Risk Evolution in Crude Oil Market: From the Perspective of Dual Attributes of Oil," Energies, MDPI, vol. 14(13), pages 1-22, July.
    23. Jiang, Kunliang & Ye, Wuyi, 2022. "Does the asymmetric dependence volatility affect risk spillovers between the crude oil market and BRICS stock markets?," Economic Modelling, Elsevier, vol. 117(C).
    24. Pami Dua & Rajiv Ranjan & Deepika Goel, 2023. "Forecasting the INR/USD Exchange Rate: A BVAR Framework," Springer Books, in: Pami Dua (ed.), Macroeconometric Methods, chapter 0, pages 183-224, Springer.
    25. Bigerna, Simona & D'Errico, Maria Chiara & Polinori, Paolo & Simshauer, Paul, 2022. "Renewable energy and portfolio volatility spillover effects of GCC oil exporting countries," MPRA Paper 114164, University Library of Munich, Germany.
    26. He, Feng & Ma, Feng & Wang, Ziwei & Yang, Bohan, 2021. "Asymmetric volatility spillover between oil-importing and oil-exporting countries' economic policy uncertainty and China's energy sector," International Review of Financial Analysis, Elsevier, vol. 75(C).
    27. Cheuathonghua, Massaporn & de Boyrie, Maria E. & Pavlova, Ivelina & Wongkantarakorn, Jutamas, 2022. "Extreme risk spillovers from commodity indexes to sovereign CDS spreads of commodity dependent countries: A VAR quantile analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).

  56. Pan, Zhiyuan & Pettenuzzo, Davide & Wang, Yudong, 2020. "Forecasting stock returns: A predictor-constrained approach," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 200-217.
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    Cited by:

    1. Faramarz Saghi & Mustafa Jahangoshai Rezaee, 2023. "Integrating Wavelet Decomposition and Fuzzy Transformation for Improving the Accuracy of Forecasting Crude Oil Price," Computational Economics, Springer;Society for Computational Economics, vol. 61(2), pages 559-591, February.
    2. Wang, Yudong & Hao, Xianfeng, 2022. "Forecasting the real prices of crude oil: A robust weighted least squares approach," Energy Economics, Elsevier, vol. 116(C).
    3. He Jiang & Yao Dong & Jianzhou Wang, 2024. "Electricity price forecasting using quantile regression averaging with nonconvex regularization," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1859-1879, September.
    4. Wen, Danyan & Liu, Li & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market returns: Enhanced moving average technical indicators," Resources Policy, Elsevier, vol. 76(C).
    5. Conlon, Thomas & Cotter, John & Eyiah-Donkor, Emmanuel, 2024. "Forecasting the price of oil: A cautionary note," Journal of Commodity Markets, Elsevier, vol. 33(C).
    6. Abdollahi, Hooman, 2020. "A novel hybrid model for forecasting crude oil price based on time series decomposition," Applied Energy, Elsevier, vol. 267(C).
    7. Mengxi He & Xianfeng Hao & Yaojie Zhang & Fanyi Meng, 2021. "Forecasting stock return volatility using a robust regression model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1463-1478, December.
    8. Afees A. Salisu & Rangan Gupta & Elie Bouri & Qiang Ji, 2022. "Mixed‐frequency forecasting of crude oil volatility based on the information content of global economic conditions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 134-157, January.
    9. Mo, Jixian & Gao, Ruobin & Fai Yuen, Kum & Bai, Xiwen, 2024. "Predictive analysis of sell-and-purchase shipping market: A PIMSE approach," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 185(C).
    10. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2022. "Geopolitical risk trends and crude oil price predictability," Energy, Elsevier, vol. 258(C).
    11. Khan, Faridoon & Muhammadullah, Sara & Sharif, Arshian & Lee, Chien-Chiang, 2024. "The role of green energy stock market in forecasting China's crude oil market: An application of IIS approach and sparse regression models," Energy Economics, Elsevier, vol. 130(C).
    12. He, Mengxi & Zhang, Yaojie & Wen, Danyan & Wang, Yudong, 2021. "Forecasting crude oil prices: A scaled PCA approach," Energy Economics, Elsevier, vol. 97(C).
    13. Guan, Keqin & Gong, Xu, 2023. "A new hybrid deep learning model for monthly oil prices forecasting," Energy Economics, Elsevier, vol. 128(C).
    14. Kais Tissaoui & Taha Zaghdoudi & Abdelaziz Hakimi & Mariem Nsaibi, 2023. "Do Gas Price and Uncertainty Indices Forecast Crude Oil Prices? Fresh Evidence Through XGBoost Modeling," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 663-687, August.
    15. Wang, Yudong & Hao, Xianfeng, 2023. "Forecasting the real prices of crude oil: What is the role of parameter instability?," Energy Economics, Elsevier, vol. 117(C).
    16. Xing, Li-Min & Zhang, Yue-Jun, 2022. "Forecasting crude oil prices with shrinkage methods: Can nonconvex penalty and Huber loss help?," Energy Economics, Elsevier, vol. 110(C).
    17. Yanhui Chen & Ailing Feng & Shun Chen & Jackson Jinhong Mi, 2024. "Forecasting the containerized freight index with AIS data: A novel information combination method based on gray incidence analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(3), pages 802-815, April.
    18. Zhang, Yaojie & He, Mengxi & Wen, Danyan & Wang, Yudong, 2023. "Forecasting crude oil price returns: Can nonlinearity help?," Energy, Elsevier, vol. 262(PB).
    19. Fang, Tianhui & Zheng, Chunling & Wang, Donghua, 2023. "Forecasting the crude oil prices with an EMD-ISBM-FNN model," Energy, Elsevier, vol. 263(PA).
    20. Kais Tissaoui & Taha Zaghdoudi & Abdelaziz Hakimi & Ousama Ben-Salha & Lamia Ben Amor, 2022. "Does Uncertainty Forecast Crude Oil Volatility before and during the COVID-19 Outbreak? Fresh Evidence Using Machine Learning Models," Energies, MDPI, vol. 15(15), pages 1-20, August.

  58. Yin, Libo & Feng, Jiabao & Liu, Li & Wang, Yudong, 2019. "It's not that important: The negligible effect of oil market uncertainty," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 62-84.

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    1. Qingjie Zhou & Panpan Zhu & Yinpeng Zhang, 2023. "Contagion Spillover from Bitcoin to Carbon Futures Pricing: Perspective from Investor Attention," Energies, MDPI, vol. 16(2), pages 1-22, January.
    2. Alqahtani, Abdullah & Bouri, Elie & Vo, Xuan Vinh, 2020. "Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns," Economic Analysis and Policy, Elsevier, vol. 68(C), pages 239-249.
    3. Noori, Mohammad, 2024. "Stock-oil comovements through fear, uncertainty, and expectations: Evidence from conditional comoments," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 529-551.

  59. Wang, Yudong & Diao, Xundi & Pan, Zhiyuan & Wu, Chongfeng, 2019. "Heterogeneous beliefs and aggregate market volatility revisited: New evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 55(C), pages 127-141.

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    1. Ding, Hui & Huang, Yisu & Wang, Jiqian, 2023. "Have the predictability of oil changed during the COVID-19 pandemic: Evidence from international stock markets," International Review of Financial Analysis, Elsevier, vol. 87(C).
    2. Yang, Xiaolan & Wang, Jiaqi & Chen, Shu, 2024. "Impacts of CEO-employee pay disparity on investor behavior and market dynamics: Evidence from laboratory asset markets," China Economic Review, Elsevier, vol. 88(C).
    3. Li, Zhuolei & Diao, Xundi & Wu, Chongfeng, 2022. "The influence of mobile trading on return dispersion and herding behavior," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
    4. Zhao, Mengyang & Zhang, Lingxiao, 2023. "Foreign ownership, heterogeneous beliefs, and stock market volatility," Finance Research Letters, Elsevier, vol. 55(PA).
    5. Liu, Jing & He, Qiubei & Li, Yan & Huynh, Luu Duc Toan & Liang, Chao, 2023. "The change in stock-selection risk and stock market returns," International Review of Financial Analysis, Elsevier, vol. 85(C).
    6. Lin, Boqiang & Li, Minyang, 2024. "Micro Mechanisms Driving China's Clean Energy Flourish: Business Expansion and Financing," International Review of Financial Analysis, Elsevier, vol. 92(C).
    7. Li, Yan & Liang, Chao & Huynh, Toan Luu Duc, 2022. "Forecasting US stock market returns by the aggressive stock-selection opportunity," Finance Research Letters, Elsevier, vol. 50(C).
    8. Bai, Fan & Zhang, Yaqi & Chen, Zhonglu & Li, Yan, 2023. "The volatility of daily tug-of-war intensity and stock market returns," Finance Research Letters, Elsevier, vol. 55(PA).

  60. Wen, Danyan & Wang, Gang-Jin & Ma, Chaoqun & Wang, Yudong, 2019. "Risk spillovers between oil and stock markets: A VAR for VaR analysis," Energy Economics, Elsevier, vol. 80(C), pages 524-535.

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    1. Zhang, Yuanyuan & Zhao, Huiru & Li, Bingkang & Zhao, Yihang & Qi, Ze, 2022. "Research on credit rating and risk measurement of electricity retailers based on Bayesian Best Worst Method-Cloud Model and improved Credit Metrics model in China's power market," Energy, Elsevier, vol. 252(C).
    2. Weicheng Kong & Jinhua Cheng & Jianzhong Xiao, 2024. "Market Risk of Lithium Industry Chain—Evidence from Listed Companies," Energies, MDPI, vol. 17(23), pages 1-23, December.
    3. Hai-Chuan Xu & Zhi-Yuan Wang & Fredj Jawadi & Wei-Xing Zhou, 2023. "Reconstruction of international energy trade networks with given marginal data: A comparative analysis," Post-Print hal-04454597, HAL.
    4. Tarchella, Salma & Khalfaoui, Rabeh & Hammoudeh, Shawkat, 2024. "The safe haven, hedging, and diversification properties of oil, gold, and cryptocurrency for the G7 equity markets: Evidence from the pre- and post-COVID-19 periods," Research in International Business and Finance, Elsevier, vol. 67(PB).
    5. Ahmed, Walid M.A., 2022. "On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 135-151.
    6. Yin, Libo & Su, Zhi & Lu, Man, 2022. "Is oil risk important for commodity-related currency returns?," Research in International Business and Finance, Elsevier, vol. 60(C).
    7. Wu, Hanlin & Li, Pan & Cao, Jiawei & Xu, Zijian, 2024. "Forecasting the Chinese crude oil futures volatility using jump intensity and Markov-regime switching model," Energy Economics, Elsevier, vol. 134(C).
    8. Zhang, Hua & Chen, Jinyu & Shao, Liuguo, 2021. "Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19," International Review of Financial Analysis, Elsevier, vol. 77(C).
    9. Cui, Jinxin & Goh, Mark & Zou, Huiwen, 2021. "Coherence, extreme risk spillovers, and dynamic linkages between oil and China’s commodity futures markets," Energy, Elsevier, vol. 225(C).
    10. Wen, Danyan & Wang, Yudong, 2021. "Volatility linkages between stock and commodity markets revisited: Industry perspective and portfolio implications," Resources Policy, Elsevier, vol. 74(C).
    11. Yousaf, Imran & Arfaoui, Nadia & Gubareva, Mariya, 2024. "Spillovers and hedging effectiveness between oil and US equity sectors: Evidence from the COVID pre- and post-vaccination phases," Research in International Business and Finance, Elsevier, vol. 69(C).
    12. Cui, Jinxin & Maghyereh, Aktham & Goh, Mark & Zou, Huiwen, 2022. "Risk spillovers and time-varying links between international oil and China’s commodity futures markets: Fresh evidence from the higher-order moments," Energy, Elsevier, vol. 238(PB).
    13. Muhammad Kamran Khan & Jian-Zhou Teng & Muhammad Imran Khan, 2019. "Asymmetric impact of oil prices on stock returns in Shanghai stock exchange: Evidence from asymmetric ARDL model," PLOS ONE, Public Library of Science, vol. 14(6), pages 1-14, June.
    14. Yue Liu & Hao Dong & Pierre Failler, 2019. "The Oil Market Reactions to OPEC’s Announcements," Energies, MDPI, vol. 12(17), pages 1-15, August.
    15. Ge, Zhenyu, 2023. "The asymmetric impact of oil price shocks on China stock market: Evidence from quantile-on-quantile regression," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 120-125.
    16. Makushkin, Mikhail & Lapshin, Victor, 2020. "Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 30-52.
    17. Ngo Thai HUNG, 2020. "Conditional dependence between oil prices and CEE stock markets: a copula-GARCH approach Abstract: This study investigates both the constant and time-varying conditional dependency between crude oil a," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 11, pages 62-86, June.
    18. Zhu, Huiming & Huang, Xi & Ye, Fangyu & Li, Shuang, 2024. "Frequency spillover effects and cross-quantile dependence between crude oil and stock markets: Evidence from BRICS and G7 countries," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
    19. Liao, Jianhui & Zhu, Xuehong & Chen, Jinyu, 2021. "Dynamic spillovers across oil, gold and stock markets in the presence of major public health emergencies," International Review of Financial Analysis, Elsevier, vol. 77(C).
    20. Hassan, Kamrul & Hoque, Ariful & Wali, Muammer & Gasbarro, Dominic, 2020. "Islamic stocks, conventional stocks, and crude oil: Directional volatility spillover analysis in BRICS," Energy Economics, Elsevier, vol. 92(C).
    21. Guo, Xiaozhu & Lu, Xinjie & Mu, Shaobo & Zhang, Min, 2024. "New roles for energy and financial markets in spillover connections: context under COVID-19 and the Russia–Ukraine conflict," Research in International Business and Finance, Elsevier, vol. 71(C).
    22. Zhu, Zhaobo & Ji, Qiang & Sun, Licheng & Zhai, Pengxiang, 2020. "Oil price shocks, investor sentiment, and asset pricing anomalies in the oil and gas industry," International Review of Financial Analysis, Elsevier, vol. 70(C).
    23. Lu Yang & Shigeyuki Hamori, 2020. "Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach," Energies, MDPI, vol. 13(14), pages 1-27, July.
    24. Zhang, Xu & Lv, Zhiyu & Naeem, Muhammad Abubakr & Rauf, Abdul & Liu, Jiawen, 2024. "Decomposing risk spillover effect in international stock market: A novel intertemporal network topology approach," Finance Research Letters, Elsevier, vol. 63(C).
    25. Burcu Berke & Gülsüm Akarsu, 2024. "Volatility spillovers from COVID-19 to stocks, exchange rates and oil prices: evidence from Turkiye," Economics Bulletin, AccessEcon, vol. 44(3), pages 1254-1262.
    26. Mensi, Walid & Rehman, Mobeen Ur & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh, 2023. "Frequency dependence between oil futures and international stock markets and the role of gold, bonds, and uncertainty indices: Evidence from partial and multivariate wavelet approaches," Resources Policy, Elsevier, vol. 80(C).
    27. Hung, Ngo Thai & Vo, Xuan Vinh, 2021. "Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak," International Review of Financial Analysis, Elsevier, vol. 76(C).
    28. Guo, Yanhong & Li, Ping & Li, Aihua, 2021. "Tail risk contagion between international financial markets during COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 73(C).
    29. Mbarki, Imen & Khan, Muhammad Arif & Karim, Sitara & Paltrinieri, Andrea & Lucey, Brian M., 2023. "Unveiling commodities-financial markets intersections from a bibliometric perspective," Resources Policy, Elsevier, vol. 83(C).
    30. Lu, Xinjie & Ma, Feng & Wang, Jiqian & Wang, Jianqiong, 2020. "Examining the predictive information of CBOE OVX on China’s oil futures volatility: Evidence from MS-MIDAS models," Energy, Elsevier, vol. 212(C).
    31. Wen, Danyan & Wang, Yudong & Ma, Chaoqun & Zhang, Yaojie, 2020. "Information transmission between gold and financial assets: Mean, volatility, or risk spillovers?," Resources Policy, Elsevier, vol. 69(C).
    32. Foglia, Matteo & Angelini, Eliana, 2020. "The diabolical sovereigns/banks risk loop: A VAR quantile design," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    33. Zhang, Dongna & Dai, Xingyu & Wang, Qunwei & Lau, Chi Keung Marco, 2023. "Impacts of weather conditions on the US commodity markets systemic interdependence across multi-timescales," Energy Economics, Elsevier, vol. 123(C).
    34. VDMV Lakshmi & Garima Sisodia & Anto Joseph & Aviral Kumar Tiwari, 2024. "The conditional impact of market conditions, volatility and liquidity shocks on the arbitrage opportunities during pre‐COVID and COVID periods," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3007-3022, July.
    35. Alexey Mikhaylov & Ishaq M. Bhatti & Hasan Dinçer & Serhat Yüksel, 2024. "Integrated decision recommendation system using iteration-enhanced collaborative filtering, golden cut bipolar for analyzing the risk-based oil market spillovers," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 305-338, January.
    36. Liu, Zhenhua & Tseng, Hui-Kuan & Wu, Jy S. & Ding, Zhihua, 2020. "Implied volatility relationships between crude oil and the U.S. stock markets: Dynamic correlation and spillover effects," Resources Policy, Elsevier, vol. 66(C).
    37. Liu, Zhenhua & Shi, Xunpeng & Zhai, Pengxiang & Wu, Shan & Ding, Zhihua & Zhou, Yuqin, 2021. "Tail risk connectedness in the oil-stock nexus: Evidence from a novel quantile spillover approach," Resources Policy, Elsevier, vol. 74(C).
    38. Lin, Boqiang & Su, Tong, 2020. "Mapping the oil price-stock market nexus researches: A scientometric review," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 133-147.
    39. Cui, Jinxin & Goh, Mark & Li, Binlin & Zou, Huiwen, 2021. "Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives," Energy, Elsevier, vol. 216(C).
    40. Jiliang Sheng & Juchao Li & Jun Yang, 2022. "Tail Dependency and Risk Spillover between Oil Market and Chinese Sectoral Stock Markets—An Assessment of the 2013 Refined Oil Pricing Reform," Energies, MDPI, vol. 15(16), pages 1-19, August.
    41. Jiang, Yong & Liu, Cenjie & Xie, Rui, 2021. "Oil price shocks and credit spread: Structural effect and dynamic spillover," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    42. Zeng, Sheng & Liu, Xinchun & Li, Xiafei & Wei, Qi & Shang, Yue, 2019. "Information dominance among hedging assets: Evidence from return and volatility directional spillovers in time and frequency domains," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    43. Alkathery, Mohammed A. & Chaudhuri, Kausik & Nasir, Muhammad Ali, 2022. "Implications of clean energy, oil and emissions pricing for the GCC energy sector stock," Energy Economics, Elsevier, vol. 112(C).
    44. Xiao, Di & Wang, Jun, 2020. "Dynamic complexity and causality of crude oil and major stock markets," Energy, Elsevier, vol. 193(C).
    45. Zhang, Yi & Zhou, Long & Wu, Baoxiu & Liu, Fang, 2024. "Tail risk transmission from the United States to emerging stock Markets: Empirical evidence from multivariate quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
    46. Li, Houjian & Huang, Xinya & Guo, Lili, 2023. "Extreme risk dependence and time-varying spillover between crude oil, commodity market and inflation in China," Energy Economics, Elsevier, vol. 127(PB).
    47. Ali, Syed Riaz Mahmood & Mensi, Walid & Anik, Kaysul Islam & Rahman, Mishkatur & Kang, Sang Hoon, 2022. "The impacts of COVID-19 crisis on spillovers between the oil and stock markets: Evidence from the largest oil importers and exporters," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 345-372.
    48. Tongshuai Qiao & Liyan Han, 2023. "COVID‐19 and tail risk contagion across commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 242-272, February.
    49. Chen, Jianyu & Zhang, Jianshun, 2023. "Crude oil price shocks, volatility spillovers, and global systemic financial risk transmission mechanisms: Evidence from the stock and foreign exchange markets," Resources Policy, Elsevier, vol. 85(PB).
    50. Zhao, Yihang & Zhou, Zhenxi & Zhang, Kaiwen & Huo, Yaotong & Sun, Dong & Zhao, Huiru & Sun, Jingqi & Guo, Sen, 2023. "Research on spillover effect between carbon market and electricity market: Evidence from Northern Europe," Energy, Elsevier, vol. 263(PF).
    51. Sun Meng & Yan Chen, 2023. "Market Volatility Spillover, Network Diffusion, and Financial Systemic Risk Management: Financial Modeling and Empirical Study," Mathematics, MDPI, vol. 11(6), pages 1-16, March.
    52. Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2022. "Spillover effects between commodity and stock markets: A SDSES approach," Resources Policy, Elsevier, vol. 79(C).
    53. Afshan, Sahar & Leong, Ken Yien & Najmi, Arsalan & Razi, Ummara & Lelchumanan, Bawani & Cheong, Calvin Wing Hoh, 2024. "Fintech advancements for financial resilience: Analysing exchange rates and digital currencies during oil and financial risk," Resources Policy, Elsevier, vol. 88(C).
    54. Dariusz Gołȩbiewski & Tomasz Barszcz & Wioletta Skrodzka & Igor Wojnicki & Andrzej Bielecki, 2022. "A New Approach to Risk Management in the Power Industry Based on Systems Theory," Energies, MDPI, vol. 15(23), pages 1-19, November.
    55. Xiaoyang Chen & Liguo Zhou & Lin Wang & Yuelong Zheng, 2023. "Risk spillover in China’s real estate industry chain: a DCC-EGARCH-ΔCoVaR model," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-16, December.
    56. Xie, Qiwei & Liu, Ranran & Qian, Tao & Li, Jingyu, 2021. "Linkages between the international crude oil market and the Chinese stock market: A BEKK-GARCH-AFD approach," Energy Economics, Elsevier, vol. 102(C).
    57. Liu, Tangyong & Gong, Xu, 2020. "Analyzing time-varying volatility spillovers between the crude oil markets using a new method," Energy Economics, Elsevier, vol. 87(C).
    58. Ngo Thai Hung & Xuan Vinh Vo, 2023. "Multi-scale Features of Interdependence Between Oil Prices and Stock Prices," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(3), pages 475-504, September.
    59. Cui, Jinxin & Maghyereh, Aktham & Liao, Dijia, 2024. "Risk connectedness between international oil and stock markets during the COVID-19 pandemic and the Russia-Ukraine conflict: Fresh evidence from the higher-order moments," International Review of Economics & Finance, Elsevier, vol. 95(C).
    60. Cheuathonghua, Massaporn & de Boyrie, Maria E. & Pavlova, Ivelina & Wongkantarakorn, Jutamas, 2022. "Extreme risk spillovers from commodity indexes to sovereign CDS spreads of commodity dependent countries: A VAR quantile analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).

  61. Zhou, Chunyang & Wu, Chongfeng & Wang, Yudong, 2019. "Dynamic portfolio allocation with time-varying jump risk," Journal of Empirical Finance, Elsevier, vol. 50(C), pages 113-124.

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    1. Hsiang-Hsi Liu & Yu-Cheng Lin, 2021. "Relationships among US S&P500 Stock Index, its Futures and NASDAQ Index Futures with Volatility Spillover and Jump Diffusion: Modeling and Hedging Performance," Bulletin of Applied Economics, Risk Market Journals, vol. 8(1), pages 121-148.
    2. Dutta, Anupam & Soytas, Ugur & Das, Debojyoti & Bhattacharyya, Asit, 2022. "In search of time-varying jumps during the turmoil periods: Evidence from crude oil futures markets," Energy Economics, Elsevier, vol. 114(C).
    3. Díaz, Antonio & Esparcia, Carlos, 2021. "Dynamic optimal portfolio choice under time-varying risk aversion," International Economics, Elsevier, vol. 166(C), pages 1-22.
    4. Zhang, Lei & Chen, Yan & Bouri, Elie, 2024. "Time-varying jump intensity and volatility forecasting of crude oil returns," Energy Economics, Elsevier, vol. 129(C).
    5. Anupam Dutta & Elie Bouri, 2022. "Outliers and Time-Varying Jumps in the Cryptocurrency Markets," JRFM, MDPI, vol. 15(3), pages 1-7, March.
    6. Ao Kong & Robert Azencott & Hongliang Zhu & Xindan Li, 2020. "Pattern recognition in micro-trading behaviors before stock price jumps: A framework based on multivariate time series analysis," Papers 2011.04939, arXiv.org, revised Feb 2021.
    7. Chunyang Zhou & Chongfeng Wu & Weidong Xu, 2020. "Incorporating time‐varying jump intensities in the mean‐variance portfolio decisions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 460-478, March.
    8. Mengting Li & Qifa Xu & Cuixia Jiang & Qinna Zhao, 2023. "The role of tail network topological characteristic in portfolio selection: A TNA‐PMC model," International Review of Finance, International Review of Finance Ltd., vol. 23(1), pages 37-57, March.
    9. Song, Yuping & Huang, Jiefei & Zhang, Qichao & Xu, Yang, 2024. "Heterogeneity effect of positive and negative jumps on the realized volatility: Evidence from China," Economic Modelling, Elsevier, vol. 136(C).
    10. Anupam Dutta & Debojyoti Das, 2022. "Forecasting realized volatility: New evidence from time‐varying jumps in VIX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2165-2189, December.
    11. Kam Fong Chan & Phil Gray & Zheyao Pan, 2021. "The profitability of trading on large Lévy jumps," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 627-635, June.
    12. Dai, Xingyu & Li, Matthew C. & Xiao, Ling & Wang, Qunwei, 2022. "COVID-19 and China commodity price jump behavior: An information spillover and wavelet coherency analysis," Resources Policy, Elsevier, vol. 79(C).
    13. Huang, Chuangxia & Zhao, Xian & Deng, Yunke & Yang, Xiaoguang & Yang, Xin, 2022. "Evaluating influential nodes for the Chinese energy stocks based on jump volatility spillover network," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 81-94.

  62. Zhiyuan Pan & Yudong Wang & Li Liu & Qing Wang, 2019. "Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(6), pages 744-776, June.

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    1. Wen, Chufu & Zhu, Haoyang & Dai, Zhifeng, 2023. "Forecasting commodity prices returns: The role of partial least squares approach," Energy Economics, Elsevier, vol. 125(C).
    2. Hongcheng Ding & Xuanze Zhao & Zixiao Jiang & Shamsul Nahar Abdullah & Deshinta Arrova Dewi, 2024. "EUR-USD Exchange Rate Forecasting Based on Information Fusion with Large Language Models and Deep Learning Methods," Papers 2408.13214, arXiv.org.
    3. Hao Xu & Cheng Xu & Yanqi Sun & Jin Peng & Wenqizi Tian & Yan He, 2024. "Exchange Rate Forecasting Based on Integration of Gated Recurrent Unit (GRU) and CBOE Volatility Index (VIX)," Computational Economics, Springer;Society for Computational Economics, vol. 64(3), pages 1539-1567, September.
    4. Yu, Xing & Li, Yanyan & Gong, Xue & Zhang, Nan, 2022. "Evaluating the performance of futures hedging using factors-driven realized volatility," International Review of Financial Analysis, Elsevier, vol. 84(C).
    5. Xu Gong & Yujing Jin & Chuanwang Sun, 2022. "Time‐varying pure contagion effect between energy and nonenergy commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1960-1986, October.
    6. Gongyue Jiang & Gaoxiu Qiao & Feng Ma & Lu Wang, 2022. "Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1518-1548, August.
    7. Tihana Škrinjarić, 2022. "Higher Moments Actually Matter: Spillover Approach for Case of CESEE Stock Markets," Mathematics, MDPI, vol. 10(24), pages 1-34, December.
    8. Xue Gong & Weiguo Zhang & Yuan Zhao & Xin Ye, 2023. "Forecasting stock volatility with a large set of predictors: A new forecast combination method," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1622-1647, November.
    9. Pan, Zhiyuan & Shuai, Jiangyu & Liang, Zhilei & Sun, Xianchao, 2022. "Jump dynamics, spillover effect and option valuation," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    10. Qiao, Gaoxiu & Teng, Yuxin & Li, Weiping & Liu, Wenwen, 2019. "Improving volatility forecasting based on Chinese volatility index information: Evidence from CSI 300 index and futures markets," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 133-151.
    11. Gaoxiu Qiao & Gongyue Jiang, 2023. "VIX futures pricing based on high‐frequency VIX: A hybrid approach combining SVR with parametric models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1238-1260, September.
    12. Ye, Wuyi & Xia, Wenjing & Wu, Bin & Chen, Pengzhan, 2022. "Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market," International Review of Financial Analysis, Elsevier, vol. 83(C).
    13. Adam Clements & Yin Liao & Yusui Tang, 2022. "Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 86-99, January.
    14. Zeng, Ting & Yang, Mengying & Shen, Yifan, 2020. "Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks," Economic Modelling, Elsevier, vol. 90(C), pages 209-220.
    15. Qiao, Gaoxiu & Yang, Jiyu & Li, Weiping, 2020. "VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    16. Wu, Xinyu & Zhao, An & Liu, Li, 2023. "Forecasting VIX using two-component realized EGARCH model," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    17. Danyan Wen & Mengxi He & Yaojie Zhang & Yudong Wang, 2022. "Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 230-251, March.

  63. Wang, Yudong & Geng, Qianjie & Meng, Fanyi, 2019. "Futures hedging in crude oil markets: A comparison between minimum-variance and minimum-risk frameworks," Energy, Elsevier, vol. 181(C), pages 815-826.

    Cited by:

    1. Sharma, Udayan & Karmakar, Madhusudan, 2023. "Measuring minimum variance hedging effectiveness: Traditional vs. sophisticated models," International Review of Financial Analysis, Elsevier, vol. 87(C).
    2. Stavros Degiannakis & Christos Floros & Enrique Salvador & Dimitrios Vougas, 2022. "On the stationarity of futures hedge ratios," Operational Research, Springer, vol. 22(3), pages 2281-2303, July.
    3. Wang, Yu-Min & Lin, Che-Chun & Tsai, I-Chun, 2023. "State transformation of information spillover in asset markets and effective dynamic hedging strategies," International Review of Financial Analysis, Elsevier, vol. 89(C).
    4. An, Sufang & An, Feng & Gao, Xiangyun & Wang, Anjian, 2023. "Early warning of critical transitions in crude oil price," Energy, Elsevier, vol. 280(C).
    5. Kuang, Wei, 2023. "The equity-oil hedge: A comparison between volatility and alternative risk frameworks," Energy, Elsevier, vol. 271(C).
    6. Donald Lien & Ziling Wang & Xiaojian Yu, 2021. "Optimal quantile hedging under Markov regime switching," Empirical Economics, Springer, vol. 60(5), pages 2177-2201, May.
    7. Zhang, Qi & Di, Peng & Farnoosh, Arash, 2021. "Study on the impacts of Shanghai crude oil futures on global oil market and oil industry based on VECM and DAG models," Energy, Elsevier, vol. 223(C).
    8. Su, Kuangxi & Yao, Yinhong & Zheng, Chengli & Xie, Wenzhao, 2023. "A novel hybrid strategy for crude oil future hedging based on the combination of three minimum-CVaR models," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 35-50.
    9. Lu, Xinjie & Ma, Feng & Wang, Jiqian & Wang, Jianqiong, 2020. "Examining the predictive information of CBOE OVX on China’s oil futures volatility: Evidence from MS-MIDAS models," Energy, Elsevier, vol. 212(C).
    10. Huilian Huang & Tao Xiong, 2023. "A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 968-1035, July.
    11. Kuang, Wei, 2022. "The economic value of high-frequency data in equity-oil hedge," Energy, Elsevier, vol. 239(PA).
    12. Lee, Hsiang-Tai & Lee, Chien-Chiang, 2022. "A regime-switching real-time copula GARCH model for optimal futures hedging," International Review of Financial Analysis, Elsevier, vol. 84(C).
    13. Fang, Guochang & Chen, Gang & Yang, Kun & Yin, Weijun & Tian, Lixin, 2023. "Can green tax policy promote China's energy transformation?— A nonlinear analysis from production and consumption perspectives," Energy, Elsevier, vol. 269(C).

  64. Wang, Xunxiao & Wang, Yudong, 2019. "Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective," Energy Economics, Elsevier, vol. 80(C), pages 995-1009.

    Cited by:

    1. Mensi, Walid & Shafiullah, Muhammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Volatility spillovers between strategic commodity futures and stock markets and portfolio implications: Evidence from developed and emerging economies," Resources Policy, Elsevier, vol. 71(C).
    2. Xinheng Liu & Shuxian Li & Chengbo Fu & Xu Gong & Chen Fan, 2024. "The oil price plummeted in 2014–2015: Is there an effect on Chinese firms' labour investment?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 943-960, January.
    3. Dejan Živkov & Slavica Manić & Jelena Kovačević & Željana Trbović, 2022. "Assessing volatility transmission between Brent and stocks in the major global oil producers and consumers – the multiscale robust quantile regression," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 21(1), pages 67-93, January.
    4. Honghai Yu & Wangyu Chu & Yu’ang Ding & Xuezhou Zhao, 2021. "Risk contagion of global stock markets under COVID‐19:A network connectedness method," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(4), pages 5745-5782, December.
    5. Asl, Mahdi Ghaemi & Canarella, Giorgio & Miller, Stephen M., 2021. "Dynamic asymmetric optimal portfolio allocation between energy stocks and energy commodities: Evidence from clean energy and oil and gas companies," Resources Policy, Elsevier, vol. 71(C).
    6. Ngo Thai Hung, 2020. "Analysis of the Time-frequency Connectedness between Gold Prices, Oil Prices and Hungarian Financial Markets," International Journal of Energy Economics and Policy, Econjournals, vol. 10(4), pages 51-59.
    7. Dai, Zhifeng & Zhu, Haoyang, 2023. "Dynamic risk spillover among crude oil, economic policy uncertainty and Chinese financial sectors," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 421-450.
    8. Evrim Mandacı, Pınar & Cagli, Efe Çaglar & Taşkın, Dilvin, 2020. "Dynamic connectedness and portfolio strategies: Energy and metal markets," Resources Policy, Elsevier, vol. 68(C).
    9. Leong, Soon Heng, 2021. "Global crude oil and the Chinese oil-intensive sectors: A comprehensive causality study," Energy Economics, Elsevier, vol. 103(C).
    10. Cui, Jinxin & Goh, Mark & Zou, Huiwen, 2021. "Coherence, extreme risk spillovers, and dynamic linkages between oil and China’s commodity futures markets," Energy, Elsevier, vol. 225(C).
    11. Xia, Tongshui & Yao, Chen-Xi & Geng, Jiang-Bo, 2020. "Dynamic and frequency-domain spillover among economic policy uncertainty, stock and housing markets in China," International Review of Financial Analysis, Elsevier, vol. 67(C).
    12. Farid, Saqib & Kayani, Ghulam Mujtaba & Naeem, Muhammad Abubakr & Shahzad, Syed Jawad Hussain, 2021. "Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic," Resources Policy, Elsevier, vol. 72(C).
    13. Gong, Xue & Lai, Ping & He, Mengxi & Wen, Danyan, 2024. "Climate risk and energy futures high frequency volatility prediction," Energy, Elsevier, vol. 307(C).
    14. Tang, Pan & Xu, Wei & Wang, Haosen, 2024. "Network-Based prediction of financial cross-sector risk spillover in China: A deep learning approach," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    15. Yuqin Zhou & Shan Wu & Zhenhua Liu & Lavinia Rognone, 2023. "The asymmetric effects of climate risk on higher-moment connectedness among carbon, energy and metals markets," Nature Communications, Nature, vol. 14(1), pages 1-16, December.
    16. Tangyong Liu & Xu Gong & Boqiang Lin, 2021. "Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1375-1396, September.
    17. Mohammad Al-Shboul & Aktham Maghyereh, 2023. "Did real economic uncertainty drive risk connectedness in the oil–stock nexus during the COVID-19 outbreak? A partial wavelet coherence analysis," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 12(1), pages 1-23, December.
    18. Yousaf, Imran & Arfaoui, Nadia & Gubareva, Mariya, 2024. "Spillovers and hedging effectiveness between oil and US equity sectors: Evidence from the COVID pre- and post-vaccination phases," Research in International Business and Finance, Elsevier, vol. 69(C).
    19. Zhu, Pengfei & Tang, Yong & Wei, Yu & Dai, Yimin & Lu, Tuantuan, 2021. "Relationships and portfolios between oil and Chinese stock sectors: A study based on wavelet denoising-higher moments perspective," Energy, Elsevier, vol. 217(C).
    20. Wu, Lan & Xu, Weiju & Huang, Dengshi & Li, Pan, 2022. "Does the volatility spillover effect matter in oil price volatility predictability? Evidence from high-frequency data," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 299-306.
    21. Zhu, Huiming & Chen, Yiwen & Ren, Yinghua & Xing, Zhanming & Hau, Liya, 2022. "Time-frequency causality and dependence structure between crude oil, EPU and Chinese industry stock: Evidence from multiscale quantile perspectives," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
    22. Ehsan Bagheri & Seyed Babak Ebrahimi & Arman Mohammadi & Mahsa Miri & Stelios Bekiros, 2022. "The Dynamic Volatility Connectedness Structure of Energy Futures and Global Financial Markets: Evidence From a Novel Time–Frequency Domain Approach," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1087-1111, March.
    23. Zengkai Zhang & Jiaoyan Li & Dabo Guan, 2023. "Value chain carbon footprints of Chinese listed companies," Nature Communications, Nature, vol. 14(1), pages 1-9, December.
    24. Li, Zhenghui & Mo, Bin & Nie, He, 2023. "Time and frequency dynamic connectedness between cryptocurrencies and financial assets in China," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 46-57.
    25. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020. "Spillover effects in oil-related CDS markets during and after the sub-prime crisis," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    26. Naeem, Muhammad Abubakr & Karim, Sitara & Tiwari, Aviral Kumar, 2022. "Quantifying systemic risk in US industries using neural network quantile regression," Research in International Business and Finance, Elsevier, vol. 61(C).
    27. Wang, Zi-Xin & Liu, Bing-Yue & Fan, Ying, 2023. "Network connectedness between China's crude oil futures and sector stock indices," Energy Economics, Elsevier, vol. 125(C).
    28. Jinxin Cui & Aktham Maghyereh, 2022. "Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
    29. Lu, Xinjie & Ma, Feng & Wang, Jianqiong & Dong, Dayong, 2022. "Singlehanded or joint race? Stock market volatility prediction," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 734-754.
    30. Geng, Jiang-Bo & Chen, Fu-Rui & Ji, Qiang & Liu, Bing-Yue, 2021. "Network connectedness between natural gas markets, uncertainty and stock markets," Energy Economics, Elsevier, vol. 95(C).
    31. Gao, Wang & Wei, Jiajia & Zhang, Hongwei & Zhang, Haizhen, 2024. "The higher-order moments connectedness between rare earth and clean energy markets and the role of geopolitical risk:New insights from a TVP-VAR framework," Energy, Elsevier, vol. 305(C).
    32. Zhang, Yue-Jun & Yan, Xing-Xing, 2020. "The impact of US economic policy uncertainty on WTI crude oil returns in different time and frequency domains," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 750-768.
    33. Ding, Qian & Huang, Jianbai & Zhang, Hongwei, 2022. "Time-frequency spillovers among carbon, fossil energy and clean energy markets: The effects of attention to climate change," International Review of Financial Analysis, Elsevier, vol. 83(C).
    34. Ying-Ying Shen & Zhi-Qiang Jiang & Jun-Chao Ma & Gang-Jin Wang & Wei-Xing Zhou, 2022. "Sector connectedness in the Chinese stock markets," Empirical Economics, Springer, vol. 62(2), pages 825-852, February.
    35. Xie He & Tetsuya Takiguchi & Tadahiro Nakajima & Shigeyuki Hamori, 2020. "Spillover effects between energies, gold, and stock: the United States versus China," Energy & Environment, , vol. 31(8), pages 1416-1447, December.
    36. Li, Wenqi, 2021. "COVID-19 and asymmetric volatility spillovers across global stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    37. Tiantian Liu & Shigeyuki Hamori, 2020. "Spillovers to Renewable Energy Stocks in the US and Europe: Are They Different?," Energies, MDPI, vol. 13(12), pages 1-28, June.
    38. He, Zhifang & Sun, Hao & Chen, Jiaqi & Yang, Xin & Yin, Zhujia, 2023. "Dynamic interaction of risk–return trade-offs between oil market and China’s stock market: An analysis from the risk preferences perspective," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    39. Lee, Chien-Chiang & Zhou, Hegang & Xu, Chao & Zhang, Xiaoming, 2023. "Dynamic spillover effects among international crude oil markets from the time-frequency perspective," Resources Policy, Elsevier, vol. 80(C).
    40. Liao, Jianhui & Zhu, Xuehong & Chen, Jinyu, 2021. "Dynamic spillovers across oil, gold and stock markets in the presence of major public health emergencies," International Review of Financial Analysis, Elsevier, vol. 77(C).
    41. Hassan, Kamrul & Hoque, Ariful & Wali, Muammer & Gasbarro, Dominic, 2020. "Islamic stocks, conventional stocks, and crude oil: Directional volatility spillover analysis in BRICS," Energy Economics, Elsevier, vol. 92(C).
    42. Guo, Li-Yang & Feng, Chao, 2021. "Are there spillovers among China's pilots for carbon emission allowances trading?," Energy Economics, Elsevier, vol. 103(C).
    43. Zhao, Lu-Tao & Liu, Hai-Yi & Chen, Xue-Hui, 2024. "How does carbon market interact with energy and sectoral stocks? Evidence from risk spillover and wavelet coherence," Journal of Commodity Markets, Elsevier, vol. 33(C).
    44. Chen, Jinyu & Liang, Zhipeng & Ding, Qian & Ren, Xiaohang & Wu, Anbing, 2023. "Dynamic connectedness across energy and metal futures markets during the COVID-19 pandemic: New evidence from a time-varying spillover index," Resources Policy, Elsevier, vol. 86(PA).
    45. Huszár, Zsuzsa R. & Kotró, Balázs B. & Tan, Ruth S.K., 2023. "Dynamic volatility transfer in the European oil and gas industry," Energy Economics, Elsevier, vol. 127(PA).
    46. Zhu, Pengfei & Tang, Yong & Wei, Yu & Lu, Tuantuan, 2021. "Multidimensional risk spillovers among crude oil, the US and Chinese stock markets: Evidence during the COVID-19 epidemic," Energy, Elsevier, vol. 231(C).
    47. Zeng, Qing & Zhang, Jixiang & Zhong, Juandan, 2024. "China's futures market volatility and sectoral stock market volatility prediction," Energy Economics, Elsevier, vol. 132(C).
    48. Nekhili, Ramzi & Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2024. "Dynamic spillover and connectedness in higher moments of European stock sector markets," Research in International Business and Finance, Elsevier, vol. 68(C).
    49. Geng, Jiang-Bo & Liu, Changyu & Ji, Qiang & Zhang, Dayong, 2021. "Do oil price changes really matter for clean energy returns?," Renewable and Sustainable Energy Reviews, Elsevier, vol. 150(C).
    50. Cui Jinxin & Zou Huiwen, 2020. "Connectedness Among Economic Policy Uncertainties: Evidence from the Time and Frequency Domain Perspectives," Journal of Systems Science and Information, De Gruyter, vol. 8(5), pages 401-433, October.
    51. Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Doğan, Buhari & Adekoya, Oluwasegun B. & Wohar, Mark, 2024. "Asymmetric spillover effects in energy markets," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 470-502.
    52. Geng, Jiang-Bo & Xu, Xiao-Yue & Ji, Qiang, 2020. "The time-frequency impacts of natural gas prices on US economic activity," Energy, Elsevier, vol. 205(C).
    53. Wei, Yu & Zhang, Yaojie & Wang, Yudong, 2022. "Information connectedness of international crude oil futures: Evidence from SC, WTI, and Brent," International Review of Financial Analysis, Elsevier, vol. 81(C).
    54. Liow, Kim Hiang & Song, Jeong Seop, 2022. "Frequency volatility connectedness and market integration in international real estate investment trusts," Finance Research Letters, Elsevier, vol. 45(C).
    55. Ding, Qian & Huang, Jianbai & Chen, Jinyu, 2021. "Dynamic and frequency-domain risk spillovers among oil, gold, and foreign exchange markets: Evidence from implied volatility," Energy Economics, Elsevier, vol. 102(C).
    56. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020. "Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times," IZA Discussion Papers 13274, Institute of Labor Economics (IZA).
    57. Cui, Jinxin & Maghyereh, Aktham, 2023. "Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective," Journal of Commodity Markets, Elsevier, vol. 30(C).
    58. Wang, Xiaoxuan & Gao, Xiangyun & Wu, Tao & Sun, Xiaotian, 2022. "Dynamic multiscale analysis of causality among mining stock prices," Resources Policy, Elsevier, vol. 77(C).
    59. Wei-Zhen Li & Jin-Rui Zhai & Zhi-Qiang Jiang & Gang-Jin Wang & Wei-Xing Zhou, 2020. "Predicting tail events in a RIA-EVT-Copula framework," Papers 2004.03190, arXiv.org, revised Apr 2020.
    60. Wang, Xunxiao, 2020. "Frequency dynamics of volatility spillovers among crude oil and international stock markets: The role of the interest rate," Energy Economics, Elsevier, vol. 91(C).
    61. Liu, Zhenhua & Tseng, Hui-Kuan & Wu, Jy S. & Ding, Zhihua, 2020. "Implied volatility relationships between crude oil and the U.S. stock markets: Dynamic correlation and spillover effects," Resources Policy, Elsevier, vol. 66(C).
    62. Dan Nie & Yanbin Li & Xiyu Li & Xuejiao Zhou & Feng Zhang, 2022. "The Dynamic Spillover between Renewable Energy, Crude Oil and Carbon Market: New Evidence from Time and Frequency Domains," Energies, MDPI, vol. 15(11), pages 1-28, May.
    63. Liu, Zhenhua & Shi, Xunpeng & Zhai, Pengxiang & Wu, Shan & Ding, Zhihua & Zhou, Yuqin, 2021. "Tail risk connectedness in the oil-stock nexus: Evidence from a novel quantile spillover approach," Resources Policy, Elsevier, vol. 74(C).
    64. Belhassine, Olfa & Karamti, Chiraz, 2021. "Volatility spillovers and hedging effectiveness between oil and stock markets: Evidence from a wavelet-based and structural breaks analysis," Energy Economics, Elsevier, vol. 102(C).
    65. Cui, Jinxin & Goh, Mark & Li, Binlin & Zou, Huiwen, 2021. "Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives," Energy, Elsevier, vol. 216(C).
    66. Silva, Thiago Christiano & Braz, Tercio & Tabak, Benjamin Miranda, 2024. "Mapping the landscape of energy markets research: A bibliometric analysis and predictive assessment using machine learning," Energy Economics, Elsevier, vol. 136(C).
    67. Cao, Yan & Cheng, Sheng & Li, Xinran, 2024. "Co-movements between heterogeneous crude oil and food markets: Does temperature change really matter?," Research in International Business and Finance, Elsevier, vol. 67(PB).
    68. Mukhriz Izraf Azman Aziz & Norzalina Ahmad & Jin Zichu & Safwan Mohd Nor, 2022. "The Impact of COVID-19 on the Connectedness of Stock Index in ASEAN+3 Economies," Mathematics, MDPI, vol. 10(9), pages 1-22, April.
    69. Hau, Liya & Yang, Xiaomei & Zhang, Yongmin, 2024. "Multiscale quantile dependence between China's green bond and green equity: Fresh evidence from higher-order moment perspective," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    70. Selmi, Refk & Hammoudeh, Shawkat & Kasmaoui, Kamal & Sousa, Ricardo M. & Errami, Youssef, 2022. "The dual shocks of the COVID-19 and the oil price collapse: A spark or a setback for the circular economy?," Energy Economics, Elsevier, vol. 109(C).
    71. Zhu, Huiming & Li, Shuang & Huang, Zishan, 2023. "Frequency domain quantile dependence and connectedness between crude oil and exchange rates: Evidence from oil-importing and exporting countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 1-30.
    72. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2022. "The growth of oil futures in China: Evidence of market maturity through global crises," Energy Economics, Elsevier, vol. 114(C).
    73. Tangyong Liu & Xu Gong & Lizhi Tang, 2022. "The uncertainty spillovers of China's economic policy: Evidence from time and frequency domains," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4541-4555, October.
    74. Tan, Xueping & Sirichand, Kavita & Vivian, Andrew & Wang, Xinyu, 2020. "How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics," Energy Economics, Elsevier, vol. 90(C).
    75. Ghulam Mujtaba & Asima Siddique & Nader Naifar & Syed Jawad Hussain Shahzad, 2024. "Hedge and safe haven role of commodities for the US and Chinese equity markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2381-2414, April.
    76. Ren, Yinghua & Zhao, Wanru & You, Wanhai & Zhu, Huiming, 2022. "Multiscale features of extreme risk spillover networks among global stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    77. Li, Jingyu & Liu, Ranran & Yao, Yanzhen & Xie, Qiwei, 2022. "Time-frequency volatility spillovers across the international crude oil market and Chinese major energy futures markets: Evidence from COVID-19," Resources Policy, Elsevier, vol. 77(C).
    78. Jiang, Junhua & Piljak, Vanja & Tiwari, Aviral Kumar & Äijö, Janne, 2020. "Frequency volatility connectedness across different industries in China," Finance Research Letters, Elsevier, vol. 37(C).
    79. Nguyen, Duc Khuong & Sensoy, Ahmet & Sousa, Ricardo M. & Salah Uddin, Gazi, 2020. "U.S. equity and commodity futures markets: Hedging or financialization?," Energy Economics, Elsevier, vol. 86(C).
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  65. Zhang, Yaojie & Ma, Feng & Wang, Yudong, 2019. "Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors?," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 97-117.

    Cited by:

    1. Liu, Shan & Li, Ziwei, 2023. "Macroeconomic attention and oil futures volatility prediction," Finance Research Letters, Elsevier, vol. 57(C).
    2. Zhang, Zhikai & Wang, Yudong & Xiao, Jihong & Zhang, Yaojie, 2023. "Not all geopolitical shocks are alike: Identifying price dynamics in the crude oil market under tensions," Resources Policy, Elsevier, vol. 80(C).
    3. Shi, Xunpeng & Wang, Keying & Cheong, Tsun Se & Zhang, Hongwu, 2020. "Prioritizing driving factors of household carbon emissions: An application of the LASSO model with survey data," Energy Economics, Elsevier, vol. 92(C).
    4. Qingxiang Han & Mengxi He & Yaojie Zhang & Muhammad Umar, 2023. "Default return spread: A powerful predictor of crude oil price returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1786-1804, November.
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    138. Gao, Shang & Zhang, Zhikai & Wang, Yudong & Zhang, Yaojie, 2023. "Forecasting stock market volatility: The sum of the parts is more than the whole," Finance Research Letters, Elsevier, vol. 55(PA).
    139. Song, Yixuan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market volatility: A newspaper-based predictor regarding petroleum market volatility," Resources Policy, Elsevier, vol. 79(C).
    140. Lu, Fei & Ma, Feng & Feng, Lin, 2024. "Carbon dioxide emissions and economic growth: New evidence from GDP forecasting," Technological Forecasting and Social Change, Elsevier, vol. 205(C).
    141. He, Mengxi & Zhang, Zhikai & Zhang, Yaojie, 2024. "Forecasting crude oil prices with global ocean temperatures," Energy, Elsevier, vol. 311(C).
    142. Xinjie Lu & Feng Ma & Jiqian Wang & Jing Liu, 2022. "Forecasting oil futures realized range‐based volatility with jumps, leverage effect, and regime switching: New evidence from MIDAS models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 853-868, July.
    143. Li, Xiafei & Liang, Chao & Chen, Zhonglu & Umar, Muhammad, 2022. "Forecasting crude oil volatility with uncertainty indicators: New evidence," Energy Economics, Elsevier, vol. 108(C).
    144. Dutta, Anupam & Uddin, Gazi Salah & Sheng, Lin Wen & Park, Donghyun & Zhu, Xuening, 2024. "Volatility dynamics of agricultural futures markets under uncertainties," Energy Economics, Elsevier, vol. 136(C).
    145. Chao Liang & Yu Wei & Likun Lei & Feng Ma, 2022. "Global equity market volatility forecasting: New evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 594-609, January.
    146. Zhang, Hongwei & Wang, Wentao & Niu, Zibo, 2024. "Geopolitical risks and crude oil futures volatility: Evidence from machine learning," Resources Policy, Elsevier, vol. 98(C).
    147. Gaoxiu Qiao & Yijun Pan & Chao Liang & Lu Wang & Jinghui Wang, 2024. "Forecasting Chinese crude oil futures volatility: New evidence based on dual feature processing of large‐scale variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2495-2521, November.
    148. Xu, Yongan & Liang, Chao & Li, Yan & Huynh, Toan L.D., 2022. "News sentiment and stock return: Evidence from managers’ news coverages," Finance Research Letters, Elsevier, vol. 48(C).
    149. Chen, Zhonglu & Liang, Chao & Umar, Muhammad, 2021. "Is investor sentiment stronger than VIX and uncertainty indices in predicting energy volatility?," Resources Policy, Elsevier, vol. 74(C).
    150. Silva, Diego S. & Yamashita, Gabrielli Harumi & Cortimiglia, Marcelo Nogueira & Brust-Renck, Priscila G. & ten Caten, Carla Schwengber, 2022. "Are we ready to assess digital readiness? Exploring digital implications for social progress from the Network Readiness Index," Technology in Society, Elsevier, vol. 68(C).
    151. Yan Wang & Tong Lin, 2023. "A Novel Deterministic Probabilistic Forecasting Framework for Gold Price with a New Pandemic Index Based on Quantile Regression Deep Learning and Multi-Objective Optimization," Mathematics, MDPI, vol. 12(1), pages 1-21, December.
    152. Sobti, Neharika & Sehgal, Sanjay & Ilango, Balakrishnan, 2021. "How do macroeconomic news surprises affect round-the-clock price discovery of gold?," International Review of Financial Analysis, Elsevier, vol. 78(C).

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    Cited by:

    1. Farhat Iqbal & Dimitrios Koutmos & Eman A. Ahmed & Lulwah M. Al-Essa, 2024. "A Novel Hybrid Deep Learning Method for Accurate Exchange Rate Prediction," Risks, MDPI, vol. 12(9), pages 1-20, August.
    2. Su, Yuandong & Lu, Xinjie & Zeng, Qing & Huang, Dengshi, 2022. "Good air quality and stock market returns," Research in International Business and Finance, Elsevier, vol. 62(C).
    3. Ma, Feng & Wang, Ruoxin & Lu, Xinjie & Wahab, M.I.M., 2021. "A comprehensive look at stock return predictability by oil prices using economic constraint approaches," International Review of Financial Analysis, Elsevier, vol. 78(C).
    4. Qingxiang Han & Mengxi He & Yaojie Zhang & Muhammad Umar, 2023. "Default return spread: A powerful predictor of crude oil price returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1786-1804, November.
    5. Ma, Feng & Lu, Fei & Tao, Ying, 2022. "Geopolitical risk and excess stock returns predictability: New evidence from a century of data," Finance Research Letters, Elsevier, vol. 50(C).
    6. Yi, Yongsheng & Ma, Feng & Zhang, Yaojie & Huang, Dengshi, 2019. "Forecasting stock returns with cycle-decomposed predictors," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 250-261.
    7. Nonejad, Nima, 2021. "Predicting equity premium by conditioning on macroeconomic variables: A prediction selection strategy using the price of crude oil," Finance Research Letters, Elsevier, vol. 41(C).
    8. Wen, Danyan & Liu, Li & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market returns: Enhanced moving average technical indicators," Resources Policy, Elsevier, vol. 76(C).
    9. Xiao, Jihong & Wang, Yudong & Wen, Danyan, 2023. "The predictive effect of risk aversion on oil returns under different market conditions," Energy Economics, Elsevier, vol. 126(C).
    10. Un, Kuok Sin & Ausloos, Marcel, 2022. "Equity premium prediction: Taking into account the role of long, even asymmetric, swings in stock market behavior," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 608(P1).
    11. Hong, Yanran & Li, Pan & Wang, Lu & Zhang, Yaojie, 2023. "New evidence of extreme risk transmission between financial stress and international crude oil markets," Research in International Business and Finance, Elsevier, vol. 64(C).
    12. Wu, Shue-Jen, 2023. "The role of the past long-run oil price changes in stock market," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 274-291.
    13. Mustanen, Dmitri & Maaitah, Ahmad & Mishra, Tapas & Parhi, Mamata, 2022. "The power of investors’ optimism and pessimism in oil market forecasting," Energy Economics, Elsevier, vol. 114(C).
    14. Ma, Feng & Lu, Xinjie & Liu, Jia & Huang, Dengshi, 2022. "Macroeconomic attention and stock market return predictability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    15. Ma, Tian & Li, Ganghui & Zhang, Huajing, 2024. "Stock return predictability using economic narrative: Evidence from energy sectors," Journal of Commodity Markets, Elsevier, vol. 35(C).
    16. Qiu, Rui & Liu, Jing & Li, Yan, 2023. "Long-term adjusted volatility: Powerful capability in forecasting stock market returns," International Review of Financial Analysis, Elsevier, vol. 86(C).
    17. Liu, Li & Tan, Siming & Wang, Yudong, 2020. "Can commodity prices forecast exchange rates?," Energy Economics, Elsevier, vol. 87(C).
    18. Nonejad, Nima, 2022. "Equity premium prediction using the price of crude oil: Uncovering the nonlinear predictive impact," Energy Economics, Elsevier, vol. 115(C).
    19. Nonejad, Nima, 2021. "Predicting the return on the spot price of crude oil out-of-sample by conditioning on news-based uncertainty measures: Some new empirical results," Energy Economics, Elsevier, vol. 104(C).
    20. Li, Tao & Ma, Feng & Zhang, Xuehua & Zhang, Yaojie, 2020. "Economic policy uncertainty and the Chinese stock market volatility: Novel evidence," Economic Modelling, Elsevier, vol. 87(C), pages 24-33.
    21. Wang, Yilei & Cheng, Sheng & Cao, Yan, 2022. "How does economic policy uncertainty respond to the global oil price fluctuations? Evidence from BRICS countries," Resources Policy, Elsevier, vol. 79(C).
    22. Jiang, Yuexiang & Fu, Tao & Long, Huaigang & Zaremba, Adam & Zhou, Wenyu, 2022. "Real estate climate index and aggregate stock returns: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
    23. Wang, Lu & Ma, Feng & Niu, Tianjiao & Liang, Chao, 2021. "The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market," Energy Economics, Elsevier, vol. 99(C).
    24. Mengxi He & Xianfeng Hao & Yaojie Zhang & Fanyi Meng, 2021. "Forecasting stock return volatility using a robust regression model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1463-1478, December.
    25. He, Mengxi & Zhang, Yaojie, 2022. "Climate policy uncertainty and the stock return predictability of the oil industry," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    26. Chen, Tzu-Ying & Tsai, An-Mei & Tzeng, Larry Y., 2022. "Revisiting almost marginal conditional stochastic dominance," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 260-269.
    27. Huang, Yisu & Xu, Weiju & Huang, Dengshi & Zhao, Chenchen, 2023. "Chinese crude oil futures volatility and sustainability: An uncertainty indices perspective," Resources Policy, Elsevier, vol. 80(C).
    28. Meng, Fanyi & Liu, Li, 2019. "Analyzing the economic sources of oil price volatility: An out-of-sample perspective," Energy, Elsevier, vol. 177(C), pages 476-486.
    29. Alexandridis, Antonios K. & Apergis, Iraklis & Panopoulou, Ekaterini & Voukelatos, Nikolaos, 2023. "Equity premium prediction: The role of information from the options market," Journal of Financial Markets, Elsevier, vol. 64(C).
    30. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2022. "Geopolitical risk trends and crude oil price predictability," Energy, Elsevier, vol. 258(C).
    31. Yaojie Zhang & Feng Ma & Chao Liang & Yi Zhang, 2021. "Good variance, bad variance, and stock return predictability," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4410-4423, July.
    32. Zeng, Qing & Lu, Xinjie & Dong, Dayong & Li, Pan, 2022. "Category-specific EPU indices, macroeconomic variables and stock market return predictability," International Review of Financial Analysis, Elsevier, vol. 84(C).
    33. Zhang, Yunhan & Ji, Qiang & Zhang, Dayong & Guo, Kun, 2024. "How does Shanghai crude oil futures affect top global oil companies: The role of multi-uncertainties," Energy Economics, Elsevier, vol. 131(C).
    34. Zhang, Yaojie & Ma, Feng & Wei, Yu, 2019. "Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approaches," Energy Economics, Elsevier, vol. 81(C), pages 1109-1120.
    35. He, Mengxi & Shen, Lihua & Zhang, Yaojie & Zhang, Yi, 2023. "Predicting cryptocurrency returns for real-world investments: A daily updated and accessible predictor," Finance Research Letters, Elsevier, vol. 58(PA).
    36. Bouteska, Ahmed & Hajek, Petr & Fisher, Ben & Abedin, Mohammad Zoynul, 2023. "Nonlinearity in forecasting energy commodity prices: Evidence from a focused time-delayed neural network," Research in International Business and Finance, Elsevier, vol. 64(C).
    37. Dai, Zhifeng & Zhu, Huan, 2020. "Stock return predictability from a mixed model perspective," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
    38. Guan, Keqin & Gong, Xu, 2023. "A new hybrid deep learning model for monthly oil prices forecasting," Energy Economics, Elsevier, vol. 128(C).
    39. Chen, Wang & Chevallier, Julien & Wang, Jiqian & Zhong, Juandan, 2022. "Stock market return predictability revisited: Evidence from a new index constructing the oil market," Finance Research Letters, Elsevier, vol. 49(C).
    40. Zhang, Xiheng & Liu, Jiayu & Zhang, Kaiqi & Robert, James, 2023. "Analysis of firm performance in presence of oil price shocks: Importance of skilled management," Resources Policy, Elsevier, vol. 86(PA).
    41. Su, Kuangxi & Yao, Yinhong & Zheng, Chengli & Xie, Wenzhao, 2023. "A novel hybrid strategy for crude oil future hedging based on the combination of three minimum-CVaR models," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 35-50.
    42. Zeng, Qing & Zhang, Jixiang & Zhong, Juandan, 2024. "China's futures market volatility and sectoral stock market volatility prediction," Energy Economics, Elsevier, vol. 132(C).
    43. Nonejad, Nima, 2021. "Predicting equity premium using news-based economic policy uncertainty: Not all uncertainty changes are equally important," International Review of Financial Analysis, Elsevier, vol. 77(C).
    44. Yaojie Zhang & Mengxi He & Zhikai Zhang, 2024. "Forecasting stock returns with industry volatility concentration," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2705-2730, November.
    45. Chen, Juan & Ma, Feng & Qiu, Xuemei & Li, Tao, 2023. "The role of categorical EPU indices in predicting stock-market returns," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 365-378.
    46. Takuro Hidaka & Yuta Saito & Jun Sakamoto, 2021. "Historical Relationships and International Market Return Predictability: The Role of the UK in the Former British Colonies, Protectorates and Mandates," Discussion Papers in Economics and Business 21-08-Rev., Osaka University, Graduate School of Economics, revised Oct 2023.
    47. Zhang, Yaojie & Wahab, M.I.M. & Wang, Yudong, 2023. "Forecasting crude oil market volatility using variable selection and common factor," International Journal of Forecasting, Elsevier, vol. 39(1), pages 486-502.
    48. Lv, Wendai & Qi, Jipeng, 2022. "Stock market return predictability: A combination forecast perspective," International Review of Financial Analysis, Elsevier, vol. 84(C).
    49. Mensi, Walid & Hamed Al-Yahyaee, Khamis & Vinh Vo, Xuan & Hoon Kang, Sang, 2021. "Dynamic spillover and connectedness between oil futures and European bonds," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    50. Zhikai Zhang & Yaojie Zhang & Yudong Wang & Qunwei Wang, 2024. "The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 557-584, April.
    51. Mengxi He & Yudong Wang & Yaojie Zhang, 2023. "The predictability of iron ore futures prices: A product‐material lead–lag effect," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1289-1304, September.
    52. Zhang, Yue-Jun & Li, Zhao-Chen, 2021. "Forecasting the stock returns of Chinese oil companies: Can investor attention help?," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 531-555.
    53. Nima Nonejad, 2021. "Should crude oil price volatility receive more attention than the price of crude oil? An empirical investigation via a large‐scale out‐of‐sample forecast evaluation of US macroeconomic data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 769-791, August.
    54. Mengxi He & Yaojie Zhang & Yudong Wang & Danyan Wen, 2024. "Modelling and forecasting crude oil price volatility with climate policy uncertainty," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-10, December.
    55. Zhang, Yaojie & He, Mengxi & Wen, Danyan & Wang, Yudong, 2023. "Forecasting crude oil price returns: Can nonlinearity help?," Energy, Elsevier, vol. 262(PB).
    56. Nonejad, Nima, 2021. "Predicting equity premium using dynamic model averaging. Does the state–space representation matter?," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    57. Dai, Zhifeng & Zhu, Huan, 2021. "Indicator selection and stock return predictability," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    58. Ting Yao & Yue‐Jun Zhang, 2024. "The impact of air pollution on crude oil futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(6), pages 1055-1068, June.
    59. Dai, Zhifeng & Dong, Xiaodi & Kang, Jie & Hong, Lianying, 2020. "Forecasting stock market returns: New technical indicators and two-step economic constraint method," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    60. Zhang, Yaojie & He, Mengxi & Wang, Yudong & Liang, Chao, 2023. "Global economic policy uncertainty aligned: An informative predictor for crude oil market volatility," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1318-1332.
    61. Li, Yan & Huo, Jiale & Xu, Yongan & Liang, Chao, 2023. "Belief-based momentum indicator and stock market return predictability," Research in International Business and Finance, Elsevier, vol. 64(C).
    62. Afees A. Salisu & Rangan Gupta, 2023. "Oil Price Returns Skewness and Forecastability of International Stock Returns Over One Century of Data," Working Papers 202339, University of Pretoria, Department of Economics.
    63. Zhifeng Dai & Jie Kang & Hua Yin, 2023. "Forecasting equity risk premium: A new method based on wavelet de‐noising," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4331-4352, October.
    64. Xiao, Jihong & Wang, Yudong, 2022. "Good oil volatility, bad oil volatility, and stock return predictability," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 953-966.
    65. Dai, Zhifeng & Zhou, Huiting & Kang, Jie & Wen, Fenghua, 2021. "The skewness of oil price returns and equity premium predictability," Energy Economics, Elsevier, vol. 94(C).
    66. Liu, Jing & He, Qiubei & Li, Yan & Huynh, Luu Duc Toan & Liang, Chao, 2023. "The change in stock-selection risk and stock market returns," International Review of Financial Analysis, Elsevier, vol. 85(C).
    67. Dai, Zhifeng & Zhu, Huan & Kang, Jie, 2021. "New technical indicators and stock returns predictability," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 127-142.
    68. Dai, Zhifeng & Zhang, Xiaotong & Liang, Chao, 2024. "Efficient predictability of oil price: The role of VIX-based panic index shadow line difference," Energy Economics, Elsevier, vol. 129(C).
    69. Li, Chenchen & Wang, Yudong & Wu, Chongfeng, 2022. "Oil implied volatility and expected stock returns along the worldwide supply chain," Energy Economics, Elsevier, vol. 114(C).
    70. Takuro Hidaka & Jun Sakamoto, 2021. "Predictability of market returns for the UK's former colonies, protectorates, and mandates," Discussion Papers in Economics and Business 21-08, Osaka University, Graduate School of Economics.
    71. Wen, Danyan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2024. "Forecasting crude oil market volatility: A comprehensive look at uncertainty variables," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1022-1041.
    72. Xiao, Jihong & Wang, Yudong, 2022. "Macroeconomic uncertainty, speculation, and energy futures returns: Evidence from a quantile regression," Energy, Elsevier, vol. 241(C).
    73. Lu, Xinjie & Ma, Feng & Wang, Tianyang & Wen, Fenghua, 2023. "International stock market volatility: A data-rich environment based on oil shocks," Journal of Economic Behavior & Organization, Elsevier, vol. 214(C), pages 184-215.
    74. Ma, Feng & Cao, Jiawei, 2023. "The Chinese equity premium predictability: Evidence from a long historical data," Finance Research Letters, Elsevier, vol. 53(C).
    75. Yaojie Zhang & Yudong Wang & Feng Ma & Yu Wei, 2022. "To jump or not to jump: momentum of jumps in crude oil price volatility prediction," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-31, December.
    76. Chenchen Li & Chongfeng Wu & Chunyang Zhou, 2021. "Forecasting equity returns: The role of commodity futures along the supply chain," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 46-71, January.
    77. Li, Zhao-Chen & Xie, Chi & Zeng, Zhi-Jian & Wang, Gang-Jin & Zhang, Ting, 2023. "Forecasting global stock market volatilities in an uncertain world," International Review of Financial Analysis, Elsevier, vol. 85(C).
    78. Ellington, Michael & Stamatogiannis, Michalis P. & Zheng, Yawen, 2022. "A study of cross-industry return predictability in the Chinese stock market," International Review of Financial Analysis, Elsevier, vol. 83(C).
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    90. Wu, Xi & Wang, Yudong & Tong, Xinle, 2021. "Cash holdings and oil price uncertainty exposures," Energy Economics, Elsevier, vol. 99(C).
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    Cited by:

    1. Bouri, Elie & Lucey, Brian & Roubaud, David, 2020. "Dynamics and determinants of spillovers across the option-implied volatilities of US equities," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 257-264.
    2. Jin Chen & Yue Chen & Wei Zhou, 2024. "Relation exploration between clean and fossil energy markets when experiencing climate change uncertainties: substitutes or complements?," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-17, December.
    3. Chen, Zhonglu & Ye, Yong & Li, Xiafei, 2022. "Forecasting China's crude oil futures volatility: New evidence from the MIDAS-RV model and COVID-19 pandemic," Resources Policy, Elsevier, vol. 75(C).
    4. Pınar Kaya Soylu & Mustafa Okur & Özgür Çatıkkaş & Z. Ayca Altintig, 2020. "Long Memory in the Volatility of Selected Cryptocurrencies: Bitcoin, Ethereum and Ripple," JRFM, MDPI, vol. 13(6), pages 1-21, May.
    5. Chung Baek, 2020. "Risk Transmissions between Major Foreign Currencies: An Empirical Analysis from the U.S. Perspective," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 19(2), pages 151-168, September.
    6. Li, Wenqi, 2021. "COVID-19 and asymmetric volatility spillovers across global stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    7. Reinhold Heinlein & Scott M. R. Mahadeo, 2023. "Oil and US stock market shocks: Implications for Canadian equities," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 56(1), pages 247-287, February.
    8. Chao Liang & Yi Zhang & Yaojie Zhang, 2022. "Forecasting the volatility of the German stock market: New evidence," Applied Economics, Taylor & Francis Journals, vol. 54(9), pages 1055-1070, February.
    9. Sun, Qingru & Gao, Xiangyun & An, Haizhong & Guo, Sui & Liu, Xueyong & Wang, Ze, 2021. "Which time-frequency domain dominates spillover in the Chinese energy stock market?," International Review of Financial Analysis, Elsevier, vol. 73(C).
    10. Bumho Son & Yunyoung Lee & Seongwan Park & Jaewook Lee, 2023. "Forecasting global stock market volatility: The impact of volatility spillover index in spatial‐temporal graph‐based model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1539-1559, November.
    11. Yanxin Liu & Huajiao Li & Jianhe Guan & Xueyong Liu & Yajie Qi, 2019. "The role of the world’s major steel markets in price spillover networks: an analysis based on complex network motifs," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(4), pages 697-720, December.
    12. Aljohani, Bader M. & Fadul, Abubaker & Asiri, Maram S. & Alkhathami, Abdulrahman D. & Hasan, Fakhrul, 2024. "Volatility transmission in the property market during two inflationary periods: The 2008–2009 global financial crisis and the COVID-19 crisis," Research in International Business and Finance, Elsevier, vol. 70(PB).
    13. Xu Zhang & Xian Yang & Jianping Li & Jun Hao, 2023. "Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 705-733, June.
    14. Hassan, M. Kabir & Kamran, Muhammad & Djajadikerta, Hadrian Geri & Choudhury, Tonmoy, 2022. "Search for safe havens and resilience to global financial volatility: Response of GCC equity indexes to GFC and Covid-19," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
    15. Pan, Zhiyuan & Shuai, Jiangyu & Liang, Zhilei & Sun, Xianchao, 2022. "Jump dynamics, spillover effect and option valuation," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    16. Gkillas, Konstantinos & Konstantatos, Christoforos & Floros, Christos & Tsagkanos, Athanasios, 2021. "Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis," International Review of Financial Analysis, Elsevier, vol. 74(C).
    17. Hassanniakalager, Arman & Baker, Paul L. & Platanakis, Emmanouil, 2024. "A False Discovery Rate approach to optimal volatility forecasting model selection," International Journal of Forecasting, Elsevier, vol. 40(3), pages 881-902.
    18. Zhang, Xu & Yang, Xian & He, Qizhi, 2022. "Multi-scale systemic risk and spillover networks of commodity markets in the bullish and bearish regimes," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    19. Muhammad Abubakr Naeem & Mudassar Hasan & Abraham Agyemang & Md Iftekhar Hasan Chowdhury & Faruk Balli, 2023. "Time‐frequency dynamics between fear connectedness of stocks and alternative assets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 2188-2201, April.
    20. Mensi, Walid & Al Rababa'a, Abdel Razzaq & Alomari, Mohammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Dynamic frequency volatility spillovers and connectedness between strategic commodity and stock markets: US-based sectoral analysis," Resources Policy, Elsevier, vol. 79(C).
    21. Oleg N. Salmanov & Natalia V. Babina & Marina V. Samoshkina & Irina P. Drachena & Irina P. Salmanova, 2020. "The Effects Of Volatility And Changes In Conditional Correlations In The Stock Markets Of Russia And Developed Countries," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 65(227), pages 67-94, October –.
    22. Bouri, Elie & Harb, Etienne, 2022. "The size of good and bad volatility shocks does matter for spillovers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    23. Wang, Jiqian & Ma, Feng & Wang, Tianyang & Wu, Lan, 2023. "International stock volatility predictability: New evidence from uncertainties," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    24. Wu, Xinyu & Yin, Xuebao & Umar, Zaghum & Iqbal, Najaf, 2023. "Volatility forecasting in the Bitcoin market: A new proposed measure based on the VS-ACARR approach," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).

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    1. Zhang, Zhikai & Wang, Yudong & Xiao, Jihong & Zhang, Yaojie, 2023. "Not all geopolitical shocks are alike: Identifying price dynamics in the crude oil market under tensions," Resources Policy, Elsevier, vol. 80(C).
    2. Lin, Boqiang & Xu, Bin, 2019. "How to effectively stabilize China's commodity price fluctuations?," Energy Economics, Elsevier, vol. 84(C).
    3. Ye, Wuyi & Guo, Ranran & Deschamps, Bruno & Jiang, Ying & Liu, Xiaoquan, 2021. "Macroeconomic forecasts and commodity futures volatility," Economic Modelling, Elsevier, vol. 94(C), pages 981-994.
    4. Yin, Libo & Feng, Jiabao & Liu, Li & Wang, Yudong, 2019. "It's not that important: The negligible effect of oil market uncertainty," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 62-84.
    5. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2021. "Realized skewness and the short-term predictability for aggregate stock market volatility," Economic Modelling, Elsevier, vol. 103(C).
    6. Fu, Zhonghao & Hong, Yongmiao & Su, Liangjun & Wang, Xia, 2023. "Specification tests for time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 235(2), pages 720-744.
    7. Yang, Lu & Cui, Xue & Yang, Lei & Hamori, Shigeyuki & Cai, Xiaojing, 2023. "Risk spillover from international financial markets and China's macro-economy: A MIDAS-CoVaR-QR model," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 55-69.
    8. Ding, Lili & Zhao, Zhongchao & Han, Meng, 2021. "Probability density forecasts for steam coal prices in China: The role of high-frequency factors," Energy, Elsevier, vol. 220(C).
    9. Peng, Lijuan & Liang, Chao & Yang, Baoying & Wang, Lu, 2024. "Crude oil volatility forecasting: Insights from a novel time-varying parameter GARCH-MIDAS model," International Review of Economics & Finance, Elsevier, vol. 94(C).
    10. Talha Omer & Kristofer Månsson & Pär Sjölander & B. M. Golam Kibria, 2024. "Improved Breitung and Roling estimator for mixed-frequency models with application to forecasting inflation rates," Statistical Papers, Springer, vol. 65(5), pages 3303-3325, July.
    11. Zhang, Yue-Jun & Wang, Jin-Li, 2019. "Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models," Energy Economics, Elsevier, vol. 78(C), pages 192-201.
    12. Lu, Fei & Zeng, Qing & Bouri, Elie & Tao, Ying, 2024. "Forecasting US GDP growth rates in a rich environment of macroeconomic data," International Review of Economics & Finance, Elsevier, vol. 95(C).
    13. Philip ME Garboden, 2019. "Sources and Types of Big Data for Macroeconomic Forecasting," Working Papers 2019-3, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
    14. Lu, Fei & Ma, Feng & Feng, Lin, 2024. "Carbon dioxide emissions and economic growth: New evidence from GDP forecasting," Technological Forecasting and Social Change, Elsevier, vol. 205(C).

  69. Wang, Yudong & Guo, Zhuangyue, 2018. "The dynamic spillover between carbon and energy markets: New evidence," Energy, Elsevier, vol. 149(C), pages 24-33.

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    1. Lin, Boqiang & Chen, Yufang, 2019. "Dynamic linkages and spillover effects between CET market, coal market and stock market of new energy companies: A case of Beijing CET market in China," Energy, Elsevier, vol. 172(C), pages 1198-1210.
    2. Li, Weiping & Chen, Xiaoqi & Huang, Jiashun & Gong, Xu & Wu, Wei, 2022. "Do environmental regulations affect firm's cash holdings? Evidence from a quasi-natural experiment," Energy Economics, Elsevier, vol. 112(C).
    3. Xu, Weiju & Ma, Feng & Chen, Wang & Zhang, Bing, 2019. "Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States," Energy Economics, Elsevier, vol. 80(C), pages 310-320.
    4. Chang, Kai & Ye, Zhifang & Wang, Weihong, 2019. "Volatility spillover effect and dynamic correlation between regional emissions allowances and fossil energy markets: New evidence from China’s emissions trading scheme pilots," Energy, Elsevier, vol. 185(C), pages 1314-1324.
    5. Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir, 2021. "Dynamic return and volatility spillovers among S&P 500, crude oil, and gold," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 153-170, January.
    6. Pilar Gargallo & Luis Lample & Jesús A. Miguel & Manuel Salvador, 2021. "Co-Movements between Eu Ets and the Energy Markets: A Var-Dcc-Garch Approach," Mathematics, MDPI, vol. 9(15), pages 1-36, July.
    7. Bouri, Elie & Lei, Xiaojie & Jalkh, Naji & Xu, Yahua & Zhang, Hongwei, 2021. "Spillovers in higher moments and jumps across US stock and strategic commodity markets," Resources Policy, Elsevier, vol. 72(C).
    8. Lovcha, Yuliya & Perez-Laborda, Alejandro, 2020. "Dynamic frequency connectedness between oil and natural gas volatilities," Economic Modelling, Elsevier, vol. 84(C), pages 181-189.
    9. Bouri, Elie & Lei, Xiaojie & Xu, Yahua & Zhang, Hongwei, 2023. "Connectedness in implied higher-order moments of precious metals and energy markets," Energy, Elsevier, vol. 263(PB).
    10. Minggang Wang & Chenyu Hua & Hua Xu, 2022. "Dynamic Linkages among Carbon, Energy and Financial Markets: Multiplex Recurrence Network Approach," Mathematics, MDPI, vol. 10(11), pages 1-23, May.
    11. Mehdi Mili & Jean‐Michel Sahut & Frédéric Teulon, 2020. "Shift‐contagion in energy markets and global crisis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 725-736, August.
    12. Liu, Jianing & Man, Yuanyuan & Dong, Xiuliang, 2023. "Tail dependence and risk spillover effects between China's carbon market and energy markets," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 553-567.
    13. Adekoya, Oluwasegun B. & Oliyide, Johnson A. & Noman, Ambreen, 2021. "The volatility connectedness of the EU carbon market with commodity and financial markets in time- and frequency-domain: The role of the U.S. economic policy uncertainty," Resources Policy, Elsevier, vol. 74(C).
    14. Kim, Young Min & Lee, Seojin, 2023. "Spillover shifts in the FX market: Implication for the behavior of a safe haven currency," The North American Journal of Economics and Finance, Elsevier, vol. 65(C).
    15. Yu-Ling Hsiao, Cody & Wei, Xinyang & Sheng, Ni & Shao, Chengwu, 2021. "A joint test of policy contagion with application to the solar sector," Renewable and Sustainable Energy Reviews, Elsevier, vol. 141(C).
    16. Yi Yao & Lixin Tian & Guangxi Cao, 2022. "The Information Spillover among the Carbon Market, Energy Market, and Stock Market: A Case Study of China’s Pilot Carbon Markets," Sustainability, MDPI, vol. 14(8), pages 1-18, April.
    17. Meng, Bin & Chen, Shuiyang & Haralambides, Hercules & Kuang, Haibo & Fan, Lidong, 2023. "Information spillovers between carbon emissions trading prices and shipping markets: A time-frequency analysis," Energy Economics, Elsevier, vol. 120(C).
    18. Tangyong Liu & Xu Gong & Boqiang Lin, 2021. "Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1375-1396, September.
    19. He, Xie & Hamori, Shigeyuki, 2024. "Asymmetric Higher-Moment spillovers between sustainable and traditional investments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 97(C).
    20. Wang, Hu & Li, Shouwei, 2021. "Asymmetric volatility spillovers between crude oil and China's financial markets," Energy, Elsevier, vol. 233(C).
    21. Gong, Zhenting & Chen, Yanbei & Zhang, He & Chen, Fan, 2024. "Tail risk connectedness in the Carbon-Finance nexus: Evidence from a quantile spillover approach in China," Finance Research Letters, Elsevier, vol. 67(PB).
    22. Maitra, Debasish & Guhathakurta, Kousik & Kang, Sang Hoon, 2021. "The good, the bad and the ugly relation between oil and commodities: An analysis of asymmetric volatility connectedness and portfolio implications," Energy Economics, Elsevier, vol. 94(C).
    23. Dai, Xingyu & Xiao, Ling & Wang, Qunwei & Dhesi, Gurjeet, 2021. "Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS," Energy Policy, Elsevier, vol. 156(C).
    24. Li, Xin & Li, Zheng & Su, Chi-Wei & Umar, Muhammad & Shao, Xuefeng, 2022. "Exploring the asymmetric impact of economic policy uncertainty on China's carbon emissions trading market price: Do different types of uncertainty matter?," Technological Forecasting and Social Change, Elsevier, vol. 178(C).
    25. Wang, Jiqian & Guo, Xiaozhu & Tan, Xueping & Chevallier, Julien & Ma, Feng, 2023. "Which exogenous driver is informative in forecasting European carbon volatility: Bond, commodity, stock or uncertainty?," Energy Economics, Elsevier, vol. 117(C).
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    27. Ren, Xiaohang & Li, Yiying & yan, Cheng & Wen, Fenghua & Lu, Zudi, 2022. "The interrelationship between the carbon market and the green bonds market: Evidence from wavelet quantile-on-quantile method," Technological Forecasting and Social Change, Elsevier, vol. 179(C).
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    31. Qianrui Hwang & Min Yao & Shugang Li & Fang Wang & Zhenmin Luo & Zheng Li & Tongshuang Liu, 2023. "Risk Spillovers between China’s Carbon and Energy Markets," Energies, MDPI, vol. 16(19), pages 1-17, September.
    32. Cristiano Salvagnin & Aldo Glielmo & Maria Elena De Giuli & Antonietta Mira, 2024. "Investigating the price determinants of the European Emission Trading System: a non-parametric approach," Papers 2406.05094, arXiv.org.
    33. Xu, Xinkuo & Guan, Chengmei & Jin, Jiayu, 2018. "Valuing the carbon assets of distributed photovoltaic generation in China," Energy Policy, Elsevier, vol. 121(C), pages 374-382.
    34. Chun Jiang & Yi-Fan Wu & Xiao-Lin Li & Xin Li, 2020. "Time-frequency Connectedness between Coal Market Prices, New Energy Stock Prices and CO 2 Emissions Trading Prices in China," Sustainability, MDPI, vol. 12(7), pages 1-17, April.
    35. Xie He & Tetsuya Takiguchi & Tadahiro Nakajima & Shigeyuki Hamori, 2020. "Spillover effects between energies, gold, and stock: the United States versus China," Energy & Environment, , vol. 31(8), pages 1416-1447, December.
    36. Wen, Fenghua & Zhao, Haocen & Zhao, Lili & Yin, Hua, 2022. "What drive carbon price dynamics in China?," International Review of Financial Analysis, Elsevier, vol. 79(C).
    37. Lin, Boqiang & Wang, Siquan, 2024. "Sustainability of renewable energy in China: Enhanced strategic investment and displaced R&D expenditure," Energy Economics, Elsevier, vol. 131(C).
    38. Chiappari, Mattia & Scotti, Francesco & Flori, Andrea, 2024. "Market responses to spillovers in the energy commodity markets: Evaluating short-term vs. long-term effects and business-as-usual vs. distressed phases," International Review of Financial Analysis, Elsevier, vol. 96(PB).
    39. Ozturk, Serda Selin & Demirer, Riza & Gupta, Rangan, 2022. "Climate uncertainty and carbon emissions prices: The relative roles of transition and physical climate risks," Economics Letters, Elsevier, vol. 217(C).
    40. Yue‐Jun Zhang & Shu‐Jiao Ma, 2021. "Exploring the dynamic price discovery, risk transfer and spillover among INE, WTI and Brent crude oil futures markets: Evidence from the high‐frequency data," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2414-2435, April.
    41. Dai, Zhifeng & Tang, Rui & Zhang, Xinhua, 2023. "Multilayer network analysis for measuring the inter-connectedness between the oil market and G20 stock markets," Energy Economics, Elsevier, vol. 120(C).
    42. Wu, Ruirui & Qin, Zhongfeng & Liu, Bing-Yue, 2022. "A systemic analysis of dynamic frequency spillovers among carbon emissions trading (CET), fossil energy and sectoral stock markets: Evidence from China," Energy, Elsevier, vol. 254(PA).
    43. Xie, Qichang & Bai, Yu & Jia, Nanfei & Xu, Xin, 2024. "Do macroprudential policies reduce risk spillovers between energy markets?: Evidence from time-frequency domain and mixed-frequency methods," Energy Economics, Elsevier, vol. 134(C).
    44. Gong, Xu & Chen, Liqiang & Lin, Boqiang, 2020. "Analyzing dynamic impacts of different oil shocks on oil price," Energy, Elsevier, vol. 198(C).
    45. An, Pengli & Li, Huajiao & Zhou, Jinsheng & Li, Yang & Sun, Bowen & Guo, Sui & Qi, Yajie, 2020. "Volatility spillover of energy stocks in different periods and clusters based on structural break recognition and network method," Energy, Elsevier, vol. 191(C).
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    48. Liao, Jianhui & Zhu, Xuehong & Chen, Jinyu, 2021. "Dynamic spillovers across oil, gold and stock markets in the presence of major public health emergencies," International Review of Financial Analysis, Elsevier, vol. 77(C).
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    112. Dan Nie & Yanbin Li & Xiyu Li, 2021. "Dynamic Spillovers and Asymmetric Spillover Effect between the Carbon Emission Trading Market, Fossil Energy Market, and New Energy Stock Market in China," Energies, MDPI, vol. 14(19), pages 1-22, October.
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    Cited by:

    1. Yi, Yongsheng & Ma, Feng & Zhang, Yaojie & Huang, Dengshi, 2019. "Forecasting stock returns with cycle-decomposed predictors," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 250-261.
    2. Xu, Yongan & Liang, Chao & Wang, Jianqiong, 2023. "Financial stress and returns predictability: Fresh evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
    3. Yuan, Xianghui & Li, Xiang, 2022. "Delta-hedging demand and intraday momentum: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
    4. Yongsheng Yi & Feng Ma & Dengshi Huang & Yaojie Zhang, 2019. "Interest rate level and stock return predictability," Review of Financial Economics, John Wiley & Sons, vol. 37(4), pages 506-522, October.
    5. Nonejad, Nima, 2022. "Equity premium prediction using the price of crude oil: Uncovering the nonlinear predictive impact," Energy Economics, Elsevier, vol. 115(C).
    6. Yaojie Zhang & Feng Ma & Chao Liang & Yi Zhang, 2021. "Good variance, bad variance, and stock return predictability," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4410-4423, July.
    7. Zhang, Yaojie & Ma, Feng & Wang, Yudong, 2019. "Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors?," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 97-117.
    8. Yongan Xu & Jianqiong Wang & Zhonglu Chen & Chao Liang, 2023. "Sentiment indices and stock returns: Evidence from China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 1063-1080, January.
    9. Dai, Zhifeng & Zhu, Huan, 2020. "Stock return predictability from a mixed model perspective," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
    10. Dai, Zhifeng & Kang, Jie & Wen, Fenghua, 2021. "Predicting stock returns: A risk measurement perspective," International Review of Financial Analysis, Elsevier, vol. 74(C).
    11. Xu, Yongan & Wang, Jianqiong & Chen, Zhonglu & Liang, Chao, 2021. "Economic policy uncertainty and stock market returns: New evidence," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    12. Zhang, Yaojie & Zeng, Qing & Ma, Feng & Shi, Benshan, 2019. "Forecasting stock returns: Do less powerful predictors help?," Economic Modelling, Elsevier, vol. 78(C), pages 32-39.
    13. Wen, Zhuzhu & Gong, Xu & Ma, Diandian & Xu, Yahua, 2021. "Intraday momentum and return predictability: Evidence from the crude oil market," Economic Modelling, Elsevier, vol. 95(C), pages 374-384.
    14. Yae, James & Tian, George Zhe, 2022. "Out-of-sample forecasting of cryptocurrency returns: A comprehensive comparison of predictors and algorithms," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 598(C).
    15. Park, Jin Suk & Newaz, Mohammad Khaleq, 2021. "Liquidity and short-run predictability: Evidence from international stock markets," Global Finance Journal, Elsevier, vol. 50(C).
    16. Lioui, Abraham & Poncet, Patrice, 2019. "Long horizon predictability: An asset allocation perspective," European Journal of Operational Research, Elsevier, vol. 278(3), pages 961-975.
    17. Dai, Zhifeng & Zhu, Huan, 2021. "Indicator selection and stock return predictability," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    18. Dai, Zhifeng & Dong, Xiaodi & Kang, Jie & Hong, Lianying, 2020. "Forecasting stock market returns: New technical indicators and two-step economic constraint method," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    19. Dai, Zhifeng & Zhou, Huiting & Kang, Jie & Wen, Fenghua, 2021. "The skewness of oil price returns and equity premium predictability," Energy Economics, Elsevier, vol. 94(C).
    20. Dong, Dayong & Yue, Sishi & Cao, Jiawei, 2020. "Site visit information content and return predictability: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    21. Dai, Zhifeng & Zhu, Huan & Kang, Jie, 2021. "New technical indicators and stock returns predictability," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 127-142.
    22. Yaojie Zhang & Yudong Wang & Feng Ma & Yu Wei, 2022. "To jump or not to jump: momentum of jumps in crude oil price volatility prediction," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-31, December.
    23. Zhang, Li & Wang, Lu & Wang, Xunxiao & Zhang, Yaojie & Pan, Zhigang, 2022. "How macro-variables drive crude oil volatility? Perspective from the STL-based iterated combination method," Resources Policy, Elsevier, vol. 77(C).
    24. Qiao, Gaoxiu & Jiang, Gongyue & Yang, Jiyu, 2022. "VIX term structure forecasting: New evidence based on the realized semi-variances," International Review of Financial Analysis, Elsevier, vol. 82(C).
    25. Zhang, Yaojie & Ma, Feng & Zhu, Bo, 2019. "Intraday momentum and stock return predictability: Evidence from China," Economic Modelling, Elsevier, vol. 76(C), pages 319-329.
    26. Xu, Yongan & Liang, Chao & Li, Yan & Huynh, Toan L.D., 2022. "News sentiment and stock return: Evidence from managers’ news coverages," Finance Research Letters, Elsevier, vol. 48(C).
    27. Zhifeng Dai & Huiting Zhou, 2020. "Prediction of Stock Returns: Sum-of-the-Parts Method and Economic Constraint Method," Sustainability, MDPI, vol. 12(2), pages 1-13, January.
    28. Li Liu & Zhiyuan Pan & Yudong Wang, 2021. "What can we learn from the return predictability over the business cycle?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 108-131, January.

  71. Wang, Yudong & Wei, Yu & Wu, Chongfeng & Yin, Libo, 2018. "Oil and the short-term predictability of stock return volatility," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 90-104.

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    1. Chao Liang & Yin Liao & Feng Ma & Bo Zhu, 2022. "United States Oil Fund volatility prediction: the roles of leverage effect and jumps," Empirical Economics, Springer, vol. 62(5), pages 2239-2262, May.
    2. Xiao, Jihong & Chen, Xian & Li, Yang & Wen, Fenghua, 2022. "Oil price uncertainty and stock price crash risk: Evidence from China," Energy Economics, Elsevier, vol. 112(C).
    3. Dai, Zhifeng & Chang, Xiaoming, 2021. "Forecasting stock market volatility: Can the risk aversion measure exert an important role?," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    4. Zhang, Zhikai & Wang, Yudong & Xiao, Jihong & Zhang, Yaojie, 2023. "Not all geopolitical shocks are alike: Identifying price dynamics in the crude oil market under tensions," Resources Policy, Elsevier, vol. 80(C).
    5. Ayedi Ahmed & Marjène Gana & Stéphane Goutte & Khaled Guesmi, 2023. "Managing Portfolio Risk During the BREXIT Crisis: A Cross-Quantilogram Analysis of Stock Markets and Commodities Across European Countries, the US, and BRICS," Working Papers halshs-04068651, HAL.
    6. Yi, Yongsheng & Ma, Feng & Zhang, Yaojie & Huang, Dengshi, 2019. "Forecasting stock returns with cycle-decomposed predictors," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 250-261.
    7. Yin, Libo & Su, Zhi & Lu, Man, 2022. "Is oil risk important for commodity-related currency returns?," Research in International Business and Finance, Elsevier, vol. 60(C).
    8. Xu, Yongan & Liang, Chao & Wang, Jianqiong, 2023. "Financial stress and returns predictability: Fresh evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
    9. Wang, Jiqian & Lu, Xinjie & He, Feng & Ma, Feng, 2020. "Which popular predictor is more useful to forecast international stock markets during the coronavirus pandemic: VIX vs EPU?," International Review of Financial Analysis, Elsevier, vol. 72(C).
    10. Li, Xiafei & Liao, Yin & Lu, Xinjie & Ma, Feng, 2022. "An oil futures volatility forecast perspective on the selection of high-frequency jump tests," Energy Economics, Elsevier, vol. 116(C).
    11. Ding, Hui & Huang, Yisu & Wang, Jiqian, 2023. "Have the predictability of oil changed during the COVID-19 pandemic: Evidence from international stock markets," International Review of Financial Analysis, Elsevier, vol. 87(C).
    12. Zhu, Haibin & Bai, Lu & He, Lidan & Liu, Zhi, 2023. "Forecasting realized volatility with machine learning: Panel data perspective," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 251-271.
    13. Liang, Chao & Xu, Yongan & Wang, Jianqiong & Yang, Mo, 2022. "Whether dimensionality reduction techniques can improve the ability of sentiment proxies to predict stock market returns," International Review of Financial Analysis, Elsevier, vol. 82(C).
    14. Jiqian Wang & Rangan Gupta & Oğuzhan Çepni & Feng Ma, 2023. "Forecasting international REITs volatility: the role of oil-price uncertainty," The European Journal of Finance, Taylor & Francis Journals, vol. 29(14), pages 1579-1597, September.
    15. Wang, Lu & Ma, Feng & Liu, Jing & Yang, Lin, 2020. "Forecasting stock price volatility: New evidence from the GARCH-MIDAS model," International Journal of Forecasting, Elsevier, vol. 36(2), pages 684-694.
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    22. Chen, Wang & Lu, Xinjie & Wang, Jiqian, 2022. "Modeling and managing stock market volatility using MRS-MIDAS model," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 625-635.
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    35. Jin, Daxiang & Yu, Jize, 2023. "Predicting cryptocurrency market volatility: Novel evidence from climate policy uncertainty," Finance Research Letters, Elsevier, vol. 58(PC).
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    44. Chao Liang & Yi Zhang & Yaojie Zhang, 2022. "Forecasting the volatility of the German stock market: New evidence," Applied Economics, Taylor & Francis Journals, vol. 54(9), pages 1055-1070, February.
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    87. Sherif, Mohamed, 2020. "The impact of Coronavirus (COVID-19) outbreak on faith-based investments: An original analysis," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
    88. Nonejad, Nima, 2020. "Crude oil price volatility and equity return predictability: A comparative out-of-sample study," International Review of Financial Analysis, Elsevier, vol. 71(C).
    89. Ni, He & Zhang, Qin & Guo, Xingjian & Mirza, Sultan Sikandar, 2024. "Portfolio optimization by enhanced LinUCB," Finance Research Letters, Elsevier, vol. 70(C).
    90. Chen, Wang & Ma, Feng & Wei, Yu & Liu, Jing, 2020. "Forecasting oil price volatility using high-frequency data: New evidence," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 1-12.
    91. Gao, Shang & Zhang, Zhikai & Wang, Yudong & Zhang, Yaojie, 2023. "Forecasting stock market volatility: The sum of the parts is more than the whole," Finance Research Letters, Elsevier, vol. 55(PA).
    92. Liu, Yiye & Han, Liyan & Wu, You, 2022. "Can skewness predict CNY-CNH spread?," Finance Research Letters, Elsevier, vol. 46(PB).
    93. Song, Yixuan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market volatility: A newspaper-based predictor regarding petroleum market volatility," Resources Policy, Elsevier, vol. 79(C).
    94. Luo, Qin & Lu, Xinjie & Huang, Dengshi & Zeng, Qing, 2024. "The impact of carbon transition risk concerns on stock market cycles: Evidence from China," Technological Forecasting and Social Change, Elsevier, vol. 209(C).
    95. He, Mengxi & Zhang, Zhikai & Zhang, Yaojie, 2024. "Forecasting crude oil prices with global ocean temperatures," Energy, Elsevier, vol. 311(C).
    96. Chen, Yan & Liu, Yakun & Zhang, Feipeng, 2024. "Coskewness and the short-term predictability for Bitcoin return," Technological Forecasting and Social Change, Elsevier, vol. 200(C).
    97. Zhang, Hongwei & Wang, Wentao & Niu, Zibo, 2024. "Geopolitical risks and crude oil futures volatility: Evidence from machine learning," Resources Policy, Elsevier, vol. 98(C).
    98. Das, Debojyoti & Maitra, Debasish & Dutta, Anupam & Basu, Sankarshan, 2022. "Financial stress and crude oil implied volatility: New evidence from continuous wavelet transformation framework," Energy Economics, Elsevier, vol. 115(C).
    99. Wu, Xi & Wang, Yudong & Tong, Xinle, 2021. "Cash holdings and oil price uncertainty exposures," Energy Economics, Elsevier, vol. 99(C).
    100. Hau, Liya & Zhu, Huiming & Huang, Rui & Ma, Xiang, 2020. "Heterogeneous dependence between crude oil price volatility and China’s agriculture commodity futures: Evidence from quantile-on-quantile regression," Energy, Elsevier, vol. 213(C).
    101. Lu, Botao & Ma, Feng & Wang, Jiqian & Ding, Hui & Wahab, M.I.M., 2021. "Harnessing the decomposed realized measures for volatility forecasting: Evidence from the US stock market," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 672-689.
    102. Nonejad, Nima, 2022. "Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    103. Chen, Zhonglu & Liang, Chao & Umar, Muhammad, 2021. "Is investor sentiment stronger than VIX and uncertainty indices in predicting energy volatility?," Resources Policy, Elsevier, vol. 74(C).

  72. Liu, Li & Wang, Yudong & Yang, Li, 2018. "Predictability of crude oil prices: An investor perspective," Energy Economics, Elsevier, vol. 75(C), pages 193-205.

    Cited by:

    1. Wen, Danyan & Liu, Li & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market returns: Enhanced moving average technical indicators," Resources Policy, Elsevier, vol. 76(C).
    2. Yanhui Chen & Jinrong Lu & Mengmeng Ma, 2022. "How Does Oil Future Price Imply Bunker Price—Cointegration and Prediction Analysis," Energies, MDPI, vol. 15(10), pages 1-17, May.
    3. Nonejad, Nima, 2021. "Predicting the return on the spot price of crude oil out-of-sample by conditioning on news-based uncertainty measures: Some new empirical results," Energy Economics, Elsevier, vol. 104(C).
    4. Algieri, Bernardina & Leccadito, Arturo, 2019. "Ask CARL: Forecasting tail probabilities for energy commodities," Energy Economics, Elsevier, vol. 84(C).
    5. Wen, Danyan & Wang, Huihui & Wang, Yudong & Xiao, Jihong, 2024. "Crude oil futures and the short-term price predictability of petroleum products," Energy, Elsevier, vol. 307(C).
    6. Liu, Jing & Ma, Feng & Tang, Yingkai & Zhang, Yaojie, 2019. "Geopolitical risk and oil volatility: A new insight," Energy Economics, Elsevier, vol. 84(C).
    7. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2022. "Geopolitical risk trends and crude oil price predictability," Energy, Elsevier, vol. 258(C).
    8. Teti, Emanuele & Dallocchio, Maurizio & De Sanctis, Daniele, 2020. "Effects of oil price fall on the betas in the Unconventional Oil & Gas Industry," Energy Policy, Elsevier, vol. 144(C).
    9. Alfeus, Mesias & Nikitopoulos, Christina Sklibosios, 2022. "Forecasting volatility in commodity markets with long-memory models," Journal of Commodity Markets, Elsevier, vol. 28(C).
    10. He, Mengxi & Zhang, Yaojie & Wen, Danyan & Wang, Yudong, 2021. "Forecasting crude oil prices: A scaled PCA approach," Energy Economics, Elsevier, vol. 97(C).
    11. Chia-Lin Chang & Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Moving Average Market Timing in European Energy Markets: Production Versus Emissions," Energies, MDPI, vol. 11(12), pages 1-24, November.
    12. Marcos Álvarez-Díaz, 2020. "Is it possible to accurately forecast the evolution of Brent crude oil prices? An answer based on parametric and nonparametric forecasting methods," Empirical Economics, Springer, vol. 59(3), pages 1285-1305, September.
    13. Wang, Yudong & Liu, Li & Wu, Chongfeng, 2020. "Forecasting commodity prices out-of-sample: Can technical indicators help?," International Journal of Forecasting, Elsevier, vol. 36(2), pages 666-683.
    14. Katarzyna Kuziak & Joanna Górka, 2023. "Dependence Analysis for the Energy Sector Based on Energy ETFs," Energies, MDPI, vol. 16(3), pages 1-30, January.
    15. Cheng, Xian & Wu, Peng & Liao, Stephen Shaoyi & Wang, Xuelian, 2023. "An integrated model for crude oil forecasting: Causality assessment and technical efficiency," Energy Economics, Elsevier, vol. 117(C).
    16. Zhang, Yaojie & He, Mengxi & Wen, Danyan & Wang, Yudong, 2023. "Forecasting crude oil price returns: Can nonlinearity help?," Energy, Elsevier, vol. 262(PB).
    17. Yi, Yongsheng & He, Mengxi & Zhang, Yaojie, 2022. "Out-of-sample prediction of Bitcoin realized volatility: Do other cryptocurrencies help?," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    18. Grzegorz Przekota & Anna Szczepańska-Przekota, 2025. "Directions of Price Transmission on the Diesel Oil Market in Poland," Energies, MDPI, vol. 18(1), pages 1-25, January.

  73. Chen, Cheng & Wang, Yudong, 2017. "Understanding the multifractality in portfolio excess returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 346-355.

    Cited by:

    1. Li, Songsong & Xu, Nan & Hui, Xiaofeng, 2020. "International investors and the multifractality property: Evidence from accessible and inaccessible market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).
    2. Liu Wei-qi & Zhang Jingxing, 2018. "BM(book-to-market ratio) factor: medium-term momentum and long-term reversal," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 4(1), pages 1-29, December.
    3. Zhang, Guofu & Li, Jingjing, 2018. "Multifractal analysis of Shanghai and Hong Kong stock markets before and after the connect program," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 611-622.
    4. Mo, Guoli & Tan, Chunzhi & Zhang, Weiguo & Liu, Fang, 2019. "International portfolio of stock indices with spatiotemporal correlations: Can investors still benefit from portfolio, when and where?," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 168-183.
    5. Gu, Danlei & Huang, Jingjing, 2019. "Multifractal detrended fluctuation analysis on high-frequency SZSE in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 225-235.
    6. Mensi, Walid & Tiwari, Aviral Kumar & Al-Yahyaee, Khamis Hamed, 2019. "An analysis of the weak form efficiency, multifractality and long memory of global, regional and European stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 168-177.
    7. Saâdaoui, Foued, 2018. "Testing for multifractality of Islamic stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 496(C), pages 263-273.

  74. Wang, Qizhen & Zhu, Yingming & Wang, Yudong, 2017. "The effects of oil shocks on export duration of China," Energy, Elsevier, vol. 125(C), pages 55-61.

    Cited by:

    1. Yuan, Meng & Zhang, Haoran & Wang, Bohong & Huang, Liqiao & Fang, Kai & Liang, Yongtu, 2020. "Downstream oil supply security in China: Policy implications from quantifying the impact of oil import disruption," Energy Policy, Elsevier, vol. 136(C).
    2. Zhang, Chaoshuai & Qiu, Peng & Zhang, Liang & Hong, Xiaoyu & Wang, Dingqing, 2024. "The impact of digital transformation on enterprises' export stability: Evidence from listed companies in China," International Review of Financial Analysis, Elsevier, vol. 96(PA).
    3. Zhang, Xi-Xi & Liu, Lu, 2020. "The time-varying causal relationship between oil price and unemployment: Evidence from the U.S. and China (EGY 118745)," Energy, Elsevier, vol. 212(C).
    4. Karel Malec & Socrates Kraido Majune & Elena Kuzmenko & Joseph Phiri & Rahab Liz Masese Nyamoita & Seth Nana Kwame Appiah-Kubi & Mansoor Maitah & Luboš Smutka & Zdeňka Gebeltová & Karel Tomšík & Sylvi, 2023. "Energy Logistic Regression and Survival Model: Case Study of Russian Exports," IJERPH, MDPI, vol. 20(1), pages 1-14, January.
    5. Zhu, Dandan & Chen, Ke & Sun, Chuanwang & Lyu, Chaofeng, 2023. "Does environmental pollution liability insurance promote environmental performance? Firm-level evidence from quasi-natural experiment in China," Energy Economics, Elsevier, vol. 118(C).

  75. He, Shanshan & Wang, Yudong, 2017. "Revisiting the multifractality in stock returns and its modeling implications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 11-20.

    Cited by:

    1. Zhang, Shuchang & Guo, Yaoqi & Cheng, Hui & Zhang, Hongwei, 2021. "Cross-correlations between price and volume in China's crude oil futures market: A study based on multifractal approaches," Chaos, Solitons & Fractals, Elsevier, vol. 144(C).
    2. dos Santos Maciel, Leandro, 2023. "Brazilian stock-market efficiency before and after COVID-19: The roles of fractality and predictability," Global Finance Journal, Elsevier, vol. 58(C).
    3. Choi, Sun-Yong, 2021. "Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
    4. Zeyi Fu & Hongli Niu & Weiqing Wang, 2023. "Market Efficiency and Cross-Correlations of Chinese New Energy Market with Other Assets: Evidence from Multifractality Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 1287-1311, October.
    5. Suchetana Sadhukhan & Poulomi Sadhukhan, 2022. "Sector-wise analysis of Indian stock market: Long and short-term risk and stability analysis," Papers 2210.09619, arXiv.org.
    6. Bouoiyour, Jamal & Selmi, Refk & Wohar, Mark E., 2018. "Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis," Finance Research Letters, Elsevier, vol. 26(C), pages 100-105.
    7. Lahmiri, Salim & Bekiros, Stelios & Salvi, Antonio, 2018. "Long-range memory, distributional variation and randomness of bitcoin volatility," Chaos, Solitons & Fractals, Elsevier, vol. 107(C), pages 43-48.
    8. Gong, Xu & Lin, Boqiang, 2019. "Modeling stock market volatility using new HAR-type models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 194-211.
    9. Refk Selmi & Aviral Kumar Tiwari & Shawkat Hammoudeh, 2018. "Efficiency or speculation? A dynamic analysis of the Bitcoin market," Economics Bulletin, AccessEcon, vol. 38(4), pages 2037-2046.
    10. Ruan, Qingsong & Yang, Haiquan & Lv, Dayong & Zhang, Shuhua, 2018. "Cross-correlations between individual investor sentiment and Chinese stock market return: New perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 243-256.
    11. Sarker, Alivia & Mali, Provash, 2021. "Detrended multifractal characterization of Indian rainfall records," Chaos, Solitons & Fractals, Elsevier, vol. 151(C).
    12. Jamal Bouoiyour & Refk Selmi & Olivier Hueber, 2019. "Low on Trust and High on Risks: Is Sidechain a Good Solution to Bitcoin Problems?," Working Papers hal-02348406, HAL.
    13. Aloui, Chaker & Shahzad, Syed Jawad Hussain & Jammazi, Rania, 2018. "Dynamic efficiency of European credit sectors: A rolling-window multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 337-349.

  76. Feng, Jiabao & Wang, Yudong & Yin, Libo, 2017. "Oil volatility risk and stock market volatility predictability: Evidence from G7 countries," Energy Economics, Elsevier, vol. 68(C), pages 240-254.

    Cited by:

    1. Dai, Zhifeng & Chang, Xiaoming, 2021. "Forecasting stock market volatility: Can the risk aversion measure exert an important role?," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    2. Li, Dongxin & Zhang, Li & Li, Lihong, 2023. "Forecasting stock volatility with economic policy uncertainty: A smooth transition GARCH-MIDAS model," International Review of Financial Analysis, Elsevier, vol. 88(C).
    3. Alessandro Paolo Rigamonti & Giulio Greco & Mariarita Pierotti & Alessandro Capocchi, 2024. "Macroeconomic uncertainty and earnings management: evidence from commodity firms," Review of Quantitative Finance and Accounting, Springer, vol. 62(4), pages 1615-1649, May.
    4. Yin, Libo & Su, Zhi & Lu, Man, 2022. "Is oil risk important for commodity-related currency returns?," Research in International Business and Finance, Elsevier, vol. 60(C).
    5. Yin, Libo & Lu, Man, 2022. "Oil uncertainty and firms' risk-taking," Energy Economics, Elsevier, vol. 108(C).
    6. Lu, Man & Wang, Wei & Chen, Fengwen & Li, Hongmei, 2024. "Dynamic impacts of multidimensional uncertainty on the renminbi exchange rate: Insights from time-varying analysis," International Review of Financial Analysis, Elsevier, vol. 94(C).
    7. Fernandes, Leonardo H.S. & de Araújo, Fernando H.A. & Silva, Igor E.M., 2020. "The (in)efficiency of NYMEX energy futures: A multifractal analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 556(C).
    8. Wu, Shue-Jen, 2023. "The role of the past long-run oil price changes in stock market," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 274-291.
    9. Liang, Chao & Ma, Feng & Li, Ziyang & Li, Yan, 2020. "Which types of commodity price information are more useful for predicting US stock market volatility?," Economic Modelling, Elsevier, vol. 93(C), pages 642-650.
    10. Hong, Yanran & Yu, Jize & Su, Yuquan & Wang, Lu, 2023. "Southern oscillation: Great value of its trends for forecasting crude oil spot price volatility," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 358-368.
    11. Tai‐Yong Roh & Alireza Tourani‐Rad & Yahua Xu & Yang Zhao, 2021. "Volatility‐of‐volatility risk in the crude oil market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 245-265, February.
    12. Wen, Danyan & Wang, Gang-Jin & Ma, Chaoqun & Wang, Yudong, 2019. "Risk spillovers between oil and stock markets: A VAR for VaR analysis," Energy Economics, Elsevier, vol. 80(C), pages 524-535.
    13. Muhammad Shahbaz & Arshian Sharif & Fateh Belaid & Xuan Vinh Vo, 2021. "Long‐run co‐variability between oil prices and economic policy uncertainty," Post-Print hal-03677996, HAL.
    14. David Iheke Okorie & Boqiang Lin, 2022. "Crude oil market and Nigerian stocks: An asymmetric information spillover approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4002-4017, October.
    15. Ruixin Su & Jianguo Du & Fakhar Shahzad & Xingle Long, 2020. "Unveiling the Effect of Mean and Volatility Spillover between the United States Economic Policy Uncertainty and WTI Crude Oil Price," Sustainability, MDPI, vol. 12(16), pages 1-12, August.
    16. Tiwari, Aviral Kumar & Trabelsi, Nader & Alqahtani, Faisal & Raheem, Ibrahim D., 2020. "Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value-at-risk and marginal expected shortfall approaches," Energy Economics, Elsevier, vol. 86(C).
    17. Hassan, Kamrul & Hoque, Ariful & Wali, Muammer & Gasbarro, Dominic, 2020. "Islamic stocks, conventional stocks, and crude oil: Directional volatility spillover analysis in BRICS," Energy Economics, Elsevier, vol. 92(C).
    18. Yin, Libo & Feng, Jiabao, 2019. "Can investors attention on oil markets predict stock returns?," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 786-800.
    19. Li, Zhe & Shen, Jiashuang & Xiao, Weilin, 2024. "Volatility risk premium, good volatility and bad volatility: Evidence from SSE 50 ETF options," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    20. Naeem, Muhammad Abubakr & Balli, Faruk & Shahzad, Syed Jawad Hussain & de Bruin, Anne, 2020. "Energy commodity uncertainties and the systematic risk of US industries," Energy Economics, Elsevier, vol. 85(C).
    21. Dai, Zhifeng & Zhou, Huiting & Wen, Fenghua & He, Shaoyi, 2020. "Efficient predictability of stock return volatility: The role of stock market implied volatility," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    22. Yin, Libo & Cao, Hong & Xin, Yu, 2024. "Impact of crude oil price innovations on global stock market volatility: Evidence across time and space," International Review of Financial Analysis, Elsevier, vol. 96(PB).
    23. Mensi, Walid & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Modeling the frequency dynamics of spillovers and connectedness between crude oil and MENA stock markets with portfolio implications," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 397-419.
    24. Mehdi Zolfaghari & Bahram Sahabi, 2021. "The impact of oil price and exchange rate on momentum strategy profits in stock market: evidence from oil-rich developing countries," Review of Managerial Science, Springer, vol. 15(7), pages 1981-2023, October.
    25. Ali, Syed Riaz Mahmood & Mensi, Walid & Anik, Kaysul Islam & Rahman, Mishkatur & Kang, Sang Hoon, 2022. "The impacts of COVID-19 crisis on spillovers between the oil and stock markets: Evidence from the largest oil importers and exporters," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 345-372.
    26. Su, Zhi & Lu, Man & Yin, Libo, 2018. "Oil prices and news-based uncertainty: Novel evidence," Energy Economics, Elsevier, vol. 72(C), pages 331-340.
    27. Lyócsa, Štefan & Todorova, Neda, 2021. "What drives volatility of the U.S. oil and gas firms?," Energy Economics, Elsevier, vol. 100(C).
    28. Demirer, Riza & Yuksel, Aydin & Yuksel, Asli, 2020. "Oil price uncertainty, global industry returns and active investment strategies," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
    29. Hassan, Kamrul & Hoque, Ariful & Gasbarro, Dominic, 2019. "Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis," Energy Economics, Elsevier, vol. 80(C), pages 950-969.
    30. Ghaemi Asl, Mahdi & Adekoya, Oluwasegun Babatunde & Rashidi, Muhammad Mahdi & Ghasemi Doudkanlou, Mohammad & Dolatabadi, Ali, 2022. "Forecast of Bayesian-based dynamic connectedness between oil market and Islamic stock indices of Islamic oil-exporting countries: Application of the cascade-forward backpropagation network," Resources Policy, Elsevier, vol. 77(C).
    31. Dai, Zhifeng & Zhu, Huan & Dong, Xiaodi, 2020. "Forecasting Chinese industry return volatilities with RMB/USD exchange rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
    32. Salisu, Afees A. & Ogbonna, Ahamuefula E. & Gupta, Rangan & Bouri, Elie, 2024. "Energy-related uncertainty and international stock market volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 280-293.
    33. Tong Fang & Deyu Miao & Zhi Su & Libo Yin, 2023. "Uncertainty‐driven oil volatility risk premium and international stock market volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 872-904, July.
    34. Li, Xiafei & Liang, Chao & Chen, Zhonglu & Umar, Muhammad, 2022. "Forecasting crude oil volatility with uncertainty indicators: New evidence," Energy Economics, Elsevier, vol. 108(C).

  77. Pan, Zhiyuan & Wang, Yudong & Wu, Chongfeng & Yin, Libo, 2017. "Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 130-142.

    Cited by:

    1. Marobhe, Mutaju Isaack & Kansheba, Jonathan Mukiza, 2024. "Airlines and climate policy uncertainty: Are the sector's stocks soaring or stalling?," Journal of Air Transport Management, Elsevier, vol. 115(C).
    2. Hao-Lin Shao & Ying-Hui Shao & Yan-Hong Yang, 2021. "New insights into price drivers of crude oil futures markets: Evidence from quantile ARDL approach," Papers 2110.02693, arXiv.org.
    3. Mawuli Segnon & Rangan Gupta & Bernd Wilfling, 2022. "Forecasting Stock Market Volatility with Regime-Switching GARCH-MIDAS: The Role of Geopolitical Risks," Working Papers 202203, University of Pretoria, Department of Economics.
    4. Md Samsul Alam & Alessandra Amendola & Vincenzo Candila & Shahram Dehghan Jabarabadi, 2024. "Is Monetary Policy a Driver of Cryptocurrencies? Evidence from a Structural Break GARCH-MIDAS Approach," Econometrics, MDPI, vol. 12(1), pages 1-20, January.
    5. Mei, Dexiang & Zeng, Qing & Zhang, Yaojie & Hou, Wenjing, 2018. "Does US Economic Policy Uncertainty matter for European stock markets volatility?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 215-221.
    6. Mei, Dexiang & Zeng, Qing & Cao, Xiang & Diao, Xiaohua, 2019. "Uncertainty and oil volatility: New evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 155-163.
    7. Lee, Hsiang-Tai, 2022. "Regime-switching angular correlation diversification," Finance Research Letters, Elsevier, vol. 50(C).
    8. Mei, Dexiang & Zhao, Chenchen & Luo, Qin & Li, Yan, 2022. "Forecasting the Chinese low-carbon index volatility," Resources Policy, Elsevier, vol. 77(C).
    9. Liang, Chao & Xia, Zhenglan & Lai, Xiaodong & Wang, Lu, 2022. "Natural gas volatility prediction: Fresh evidence from extreme weather and extended GARCH-MIDAS-ES model," Energy Economics, Elsevier, vol. 116(C).
    10. Afees A. Salisu & Rangan Gupta & Elie Bouri & Qiang Ji, 2020. "Forecasting Oil Volatility Using a GARCH-MIDAS Approach: The Role of Global Economic Conditions," Working Papers 202051, University of Pretoria, Department of Economics.
    11. Liu, Yue & Sun, Huaping & Zhang, Jijian & Taghizadeh-Hesary, Farhad, 2020. "Detection of volatility regime-switching for crude oil price modeling and forecasting," Resources Policy, Elsevier, vol. 69(C).
    12. Liu, Zhenhua & Zhang, Huiying & Ding, Zhihua & Lv, Tao & Wang, Xu & Wang, Deqing, 2022. "When are the effects of economic policy uncertainty on oil–stock correlations larger? Evidence from a regime-switching analysis," Economic Modelling, Elsevier, vol. 114(C).
    13. Wang, Lu & Ma, Feng & Liu, Jing & Yang, Lin, 2020. "Forecasting stock price volatility: New evidence from the GARCH-MIDAS model," International Journal of Forecasting, Elsevier, vol. 36(2), pages 684-694.
    14. Gaoxiu Qiao & Wanmei Cui & Yijie Zhou & Chao Liang, 2025. "Volatility of Volatility and VIX Forecasting: New Evidence Based on Jumps, the Short‐Term and Long‐Term Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(1), pages 23-46, January.
    15. Duc Khuong Nguyen & Thomas Walther, 2020. "Modeling and forecasting commodity market volatility with long‐term economic and financial variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 126-142, March.
    16. Wang, Zhuqing & Wang, Xinyu & Cheng, Qiuying & Shi, Song, 2024. "Heterogeneous impact of economic and political uncertainty on green bond volatility: Evidence from the MRS-GARCH-MIDAS-Skewed T model," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    17. O-Chia Chuang & Chenxu Yang, 2022. "Identifying the Determinants of Crude Oil Market Volatility by the Multivariate GARCH-MIDAS Model," Energies, MDPI, vol. 15(8), pages 1-14, April.
    18. Chen, Chuanglian & Zhou, Lichao & Sun, Chuanwang & Lin, Yuting, 2024. "Does oil future increase the network systemic risk of financial institutions in China?," Applied Energy, Elsevier, vol. 364(C).
    19. Rangan Gupta & Christian Pierdzioch & Wing-Keung Wong, 2021. "A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios," Working Papers 202158, University of Pretoria, Department of Economics.
    20. Freddy Ronalde Camacho-Villagomez & Yanina Shegia Bajaña-Villagomez & Andrea Johanna Rodríguez-Bustos, 2024. "Estimating the Impact of Oil Price Volatility on the Ecuadorian Economy: A MIDAS Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 14(4), pages 371-376, July.
    21. Qifa Xu & Junqing Zuo & Cuixia Jiang & Yaoyao He, 2021. "A large constrained time‐varying portfolio selection model with DCC‐MIDAS: Evidence from Chinese stock market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3417-3435, July.
    22. Jiqian Wang & Feng Ma & Chao Liang & Zhonglu Chen, 2022. "Volatility forecasting revisited using Markov‐switching with time‐varying probability transition," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1387-1400, January.
    23. Mao, Zhouheng & Wang, Hui & Bibi, Sidra, 2024. "Crude oil volatility spillover and stock market returns across the COVID-19 pandemic and post-pandemic periods: An empirical study of China, US, and India," Resources Policy, Elsevier, vol. 88(C).
    24. Virk, Nader & Javed, Farrukh & Awartani, Basel, 2021. "A reality check on the GARCH-MIDAS volatility models," Working Papers 2021:2, Örebro University, School of Business.
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    4. Wang, Yudong & Hao, Xianfeng, 2022. "Forecasting the real prices of crude oil: A robust weighted least squares approach," Energy Economics, Elsevier, vol. 116(C).
    5. Wen, Danyan & Liu, Li & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market returns: Enhanced moving average technical indicators," Resources Policy, Elsevier, vol. 76(C).
    6. Tian, Guangning & Peng, Yuchao & Meng, Yuhao, 2023. "Forecasting crude oil prices in the COVID-19 era: Can machine learn better?," Energy Economics, Elsevier, vol. 125(C).
    7. Liang, Chao & Xu, Yongan & Wang, Jianqiong & Yang, Mo, 2022. "Whether dimensionality reduction techniques can improve the ability of sentiment proxies to predict stock market returns," International Review of Financial Analysis, Elsevier, vol. 82(C).
    8. Funk, Christoph, 2018. "Forecasting the real price of oil - Time-variation and forecast combination," Energy Economics, Elsevier, vol. 76(C), pages 288-302.
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    10. Krüger, Jens & Ruths Sion, Sebastian, 2019. "Improving oil price forecasts by sparse VAR methods," Darmstadt Discussion Papers in Economics 237, Darmstadt University of Technology, Department of Law and Economics.
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    19. Drachal, Krzysztof, 2021. "Forecasting selected energy commodities prices with Bayesian dynamic finite mixtures," Energy Economics, Elsevier, vol. 99(C).
    20. Zuzanna Karolak, 2021. "Energy prices forecasting using nonlinear univariate models," Bank i Kredyt, Narodowy Bank Polski, vol. 52(6), pages 577-598.
    21. Alain Hecq & Elisa Voisin, 2019. "Predicting crashes in oil prices during the COVID-19 pandemic with mixed causal-noncausal models," Papers 1911.10916, arXiv.org, revised May 2022.
    22. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2022. "Geopolitical risk trends and crude oil price predictability," Energy, Elsevier, vol. 258(C).
    23. Priya, Pragati & Pal, Debdatta, 2024. "Does crude oil price volatility respond asymmetrically to financial shocks?," Resources Policy, Elsevier, vol. 92(C).
    24. Lu, Quanying & Li, Yuze & Chai, Jian & Wang, Shouyang, 2020. "Crude oil price analysis and forecasting: A perspective of “new triangle”," Energy Economics, Elsevier, vol. 87(C).
    25. Li, Jinchao & Zhu, Shaowen & Wu, Qianqian, 2019. "Monthly crude oil spot price forecasting using variational mode decomposition," Energy Economics, Elsevier, vol. 83(C), pages 240-253.
    26. Zhang, Yaojie & Ma, Feng & Wang, Yudong, 2019. "Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors?," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 97-117.
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    29. Stavroula P. Fameliti & Vasiliki D. Skintzi, 2020. "Predictive ability and economic gains from volatility forecast combinations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 200-219, March.
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    31. Wang, Yudong & Hao, Xianfeng, 2023. "Forecasting the real prices of crude oil: What is the role of parameter instability?," Energy Economics, Elsevier, vol. 117(C).
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    33. Peng, Lijuan & Liang, Chao & Yang, Baoying & Wang, Lu, 2024. "Crude oil volatility forecasting: Insights from a novel time-varying parameter GARCH-MIDAS model," International Review of Economics & Finance, Elsevier, vol. 94(C).
    34. Xing, Li-Min & Zhang, Yue-Jun, 2022. "Forecasting crude oil prices with shrinkage methods: Can nonconvex penalty and Huber loss help?," Energy Economics, Elsevier, vol. 110(C).
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    36. Gao, Shen & Hou, Chenghan & Nguyen, Bao H., 2021. "Forecasting natural gas prices using highly flexible time-varying parameter models," Economic Modelling, Elsevier, vol. 105(C).
    37. Li, Mingchen & Cheng, Zishu & Lin, Wencan & Wei, Yunjie & Wang, Shouyang, 2023. "What can be learned from the historical trend of crude oil prices? An ensemble approach for crude oil price forecasting," Energy Economics, Elsevier, vol. 123(C).
    38. Zhang, Yaojie & Wang, Yudong, 2023. "Forecasting crude oil futures market returns: A principal component analysis combination approach," International Journal of Forecasting, Elsevier, vol. 39(2), pages 659-673.
    39. Cheng, Xian & Wu, Peng & Liao, Stephen Shaoyi & Wang, Xuelian, 2023. "An integrated model for crude oil forecasting: Causality assessment and technical efficiency," Energy Economics, Elsevier, vol. 117(C).
    40. Xu, Yongan & Duong, Duy & Xu, Hualong, 2023. "Attention! Predicting crude oil prices from the perspective of extreme weather," Finance Research Letters, Elsevier, vol. 57(C).
    41. Dai, Zhifeng & Kang, Jie, 2021. "Bond yield and crude oil prices predictability," Energy Economics, Elsevier, vol. 97(C).
    42. Zhang, Yue-Jun & Li, Zhao-Chen, 2021. "Forecasting the stock returns of Chinese oil companies: Can investor attention help?," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 531-555.
    43. Zhang, Yaojie & He, Mengxi & Wen, Danyan & Wang, Yudong, 2023. "Forecasting crude oil price returns: Can nonlinearity help?," Energy, Elsevier, vol. 262(PB).
    44. Hao, Xianfeng & Zhao, Yuyang & Wang, Yudong, 2020. "Forecasting the real prices of crude oil using robust regression models with regularization constraints," Energy Economics, Elsevier, vol. 86(C).
    45. Wang, Qiang & Li, Shuyu & Li, Rongrong, 2018. "China's dependency on foreign oil will exceed 80% by 2030: Developing a novel NMGM-ARIMA to forecast China's foreign oil dependence from two dimensions," Energy, Elsevier, vol. 163(C), pages 151-167.
    46. Amar Rao & Marco Tedeschi & Kamel Si Mohammed & Umer Shahzad, 2024. "Role of Economic Policy Uncertainty in Energy Commodities Prices Forecasting: Evidence from a Hybrid Deep Learning Approach," Computational Economics, Springer;Society for Computational Economics, vol. 64(6), pages 3295-3315, December.
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    49. Rubaszek Michal & Karolak Zuzanna & Kwas Marek & Uddin Gazi Salah, 2020. "The role of the threshold effect for the dynamics of futures and spot prices of energy commodities," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(5), pages 1-20, December.
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    Cited by:

    1. Davide De Gaetano, 2018. "Forecast Combinations in the Presence of Structural Breaks: Evidence from U.S. Equity Markets," Mathematics, MDPI, vol. 6(3), pages 1-19, March.
    2. Mei, Dexiang & Zhao, Chenchen & Luo, Qin & Li, Yan, 2022. "Forecasting the Chinese low-carbon index volatility," Resources Policy, Elsevier, vol. 77(C).
    3. Zhu, Haibin & Bai, Lu & He, Lidan & Liu, Zhi, 2023. "Forecasting realized volatility with machine learning: Panel data perspective," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 251-271.
    4. Zhang, Yaojie & Lei, Likun & Wei, Yu, 2020. "Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    5. Chao Liang & Yi Zhang & Yaojie Zhang, 2022. "Forecasting the volatility of the German stock market: New evidence," Applied Economics, Taylor & Francis Journals, vol. 54(9), pages 1055-1070, February.
    6. Gong, Xu & Lin, Boqiang, 2018. "The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market," Energy Economics, Elsevier, vol. 74(C), pages 370-386.
    7. Qiao, Gaoxiu & Teng, Yuxin & Li, Weiping & Liu, Wenwen, 2019. "Improving volatility forecasting based on Chinese volatility index information: Evidence from CSI 300 index and futures markets," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 133-151.
    8. Izzeldin, Marwan & Muradoğlu, Yaz Gülnur & Pappas, Vasileios & Sivaprasad, Sheeja, 2021. "The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model," International Review of Financial Analysis, Elsevier, vol. 74(C).
    9. Ma, Feng & Wahab, M.I.M. & Zhang, Yaojie, 2019. "Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 54(C), pages 132-146.
    10. Konstantinos D. Melas & Photis M. Panayides & Dimitris A. Tsouknidis, 2022. "Dynamic volatility spillovers and investor sentiment components across freight-shipping markets," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 24(2), pages 368-394, June.
    11. Chen, Wang & Ma, Feng & Wei, Yu & Liu, Jing, 2020. "Forecasting oil price volatility using high-frequency data: New evidence," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 1-12.
    12. Liu, Tangyong & Gong, Xu, 2020. "Analyzing time-varying volatility spillovers between the crude oil markets using a new method," Energy Economics, Elsevier, vol. 87(C).

  80. Wang, Yudong & Ma, Feng & Wei, Yu & Wu, Chongfeng, 2016. "Forecasting realized volatility in a changing world: A dynamic model averaging approach," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 136-149.

    Cited by:

    1. Xiao, Jihong & Chen, Xian & Li, Yang & Wen, Fenghua, 2022. "Oil price uncertainty and stock price crash risk: Evidence from China," Energy Economics, Elsevier, vol. 112(C).
    2. Liu, Jing & Ma, Feng & Zhang, Yaojie, 2019. "Forecasting the Chinese stock volatility across global stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 466-477.
    3. Mei, Dexiang & Zeng, Qing & Zhang, Yaojie & Hou, Wenjing, 2018. "Does US Economic Policy Uncertainty matter for European stock markets volatility?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 215-221.
    4. Krzysztof Drachal, 2018. "Determining Time-Varying Drivers of Spot Oil Price in a Dynamic Model Averaging Framework," Energies, MDPI, vol. 11(5), pages 1-24, May.
    5. Wang, Jiqian & Lu, Xinjie & He, Feng & Ma, Feng, 2020. "Which popular predictor is more useful to forecast international stock markets during the coronavirus pandemic: VIX vs EPU?," International Review of Financial Analysis, Elsevier, vol. 72(C).
    6. Tzeng, Kae-Yih & Su, Yi-Kai, 2024. "Can U.S. macroeconomic indicators forecast cryptocurrency volatility?," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    7. Nima Nonejad, 2021. "An Overview Of Dynamic Model Averaging Techniques In Time‐Series Econometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 566-614, April.
    8. Lv, Wendai, 2018. "Does the OVX matter for volatility forecasting? Evidence from the crude oil market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 916-922.
    9. Piotr Dybka & Bartosz Olesiński & Marek Rozkrut & Andrzej Torój, 2023. "Measuring the model uncertainty of shadow economy estimates," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 30(4), pages 1069-1106, August.
    10. Yusui Tang & Feng Ma & Yaojie Zhang & Yu Wei, 2022. "Forecasting the oil price realized volatility: A multivariate heterogeneous autoregressive model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4770-4783, October.
    11. Julia S. Mehlitz & Benjamin R. Auer, 2021. "Time‐varying dynamics of expected shortfall in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 895-925, June.
    12. Liu, Jing & Ma, Feng & Yang, Ke & Zhang, Yaojie, 2018. "Forecasting the oil futures price volatility: Large jumps and small jumps," Energy Economics, Elsevier, vol. 72(C), pages 321-330.
    13. Riza Demirer & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2022. "Risk aversion and the predictability of crude oil market volatility: A forecasting experiment with random forests," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 73(8), pages 1755-1767, August.
    14. Mei, Dexiang & Zhao, Chenchen & Luo, Qin & Li, Yan, 2022. "Forecasting the Chinese low-carbon index volatility," Resources Policy, Elsevier, vol. 77(C).
    15. Mei, Dexiang & Ma, Feng & Liao, Yin & Wang, Lu, 2020. "Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models," Energy Economics, Elsevier, vol. 86(C).
    16. Ewald, Christian & Hadina, Jelena & Haugom, Erik & Lien, Gudbrand & Størdal, Ståle & Yahya, Muhammad, 2023. "Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures," Finance Research Letters, Elsevier, vol. 58(PA).
    17. Gaoxiu Qiao & Wanmei Cui & Yijie Zhou & Chao Liang, 2025. "Volatility of Volatility and VIX Forecasting: New Evidence Based on Jumps, the Short‐Term and Long‐Term Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(1), pages 23-46, January.
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    19. Ye, Wuyi & Guo, Ranran & Deschamps, Bruno & Jiang, Ying & Liu, Xiaoquan, 2021. "Macroeconomic forecasts and commodity futures volatility," Economic Modelling, Elsevier, vol. 94(C), pages 981-994.
    20. Liang, Chao & Ma, Feng & Li, Ziyang & Li, Yan, 2020. "Which types of commodity price information are more useful for predicting US stock market volatility?," Economic Modelling, Elsevier, vol. 93(C), pages 642-650.
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    25. Yaojie Zhang & Mengxi He & Danyan Wen & Yudong Wang, 2022. "Forecasting Bitcoin volatility: A new insight from the threshold regression model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 633-652, April.
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    27. Feng Ma & M. I. M. Wahab & Julien Chevallier & Ziyang Li, 2023. "A tug of war of forecasting the US stock market volatility: Oil futures overnight versus intraday information," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(1), pages 60-75, January.
    28. Fei, Tianlun & Liu, Xiaoquan, 2021. "Herding and market volatility," International Review of Financial Analysis, Elsevier, vol. 78(C).
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    30. Qiu, Yue & Wang, Zongrun & Xie, Tian & Zhang, Xinyu, 2021. "Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 179-201.
    31. Zhang, Yaojie & Ma, Feng & Liao, Yin, 2020. "Forecasting global equity market volatilities," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1454-1475.
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    33. Wen, Fenghua & Chen, Meng & Zhang, Yun & Miao, Xiao, 2023. "Oil price uncertainty and audit fees: Evidence from the energy industry," Energy Economics, Elsevier, vol. 125(C).
    34. Liang, Chao & Luo, Qin & Li, Yan & Huynh, Luu Duc Toan, 2023. "Global financial stress index and long-term volatility forecast for international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    35. Zhang, Yaojie & Lei, Likun & Wei, Yu, 2020. "Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    36. Zongwu Cai & Chaoqun Ma & Xianhua Mi, 2020. "Realized Volatility Forecasting Based on Dynamic Quantile Model Averaging," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202016, University of Kansas, Department of Economics, revised Sep 2020.
    37. Hardik A. Marfatia & Christophe André & Rangan Gupta, 2022. "Predicting Housing Market Sentiment: The Role of Financial, Macroeconomic and Real Estate Uncertainties," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 23(2), pages 189-209, May.
    38. Wang, Yuejing & Ye, Wuyi & Jiang, Ying & Liu, Xiaoquan, 2024. "Volatility prediction for the energy sector with economic determinants: Evidence from a hybrid model," International Review of Financial Analysis, Elsevier, vol. 92(C).
    39. Liang, Chao & Tang, Linchun & Li, Yan & Wei, Yu, 2020. "Which sentiment index is more informative to forecast stock market volatility? Evidence from China," International Review of Financial Analysis, Elsevier, vol. 71(C).
    40. Gong, Xue & Zhang, Weiguo & Wang, Junbo & Wang, Chao, 2022. "Investor sentiment and stock volatility: New evidence," International Review of Financial Analysis, Elsevier, vol. 80(C).
    41. Drachal, Krzysztof, 2021. "Forecasting crude oil real prices with averaging time-varying VAR models," Resources Policy, Elsevier, vol. 74(C).
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    43. Fei, Tianlun & Liu, Xiaoquan & Wen, Conghua, 2019. "Cross-sectional return dispersion and volatility prediction," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
    44. Mengxi He & Xianfeng Hao & Yaojie Zhang & Fanyi Meng, 2021. "Forecasting stock return volatility using a robust regression model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1463-1478, December.
    45. Jian Liu & Ziting Zhang & Lizhao Yan & Fenghua Wen, 2021. "Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-19, December.
    46. Li, Zhao-Chen & Xie, Chi & Wang, Gang-Jin & Zhu, You & Zeng, Zhi-Jian & Gong, Jue, 2024. "Forecasting global stock market volatilities: A shrinkage heterogeneous autoregressive (HAR) model with a large cross-market predictor set," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 673-711.
    47. Chao Liang & Yan Li & Feng Ma & Yaojie Zhang, 2022. "Forecasting international equity market volatility: A new approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(7), pages 1433-1457, November.
    48. Seyi Saint Akadiri & Andrew Adewale Alola & Ahdi Noomen Ajmi, 2022. "Trilemma of pandemic-related health emergency, economic policy uncertainty and partisan conflict in the United States: A time-varying analysis evidence," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(4), pages 771-784, October.
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    155. Aswini Kumar Mishra & Anand Theertha Nakhate & Yash Bagra & Abinash Singh & Bibhu Prasad Kar, 2024. "The Impact of Directional Global Economic Policy Uncertainty on Indian Stock Market Volatility: New Evidence," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(3), pages 423-452, September.
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    1. Benkraiem, Ramzi & Lahiani, Amine & Miloudi, Anthony & Shahbaz, Muhammad, 2018. "New insights into the US stock market reactions to energy price shocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 169-187.
    2. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2019. "Time-varying energy and stock market integration in Asia," Energy Economics, Elsevier, vol. 80(C), pages 777-792.
    3. Nguyen, Hoang & Virbickaitė, Audronė, 2023. "Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models," Energy Economics, Elsevier, vol. 124(C).
    4. Jin Guo & Tetsuji Tanaka, 2022. "Potential factors in determining cross-border price spillovers in the pork sector: Evidence from net pork-importing countries," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-14, December.
    5. Zhuo Chen & Bo Yan & Hanwen Kang, 2022. "Dynamic correlation between crude oil and agricultural futures markets," Review of Development Economics, Wiley Blackwell, vol. 26(3), pages 1798-1849, August.
    6. Maitra, Debasish & Chandra, Saurabh & Dash, Saumya Ranjan, 2020. "Liner shipping industry and oil price volatility: Dynamic connectedness and portfolio diversification," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 138(C).
    7. Wen, Danyan & Wang, Gang-Jin & Ma, Chaoqun & Wang, Yudong, 2019. "Risk spillovers between oil and stock markets: A VAR for VaR analysis," Energy Economics, Elsevier, vol. 80(C), pages 524-535.
    8. Lin, Ling & Zhou, Zhongbao & Jiang, Yong & Ou, Yangchen, 2021. "Risk spillovers and hedge strategies between global crude oil markets and stock markets: Do regime switching processes combining long memory and asymmetry matter?," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    9. Tetsuji Tanaka & Jin Guo, 2020. "International price volatility transmission and structural change: a market connectivity analysis in the beef sector," Palgrave Communications, Palgrave Macmillan, vol. 7(1), pages 1-13, December.
    10. Lv, Fei & Yang, Chen & Fang, Libing, 2020. "Do the crude oil futures of the Shanghai International Energy Exchange improve asset allocation of Chinese petrochemical-related stocks?," International Review of Financial Analysis, Elsevier, vol. 71(C).
    11. Suresh Kumar & Ankit Kumar & Gurcharan Singh, 2023. "Causal relationship among international crude oil, gold, exchange rate, and stock market: Fresh evidence from NARDL testing approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 47-57, January.
    12. Mobeen Ur Rehman, 2020. "Dynamic correlation pattern amongst alternative energy market for diversification opportunities," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 9(1), pages 1-24, December.
    13. Zhang, Yue-Jun & Wang, Jin-Li, 2019. "Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models," Energy Economics, Elsevier, vol. 78(C), pages 192-201.
    14. Naeem, Muhammad Abubakr & Balli, Faruk & Shahzad, Syed Jawad Hussain & de Bruin, Anne, 2020. "Energy commodity uncertainties and the systematic risk of US industries," Energy Economics, Elsevier, vol. 85(C).
    15. Zhang, Dongna & Dai, Xingyu & Wang, Qunwei & Lau, Chi Keung Marco, 2023. "Impacts of weather conditions on the US commodity markets systemic interdependence across multi-timescales," Energy Economics, Elsevier, vol. 123(C).
    16. Maitra, Debasish & Rehman, Mobeen Ur & Dash, Saumya Ranjan & Kang, Sang Hoon, 2021. "Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications," Energy Economics, Elsevier, vol. 102(C).
    17. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2017. "Can stock market investors hedge energy risk? Evidence from Asia," Energy Economics, Elsevier, vol. 66(C), pages 559-570.
    18. Vesarach Aumeboonsuke, 2021. "Commodity Prices and the Stock Market in Thailand," International Journal of Energy Economics and Policy, Econjournals, vol. 11(1), pages 34-40.
    19. Mensi, Walid & Hammoudeh, Shawkat & Al-Jarrah, Idries Mohammad Wanas & Sensoy, Ahmet & Kang, Sang Hoon, 2017. "Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications," Energy Economics, Elsevier, vol. 67(C), pages 454-475.
    20. Karanasos, M. & Yfanti, S., 2021. "On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    21. Yfanti, Stavroula & Karanasos, Menelaos & Zopounidis, Constantin & Christopoulos, Apostolos, 2023. "Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics," European Journal of Operational Research, Elsevier, vol. 304(2), pages 813-831.
    22. Qunwei Wang & Xingyu Dai & Dequn Zhou, 2020. "Dynamic Correlation and Risk Contagion Between “Black” Futures in China: A Multi-scale Variational Mode Decomposition Approach," Computational Economics, Springer;Society for Computational Economics, vol. 55(4), pages 1117-1150, April.
    23. Cui, Yan & Feng, Yun, 2020. "Composite hedge and utility maximization for optimal futures hedging," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 15-32.
    24. Kang, Sang Hoon & McIver, Ron & Yoon, Seong-Min, 2017. "Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets," Energy Economics, Elsevier, vol. 62(C), pages 19-32.

  82. Wang, Yudong & Liu, Li & Ma, Feng & Wu, Chongfeng, 2016. "What the investors need to know about forecasting oil futures return volatility," Energy Economics, Elsevier, vol. 57(C), pages 128-139.

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    2. Lyu, Yongjian & Wei, Yu & Hu, Yingyi & Yang, Mo, 2021. "Good volatility, bad volatility and economic uncertainty: Evidence from the crude oil futures market," Energy, Elsevier, vol. 222(C).
    3. Mzoughi, Hela & Urom, Christian & Guesmi, Khaled, 2022. "Downside and upside risk spillovers between green finance and energy markets," Finance Research Letters, Elsevier, vol. 47(PA).
    4. V., Ernesto Guerra & H., Eugenio Bobenrieth & H., Juan Bobenrieth & Wright, Brian D., 2023. "Endogenous thresholds in energy prices: Modeling and empirical estimation," Energy Economics, Elsevier, vol. 121(C).
    5. Chen, Hongtao & Liu, Li & Li, Xiaolei, 2018. "The predictive content of CBOE crude oil volatility index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 837-850.
    6. Chen, Rongda & Bao, Weiwei & Jin, Chenglu, 2021. "Investor sentiment and predictability for volatility on energy futures Markets: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 112-129.
    7. Bradley T. Ewing & Farooq Malik & Hassan Anjum, 2019. "Forecasting value‐at‐risk in oil prices in the presence of volatility shifts," Review of Financial Economics, John Wiley & Sons, vol. 37(3), pages 341-350, July.
    8. Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    9. Taylor, Nick, 2017. "Timing strategy performance in the crude oil futures market," Energy Economics, Elsevier, vol. 66(C), pages 480-492.
    10. Gong, Xu & Lin, Boqiang, 2018. "The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market," Energy Economics, Elsevier, vol. 74(C), pages 370-386.
    11. Haykel Tlili & Kais Tissaoui & Bassem Kahouli & Rabab Triki, 2024. "How volatility in the oil market and uncertainty shocks affect Saudi economy: a frequency approach," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-24, December.
    12. Dudley Gilder & Leonidas Tsiaras, 2020. "Volatility forecasts embedded in the prices of crude‐oil options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1127-1159, July.
    13. Demirer, Riza & Gupta, Rangan & Pierdzioch, Christian & Shahzad, Syed Jawad Hussain, 2020. "The predictive power of oil price shocks on realized volatility of oil: A note," Resources Policy, Elsevier, vol. 69(C).
    14. Cui, Yan & Feng, Yun, 2020. "Composite hedge and utility maximization for optimal futures hedging," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 15-32.
    15. Antonio Díaz & Gonzalo García-Donato & Andrés Mora-Valencia, 2019. "Quantifying Risk in Traditional Energy and Sustainable Investments," Sustainability, MDPI, vol. 11(3), pages 1-22, January.

  83. Yang, Liansheng & Zhu, Yingming & Wang, Yudong, 2016. "Multifractal characterization of energy stocks in China: A multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 357-365.

    Cited by:

    1. Lahmiri, Salim, 2017. "Multifractal analysis of Moroccan family business stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 183-191.
    2. Zhang, Shuchang & Guo, Yaoqi & Cheng, Hui & Zhang, Hongwei, 2021. "Cross-correlations between price and volume in China's crude oil futures market: A study based on multifractal approaches," Chaos, Solitons & Fractals, Elsevier, vol. 144(C).
    3. Sierra-Porta, D., 2024. "A multifractal approach to understanding Forbush Decrease events: Correlations with geomagnetic storms and space weather phenomena," Chaos, Solitons & Fractals, Elsevier, vol. 185(C).
    4. Fernandes, Leonardo H.S. & de Araújo, Fernando H.A. & Silva, Igor E.M., 2020. "The (in)efficiency of NYMEX energy futures: A multifractal analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 556(C).
    5. Tong, Zhongwen & Chen, Zhanbo & Zhu, Chen, 2022. "Nonlinear dynamics analysis of cryptocurrency price fluctuations based on Bitcoin," Finance Research Letters, Elsevier, vol. 47(PB).
    6. Lahmiri, Salim, 2017. "A study on chaos in crude oil markets before and after 2008 international financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 389-395.
    7. Guan, Sihai & Wan, Dongyu & Yang, Yanmiao & Biswal, Bharat, 2022. "Sources of multifractality of the brain rs-fMRI signal," Chaos, Solitons & Fractals, Elsevier, vol. 160(C).
    8. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Mensi, Walid & Kumar, Ronald Ravinesh, 2017. "Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 351-363.
    9. Tim Leung & Theodore Zhao, 2021. "Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics," JRFM, MDPI, vol. 14(10), pages 1-22, October.
    10. Xi, Zenglei & Yu, Jinxiu & Sun, Qingru & Zhao, Wenqi & Wang, He & Zhang, Shuo, 2023. "Measuring the multi-scale price transmission effects from crude oil to energy stocks: A cascaded view," International Review of Financial Analysis, Elsevier, vol. 90(C).
    11. Bouoiyour, Jamal & Selmi, Refk & Wohar, Mark E., 2018. "Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis," Finance Research Letters, Elsevier, vol. 26(C), pages 100-105.
    12. Han, Chenyu & Wang, Yiming & Ning, Ye, 2019. "Comparative analysis of the multifractality and efficiency of exchange markets: Evidence from exchange rates dynamics of major world currencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
    13. Lu, Xinsheng & Li, Jianfeng & Zhou, Ying & Qian, Yubo, 2017. "Cross-correlations between RMB exchange rate and international commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 168-182.
    14. Fonseca, Carla L.G. & de Resende, Charlene C. & Fernandes, Danilo H.C. & Cardoso, Rodrigo T.N. & de Magalhães, A.R. Bosco, 2021. "Is the choice of the candlestick dimension relevant in econophysics?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
    15. Zhang, Guofu & Li, Jingjing, 2018. "Multifractal analysis of Shanghai and Hong Kong stock markets before and after the connect program," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 611-622.
    16. Guo, Yaoqi & Shi, Fengyuan & Yu, Zhuling & Yao, Shanshan & Zhang, Hongwei, 2022. "Asymmetric multifractality in China’s energy market based on improved asymmetric multifractal cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 594(C).
    17. Akash P. POOJARI & Siva Kiran GUPTHA & G Raghavender RAJU, 2022. "Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(632), A), pages 61-80, Autumn.
    18. Ali, Sajid & Shahzad, Syed Jawad Hussain & Raza, Naveed & Al-Yahyaee, Khamis Hamed, 2018. "Stock market efficiency: A comparative analysis of Islamic and conventional stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 139-153.
    19. Lahmiri, Salim, 2017. "On fractality and chaos in Moroccan family business stock returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 29-39.
    20. Yan, Ruzhen & Yue, Ding & Chen, Xudong & Wu, Xu, 2020. "Non-linear characterization and trend identification of liquidity in China's new OTC stock market based on multifractal detrended fluctuation analysis," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
    21. Gu, Danlei & Huang, Jingjing, 2019. "Multifractal detrended fluctuation analysis on high-frequency SZSE in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 225-235.
    22. Aloui, Chaker & Shahzad, Syed Jawad Hussain & Jammazi, Rania, 2018. "Dynamic efficiency of European credit sectors: A rolling-window multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 337-349.
    23. Saâdaoui, Foued, 2018. "Testing for multifractality of Islamic stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 496(C), pages 263-273.

  84. Yudong Wang & Li Liu, 2016. "Crude oil and world stock markets: volatility spillovers, dynamic correlations, and hedging," Empirical Economics, Springer, vol. 50(4), pages 1481-1509, June.

    Cited by:

    1. Benkraiem, Ramzi & Lahiani, Amine & Miloudi, Anthony & Shahbaz, Muhammad, 2018. "New insights into the US stock market reactions to energy price shocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 169-187.
    2. Muhammad Kashif & Thomas Leirvik, 2022. "The MAX Effect in an Oil Exporting Country: The Case of Norway," JRFM, MDPI, vol. 15(4), pages 1-16, March.
    3. Naqvi, Bushra & Mirza, Nawazish & Umar, Muhammad & Rizvi, Syed Kumail Abbas, 2023. "Shanghai crude oil futures: Returns Independence, volatility asymmetry, and hedging potential," Energy Economics, Elsevier, vol. 128(C).
    4. Dejan Živkov & Slavica Manić & Jelena Kovačević & Željana Trbović, 2022. "Assessing volatility transmission between Brent and stocks in the major global oil producers and consumers – the multiscale robust quantile regression," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 21(1), pages 67-93, January.
    5. Onour , Ibrahim A., 2021. "Modeling and assessing systematic risk in stock markets in major oil exporting countries," Economic Consultant, Scientific and Educational Initiative LLC, vol. 35(3), pages 18-29.
    6. Wang, Xin & Sun, Mei, 2021. "A novel prediction model of multi-layer symbolic pattern network: Based on causation entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 575(C).
    7. Bouri, Elie & Lei, Xiaojie & Jalkh, Naji & Xu, Yahua & Zhang, Hongwei, 2021. "Spillovers in higher moments and jumps across US stock and strategic commodity markets," Resources Policy, Elsevier, vol. 72(C).
    8. Shusheng Ding & Tianxiang Cui & Yongmin Zhang & Jiawei Li, 2021. "Liquidity effects on oil volatility forecasting: From fintech perspective," PLOS ONE, Public Library of Science, vol. 16(11), pages 1-21, November.
    9. Selmi, Refk & Bouoiyour, Jamal & Miftah, Amal & Wohar, Mark E., 2021. "Managing exposure to volatile oil prices: Evidence from U.S. sectoral and industry-level data," Resources Policy, Elsevier, vol. 73(C).
    10. O-Chia Chuang & Chenxu Yang, 2022. "Identifying the Determinants of Crude Oil Market Volatility by the Multivariate GARCH-MIDAS Model," Energies, MDPI, vol. 15(8), pages 1-14, April.
    11. Sarwar, Suleman & Shahbaz, Muhammad & Anwar, Awais & Tiwari, Aviral Kumar, 2019. "The importance of oil assets for portfolio optimization: The analysis of firm level stocks," Energy Economics, Elsevier, vol. 78(C), pages 217-234.
    12. Yadav, Miklesh Prasad & Sharif, Taimur & Ashok, Shruti & Dhingra, Deepika & Abedin, Mohammad Zoynul, 2023. "Investigating volatility spillover of energy commodities in the context of the Chinese and European stock markets," Research in International Business and Finance, Elsevier, vol. 65(C).
    13. Gu, Huaying & Liu, Zhixue & Weng, Yingliang, 2017. "Time-varying correlations in global real estate markets: A multivariate GARCH with spatial effects approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 460-472.
    14. Antonakakis, Nikolaos & Cunado, Juncal & Filis, George & Gabauer, David & de Gracia, Fernando Perez, 2020. "Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness," Energy Economics, Elsevier, vol. 91(C).
    15. Kuang, Wei, 2023. "The equity-oil hedge: A comparison between volatility and alternative risk frameworks," Energy, Elsevier, vol. 271(C).
    16. Wen, Danyan & Wang, Gang-Jin & Ma, Chaoqun & Wang, Yudong, 2019. "Risk spillovers between oil and stock markets: A VAR for VaR analysis," Energy Economics, Elsevier, vol. 80(C), pages 524-535.
    17. Alqahtani, Abdullah & Selmi, Refk & Hongbing, Ouyang, 2021. "The financial impacts of jump processes in the crude oil price: Evidence from G20 countries in the pre- and post-COVID-19," Resources Policy, Elsevier, vol. 72(C).
    18. Lin, Ling & Zhou, Zhongbao & Jiang, Yong & Ou, Yangchen, 2021. "Risk spillovers and hedge strategies between global crude oil markets and stock markets: Do regime switching processes combining long memory and asymmetry matter?," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    19. Priya, Pragati & Pal, Debdatta, 2024. "Does crude oil price volatility respond asymmetrically to financial shocks?," Resources Policy, Elsevier, vol. 92(C).
    20. Tiwari, Aviral Kumar & Trabelsi, Nader & Alqahtani, Faisal & Raheem, Ibrahim D., 2020. "Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value-at-risk and marginal expected shortfall approaches," Energy Economics, Elsevier, vol. 86(C).
    21. Chao Liang & Yi Zhang & Yaojie Zhang, 2022. "Forecasting the volatility of the German stock market: New evidence," Applied Economics, Taylor & Francis Journals, vol. 54(9), pages 1055-1070, February.
    22. Lei, Lei & Aziz, Ghazala & Sarwar, Suleman & Waheed, Rida & Tiwari, Aviral Kumar, 2023. "Spillover and portfolio analysis for oil and stock market: A new insight across financial crisis, COVID-19 and Russian-Ukraine war," Resources Policy, Elsevier, vol. 85(PA).
    23. Zhang, Yan & Xu, Yushi & Zhu, Xintong & Huang, Jionghao, 2024. "Coal price shock propagation through sectoral financial interconnectedness in China's stock market: Quantile coherency network modelling and shock decomposition analysis," Journal of Commodity Markets, Elsevier, vol. 34(C).
    24. Smales, L.A., 2021. "Geopolitical risk and volatility spillovers in oil and stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 358-366.
    25. Trucíos, Carlos & Hotta, Luiz K. & Valls Pereira, Pedro L., 2019. "On the robustness of the principal volatility components," Journal of Empirical Finance, Elsevier, vol. 52(C), pages 201-219.
    26. Zhang, Yue-Jun & Wang, Jin-Li, 2019. "Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models," Energy Economics, Elsevier, vol. 78(C), pages 192-201.
    27. LI, Jie & HUANG, Lixin & LI, Ping, 2021. "Are Chinese crude oil futures good hedging tools?," Finance Research Letters, Elsevier, vol. 38(C).
    28. Rabeh Khalfaoui & Suleman Sarwar & Aviral Kumar Tiwari, 2019. "Analysing volatility spillover between the oil market and the stock market in oil-importing and oil-exporting countries: Implications on portfolio management," Post-Print hal-03797589, HAL.
    29. Zhang, Yue-Jun & Ma, Shu-Jiao, 2019. "How to effectively estimate the time-varying risk spillover between crude oil and stock markets? Evidence from the expectile perspective," Energy Economics, Elsevier, vol. 84(C).
    30. Huang, Jionghao & Li, Ziruo & Xia, Xiaohua, 2021. "Network diffusion of international oil volatility risk in China's stock market: Quantile interconnectedness modelling and shock decomposition analysis," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1-39.
    31. Ibhagui, Oyakhilome, 2021. "Stock market and deviations from covered interest parity," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    32. Qing Peng & Fenghua Wen & Xu Gong, 2021. "Time‐dependent intrinsic correlation analysis of crude oil and the US dollar based on CEEMDAN," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 834-848, January.
    33. Tarek Bouazizi & Zouhaier Hadhek & Fatma Mrad & Mosbah Lafi, 2021. "Changes in Demand for Crude Oil and its Correlation with Crude Oil and Stock Market Returns Volatilities: Evidence from Three Asian Oil Importing Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 11(3), pages 27-43.

  85. Wang, Yudong & Wu, Chongfeng & Yang, Li, 2016. "Forecasting crude oil market volatility: A Markov switching multifractal volatility approach," International Journal of Forecasting, Elsevier, vol. 32(1), pages 1-9.

    Cited by:

    1. Lux, Thomas & Segnon, Mawuli & Gupta, Rangan, 2016. "Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data," Energy Economics, Elsevier, vol. 56(C), pages 117-133.
    2. Zhao, Yang & Li, Jianping & Yu, Lean, 2017. "A deep learning ensemble approach for crude oil price forecasting," Energy Economics, Elsevier, vol. 66(C), pages 9-16.
    3. Wang, Yudong & Hao, Xianfeng, 2022. "Forecasting the real prices of crude oil: A robust weighted least squares approach," Energy Economics, Elsevier, vol. 116(C).
    4. Li, Jingjing & Tang, Ling & Wang, Shouyang, 2020. "Forecasting crude oil price with multilingual search engine data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
    5. Zavadska, Miroslava & Morales, Lucía & Coughlan, Joseph, 2020. "Brent crude oil prices volatility during major crises," Finance Research Letters, Elsevier, vol. 32(C).
    6. Xin-Lan Fu & Xing-Lu Gao & Zheng Shan & Zhi-Qiang Jiang & Wei-Xing Zhou, 2018. "Multifractal characteristics and return predictability in the Chinese stock markets," Papers 1806.07604, arXiv.org.
    7. Fernandes, Leonardo H.S. & de Araújo, Fernando H.A. & Silva, Igor E.M., 2020. "The (in)efficiency of NYMEX energy futures: A multifractal analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 556(C).
    8. Hyeon-Seok Kim & Hui-Sang Kim & Sun-Yong Choi, 2024. "Investigating the Impact of Agricultural, Financial, Economic, and Political Factors on Oil Forward Prices and Volatility: A SHAP Analysis," Energies, MDPI, vol. 17(5), pages 1-24, February.
    9. Liu, Yue & Sun, Huaping & Zhang, Jijian & Taghizadeh-Hesary, Farhad, 2020. "Detection of volatility regime-switching for crude oil price modeling and forecasting," Resources Policy, Elsevier, vol. 69(C).
    10. Chao Liang & Yaojie Zhang & Xiafei Li & Feng Ma, 2022. "Which predictor is more predictive for Bitcoin volatility? And why?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1947-1961, April.
    11. Wang, Lu & Ma, Feng & Liu, Jing & Yang, Lin, 2020. "Forecasting stock price volatility: New evidence from the GARCH-MIDAS model," International Journal of Forecasting, Elsevier, vol. 36(2), pages 684-694.
    12. Xu Gong & Boqiang Lin, 2018. "Structural breaks and volatility forecasting in the copper futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(3), pages 290-339, March.
    13. He, Huizi & Sun, Mei & Li, Xiuming & Mensah, Isaac Adjei, 2022. "A novel crude oil price trend prediction method: Machine learning classification algorithm based on multi-modal data features," Energy, Elsevier, vol. 244(PA).
    14. Hasanov, Akram Shavkatovich & Shaiban, Mohammed Sharaf & Al-Freedi, Ajab, 2020. "Forecasting volatility in the petroleum futures markets: A re-examination and extension," Energy Economics, Elsevier, vol. 86(C).
    15. Chen, Zhonglu & Ye, Yong & Li, Xiafei, 2022. "Forecasting China's crude oil futures volatility: New evidence from the MIDAS-RV model and COVID-19 pandemic," Resources Policy, Elsevier, vol. 75(C).
    16. Tarek Bouazizi & Mongi Lassoued & Zouhaier Hadhek, 2021. "Oil Price Volatility Models during Coronavirus Crisis: Testing with Appropriate Models Using Further Univariate GARCH and Monte Carlo Simulation Models," International Journal of Energy Economics and Policy, Econjournals, vol. 11(1), pages 281-292.
    17. Wang, Jiqian & He, Xiaofeng & Ma, Feng & Li, Pan, 2022. "Uncertainty and oil volatility: Evidence from shrinkage method," Resources Policy, Elsevier, vol. 75(C).
    18. Ayben Koy, 2022. "Regime Switching Mechanism during Energy Futures Price Bubbles," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 373-382.
    19. Charles, Amélie & Darné, Olivier, 2017. "Forecasting crude-oil market volatility: Further evidence with jumps," Energy Economics, Elsevier, vol. 67(C), pages 508-519.
    20. da Silva Filho, Antônio Carlos & Maganini, Natália Diniz & de Almeida, Eduardo Fonseca, 2018. "Multifractal analysis of Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 954-967.
    21. Mawuli Segnon & Chi Keung Lau & Bernd Wilfling & Rangan Gupta, 2017. "Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data," CQE Working Papers 6117, Center for Quantitative Economics (CQE), University of Muenster.
    22. Catalin Popescu & Sorin Alexandru Gheorghiu, 2021. "Economic Analysis and Generic Algorithm for Optimizing the Investments Decision-Making Process in Oil Field Development," Energies, MDPI, vol. 14(19), pages 1-24, September.
    23. Salami, Monsurat Ayojimi & Tanrıvermiş, Harun & Tanrıvermiş, Yesim, 2024. "Influence of Ukraine invasion by Russia on Turkish markets," The Journal of Economic Asymmetries, Elsevier, vol. 29(C).
    24. Lu, Quanying & Li, Yuze & Chai, Jian & Wang, Shouyang, 2020. "Crude oil price analysis and forecasting: A perspective of “new triangle”," Energy Economics, Elsevier, vol. 87(C).
    25. Miroslava Zavadska & Lucía Morales & Joseph Coughlan, 2018. "The Lead–Lag Relationship between Oil Futures and Spot Prices—A Literature Review," IJFS, MDPI, vol. 6(4), pages 1-22, October.
    26. Mawuli Segnon & Stelios Bekiros & Bernd Wilfling, 2018. "Forecasting Inflation Uncertainty in the G7 Countries," Econometrics, MDPI, vol. 6(2), pages 1-25, April.
    27. Huang, Yumeng & Dai, Xingyu & Wang, Qunwei & Zhou, Dequn, 2021. "A hybrid model for carbon price forecastingusing GARCH and long short-term memory network," Applied Energy, Elsevier, vol. 285(C).
    28. Yan, Zichun & Tian, Fangzhu & Sun, Yuying & Wang, Shouyang, 2024. "A time-frequency-based interval decomposition ensemble method for forecasting gasoil prices under the trend of low-carbon development," Energy Economics, Elsevier, vol. 134(C).
    29. Stavroula P. Fameliti & Vasiliki D. Skintzi, 2020. "Predictive ability and economic gains from volatility forecast combinations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 200-219, March.
    30. Haowen Bao & Yongmiao Hong & Yuying Sun & Shouyang Wang, 2024. "Sparse Interval-valued Time Series Modeling with Machine Learning," Papers 2411.09452, arXiv.org.
    31. Xu Gong & Boqiang Lin, 2022. "Predicting the volatility of crude oil futures: The roles of leverage effects and structural changes," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 610-640, January.
    32. Pablo Cansado-Bravo & Carlos Rodríguez-Monroy, 2018. "Persistence of Oil Prices in Gas Import Prices and the Resilience of the Oil-Indexation Mechanism. The Case of Spanish Gas Import Prices," Energies, MDPI, vol. 11(12), pages 1-17, December.
    33. Zhaojie Luo & Xiaojing Cai & Katsuyuki Tanaka & Tetsuya Takiguchi & Takuji Kinkyo & Shigeyuki Hamori, 2019. "Can We Forecast Daily Oil Futures Prices? Experimental Evidence from Convolutional Neural Networks," JRFM, MDPI, vol. 12(1), pages 1-13, January.
    34. Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    35. Wang, Lu & Ma, Feng & Hao, Jianyang & Gao, Xinxin, 2021. "Forecasting crude oil volatility with geopolitical risk: Do time-varying switching probabilities play a role?," International Review of Financial Analysis, Elsevier, vol. 76(C).
    36. Martina Assereto & Julie Byrne, 2020. "The Implications of Policy Uncertainty on Solar Photovoltaic Investment," Energies, MDPI, vol. 13(23), pages 1-20, November.
    37. Fan, Liwei & Pan, Sijia & Li, Zimin & Li, Huiping, 2016. "An ICA-based support vector regression scheme for forecasting crude oil prices," Technological Forecasting and Social Change, Elsevier, vol. 112(C), pages 245-253.
    38. Chai, Jian & Lu, Quanying & Hu, Yi & Wang, Shouyang & Lai, Kin Keung & Liu, Hongtao, 2018. "Analysis and Bayes statistical probability inference of crude oil price change point," Technological Forecasting and Social Change, Elsevier, vol. 126(C), pages 271-283.
    39. Zhang, Yue-Jun & Yao, Ting & He, Ling-Yun & Ripple, Ronald, 2019. "Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 302-317.
    40. Luo, Jiawen & Ji, Qiang & Klein, Tony & Todorova, Neda & Zhang, Dayong, 2020. "On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks," Energy Economics, Elsevier, vol. 89(C).
    41. Demirer, Riza & Gupta, Rangan & Pierdzioch, Christian & Shahzad, Syed Jawad Hussain, 2020. "The predictive power of oil price shocks on realized volatility of oil: A note," Resources Policy, Elsevier, vol. 69(C).
    42. Guo, Jingjun & Zhao, Zhengling & Sun, Jingyun & Sun, Shaolong, 2022. "Multi-perspective crude oil price forecasting with a new decomposition-ensemble framework," Resources Policy, Elsevier, vol. 77(C).
    43. Cheng, Fangzheng & Fan, Tijun & Fan, Dandan & Li, Shanling, 2018. "The prediction of oil price turning points with log-periodic power law and multi-population genetic algorithm," Energy Economics, Elsevier, vol. 72(C), pages 341-355.
    44. Wang, Jue & Zhou, Hao & Hong, Tao & Li, Xiang & Wang, Shouyang, 2020. "A multi-granularity heterogeneous combination approach to crude oil price forecasting," Energy Economics, Elsevier, vol. 91(C).
    45. Zhang, Yaojie & He, Mengxi & Wang, Yudong & Liang, Chao, 2023. "Global economic policy uncertainty aligned: An informative predictor for crude oil market volatility," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1318-1332.
    46. Chai, Jian & Xing, Li-Min & Zhou, Xiao-Yang & Zhang, Zhe George & Li, Jie-Xun, 2018. "Forecasting the WTI crude oil price by a hybrid-refined method," Energy Economics, Elsevier, vol. 71(C), pages 114-127.
    47. Sabet, Amir H. & Heaney, Richard, 2016. "An event study analysis of oil and gas firm acreage and reserve acquisitions," Energy Economics, Elsevier, vol. 57(C), pages 215-227.
    48. Markus Vogl, 2022. "Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019)," SN Business & Economics, Springer, vol. 2(12), pages 1-69, December.
    49. Lyócsa, Štefan & Todorova, Neda, 2021. "What drives volatility of the U.S. oil and gas firms?," Energy Economics, Elsevier, vol. 100(C).
    50. Lu, Xinjie & Ma, Feng & Wang, Tianyang & Wen, Fenghua, 2023. "International stock market volatility: A data-rich environment based on oil shocks," Journal of Economic Behavior & Organization, Elsevier, vol. 214(C), pages 184-215.
    51. Yi, Yongsheng & He, Mengxi & Zhang, Yaojie, 2022. "Out-of-sample prediction of Bitcoin realized volatility: Do other cryptocurrencies help?," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    52. Pan, Zhiyuan & Wang, Yudong & Wu, Chongfeng & Yin, Libo, 2017. "Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 130-142.
    53. Hong, Yanran & Wang, Lu & Liang, Chao & Umar, Muhammad, 2022. "Impact of financial instability on international crude oil volatility: New sight from a regime-switching framework," Resources Policy, Elsevier, vol. 77(C).
    54. Xu Gong & Boqiang Lin, 2021. "Effects of structural changes on the prediction of downside volatility in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1124-1153, July.
    55. Cristina Sattarhoff & Marc Gronwald, 2018. "How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market," CESifo Working Paper Series 7102, CESifo.
    56. Zhang, Yue-Jun & Ma, Shu-Jiao, 2019. "How to effectively estimate the time-varying risk spillover between crude oil and stock markets? Evidence from the expectile perspective," Energy Economics, Elsevier, vol. 84(C).
    57. Libo Yin, 2022. "The role of intermediary capital risk in predicting oil volatility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 401-416, January.
    58. Jiang, He & Hu, Weiqiang & Xiao, Ling & Dong, Yao, 2022. "A decomposition ensemble based deep learning approach for crude oil price forecasting," Resources Policy, Elsevier, vol. 78(C).
    59. Liang, Chao & Li, Yan & Ma, Feng & Wei, Yu, 2021. "Global equity market volatilities forecasting: A comparison of leverage effects, jumps, and overnight information," International Review of Financial Analysis, Elsevier, vol. 75(C).
    60. Dondukova Oyuna & Liu Yaobin, 2021. "Forecasting the Crude Oil Prices Volatility With Stochastic Volatility Models," SAGE Open, , vol. 11(3), pages 21582440211, July.
    61. Xinjie Lu & Feng Ma & Jiqian Wang & Jing Liu, 2022. "Forecasting oil futures realized range‐based volatility with jumps, leverage effect, and regime switching: New evidence from MIDAS models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 853-868, July.
    62. Li, Xiafei & Liang, Chao & Chen, Zhonglu & Umar, Muhammad, 2022. "Forecasting crude oil volatility with uncertainty indicators: New evidence," Energy Economics, Elsevier, vol. 108(C).
    63. Yuqing Feng & Yaojie Zhang & Yudong Wang, 2024. "Out‐of‐sample volatility prediction: Rolling window, expanding window, or both?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(3), pages 567-582, April.
    64. Herrera, Ana María & Hu, Liang & Pastor, Daniel, 2018. "Forecasting crude oil price volatility," International Journal of Forecasting, Elsevier, vol. 34(4), pages 622-635.
    65. Nima Nonejad, 2020. "A detailed look at crude oil price volatility prediction using macroeconomic variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1119-1141, November.

  86. Yang, Liansheng & Zhu, Yingming & Wang, Yudong & Wang, Yiqi, 2016. "Multifractal detrended cross-correlations between crude oil market and Chinese ten sector stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 255-265.

    Cited by:

    1. Mokni, Khaled & Youssef, Manel, 2019. "Measuring persistence of dependence between crude oil prices and GCC stock markets: A copula approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 14-33.
    2. Mensi, Walid & Hammoudeh, Shawkat & Shahzad, Syed Jawad Hussain & Shahbaz, Muhammad, 2017. "Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 258-279.
    3. Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Pawe{l} O'swic{e}cimka & Marek Stanuszek, 2018. "Multifractal cross-correlations between the World Oil and other Financial Markets in 2012-2017," Papers 1812.08548, arXiv.org, revised Jun 2019.
    4. Kristjanpoller, Werner & Minutolo, Marcel C., 2021. "Asymmetric multi-fractal cross-correlations of the price of electricity in the US with crude oil and the natural gas," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 572(C).
    5. Un, Kuok Sin & Ausloos, Marcel, 2022. "Equity premium prediction: Taking into account the role of long, even asymmetric, swings in stock market behavior," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 608(P1).
    6. Mitra, Subrata Kumar & Bhatia, Vaneet & Jana, R.K. & Charan, Parikshit & Chattopadhyay, Manojit, 2018. "Changing value detrended cross correlation coefficient over time: Between crude oil and crop prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 671-678.
    7. Syeda Beena Zaidi & Abidullah Khan & Shabeer Khan & Mohd Ziaur Rehman & Wadi B. Alonazi & Abul Ala Noman, 2023. "Connectedness between Pakistan’s Stock Markets with Global Factors: An Application of Quantile VAR Network Model," Mathematics, MDPI, vol. 11(19), pages 1-17, October.
    8. Zhu, Pengfei & Tang, Yong & Wei, Yu & Dai, Yimin & Lu, Tuantuan, 2021. "Relationships and portfolios between oil and Chinese stock sectors: A study based on wavelet denoising-higher moments perspective," Energy, Elsevier, vol. 217(C).
    9. Wu, Yu-Xi & Wu, Qing-Biao & Zhu, Jia-Qi, 2019. "Improved EEMD-based crude oil price forecasting using LSTM networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 114-124.
    10. Zhenhua Liu & Zhihua Ding & Tao Lv & Jy S. Wu & Wei Qiang, 2019. "Financial factors affecting oil price change and oil-stock interactions: a review and future perspectives," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 95(1), pages 207-225, January.
    11. Ferreira, Paulo & Pereira, Éder & Silva, Marcus, 2020. "The relationship between oil prices and the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    12. Ben-Salha, Ousama & Mokni, Khaled, 2022. "Detrended cross-correlation analysis in quantiles between oil price and the US stock market," Energy, Elsevier, vol. 242(C).
    13. Ghazani, Majid Mirzaee & Khosravi, Reza, 2020. "Multifractal detrended cross-correlation analysis on benchmark cryptocurrencies and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
    14. Gajardo, Gabriel & Kristjanpoller, Werner, 2017. "Asymmetric multifractal cross-correlations and time varying features between Latin-American stock market indices and crude oil market," Chaos, Solitons & Fractals, Elsevier, vol. 104(C), pages 121-128.
    15. Mensi, Walid & Al Rababa'a, Abdel Razzaq & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets," Energy Economics, Elsevier, vol. 98(C).
    16. Ferreira, Paulo & Loures, Luís & Nunes, José & Brito, Paulo, 2018. "Are renewable energy stocks a possibility to diversify portfolios considering an environmentally friendly approach? The view of DCCA correlation coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 675-681.
    17. Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Ludovico Minati & Pawe{l} O'swik{e}cimka & Marek Stanuszek, 2020. "Multiscale characteristics of the emerging global cryptocurrency market," Papers 2010.15403, arXiv.org, revised Mar 2021.
    18. Yao, Can-Zhong & Liu, Cheng & Ju, Wei-Jia, 2020. "Multifractal analysis of the WTI crude oil market, US stock market and EPU," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
    19. Stosic, Dusan & Stosic, Darko & de Mattos Neto, Paulo S.G. & Stosic, Tatijana, 2019. "Multifractal characterization of Brazilian market sectors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 956-964.
    20. Shahzad, Syed Jawad Hussain & Naeem, Muhammad Abubakr & Peng, Zhe & Bouri, Elie, 2021. "Asymmetric volatility spillover among Chinese sectors during COVID-19," International Review of Financial Analysis, Elsevier, vol. 75(C).
    21. Li, Xiafei & Wei, Yu, 2018. "The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method," Energy Economics, Elsevier, vol. 74(C), pages 565-581.
    22. Wang, Qizhen & Zhu, Yingming & Yang, Liansheng & Mul, Remco A.H., 2017. "Coupling detrended fluctuation analysis of Asian stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 337-350.
    23. Mensi, Walid & Hanif, Waqas & Vo, Xuan Vinh & Choi, Ki-Hong & Yoon, Seong-Min, 2023. "Upside/Downside spillovers between oil and Chinese stock sectors: From the global financial crisis to global pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    24. Ferreira, Paulo & Pereira, Éder Johson de Area Leão & Silva, Marcus Fernandes da & Pereira, Hernane Borges, 2019. "Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 86-96.
    25. Gajardo, Gabriel & Kristjanpoller, Werner D. & Minutolo, Marcel, 2018. "Does Bitcoin exhibit the same asymmetric multifractal cross-correlations with crude oil, gold and DJIA as the Euro, Great British Pound and Yen?," Chaos, Solitons & Fractals, Elsevier, vol. 109(C), pages 195-205.
    26. Yu Wei & Lan Bai & Kun Yang & Guiwu Wei, 2021. "Are industry‐level indicators more helpful to forecast industrial stock volatility? Evidence from Chinese manufacturing purchasing managers index," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 17-39, January.
    27. Paulo Ferreira & Éder J. A. L. Pereira & Hernane B. B. Pereira, 2020. "The Exposure of European Union Productive Sectors to Oil Price Changes," Sustainability, MDPI, vol. 12(4), pages 1-16, February.
    28. Chen, Yufeng & Li, Wenqi & Qu, Fang, 2019. "Dynamic asymmetric spillovers and volatility interdependence on China’s stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 825-838.

  87. Pan, Zhiyuan & Wang, Yudong & Wu, Chongfeng, 2016. "A nonparametric approach to test for predictability," Economics Letters, Elsevier, vol. 148(C), pages 10-16.

    Cited by:

    1. Chen, Yan & Liu, Yakun & Zhang, Feipeng, 2024. "Coskewness and the short-term predictability for Bitcoin return," Technological Forecasting and Social Change, Elsevier, vol. 200(C).

  88. Liu, Li & Wang, Yudong & Wu, Chongfeng & Wu, Wenfeng, 2016. "Disentangling the determinants of real oil prices," Energy Economics, Elsevier, vol. 56(C), pages 363-373.

    Cited by:

    1. Zheng, Shuxian & Zhou, Xuanru & Tan, Zhanglu & Liu, Chan & Hu, Han & Yuan, Hui & Peng, Shengnan & Cai, Xiaomei, 2023. "Assessment of the global energy transition: Based on trade embodied energy analysis," Energy, Elsevier, vol. 273(C).
    2. Zhang, Zhikai & Wang, Yudong & Xiao, Jihong & Zhang, Yaojie, 2023. "Not all geopolitical shocks are alike: Identifying price dynamics in the crude oil market under tensions," Resources Policy, Elsevier, vol. 80(C).
    3. Dedi, Valentina & Mandilaras, Alex, 2022. "Trader positions and the price of oil in the futures market," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 448-460.
    4. Liu, Jing & Ma, Feng & Yang, Ke & Zhang, Yaojie, 2018. "Forecasting the oil futures price volatility: Large jumps and small jumps," Energy Economics, Elsevier, vol. 72(C), pages 321-330.
    5. Sui, Bo & Chang, Chun-Ping & Jang, Chyi-Lu & Gong, Qiang, 2021. "Analyzing causality between epidemics and oil prices: Role of the stock market," Economic Analysis and Policy, Elsevier, vol. 70(C), pages 148-158.
    6. Georges Prat & Remzi Uctum, 2021. "Modeling ex-ante risk premia in the oil market," Post-Print hal-03318785, HAL.
    7. Bai, Yiyi & Okullo, Samuel J., 2018. "Understanding oil scarcity through drilling activity," Energy Economics, Elsevier, vol. 69(C), pages 261-269.
    8. Baumeister, Christiane & Hamilton, James D., 2021. "Reprint: Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions," Journal of International Money and Finance, Elsevier, vol. 114(C).
    9. Zhao, Jing, 2023. "Time-varying impact of geopolitical risk on natural resources prices: Evidence from the hybrid TVP-VAR model with large system," Resources Policy, Elsevier, vol. 82(C).
    10. Zhenhua Liu & Zhihua Ding & Tao Lv & Jy S. Wu & Wei Qiang, 2019. "Financial factors affecting oil price change and oil-stock interactions: a review and future perspectives," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 95(1), pages 207-225, January.
    11. Derek Bunn & Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2017. "Fundamental and Financial Influences on the Co-movement of Oil and Gas prices," Post-Print hal-01619890, HAL.
    12. Drachal, Krzysztof, 2021. "Forecasting selected energy commodities prices with Bayesian dynamic finite mixtures," Energy Economics, Elsevier, vol. 99(C).
    13. Wang, Fangzhi & Liao, Hua, 2022. "Unexpected economic growth and oil price shocks," Energy Economics, Elsevier, vol. 116(C).
    14. Markus Brueckner & Haidi Hong & Joaquin Vespignani, 2023. "Effects of Government Regulation of Diesel and Petrol Prices on GDP Growth: Evidence from China," ANU Working Papers in Economics and Econometrics 2023-690, Australian National University, College of Business and Economics, School of Economics.
    15. Meng, Fanyi & Liu, Li, 2019. "Analyzing the economic sources of oil price volatility: An out-of-sample perspective," Energy, Elsevier, vol. 177(C), pages 476-486.
    16. Wei, Yu & Liu, Jing & Lai, Xiaodong & Hu, Yang, 2017. "Which determinant is the most informative in forecasting crude oil market volatility: Fundamental, speculation, or uncertainty?," Energy Economics, Elsevier, vol. 68(C), pages 141-150.
    17. Christiane Baumeister & James D. Hamilton, 2020. "Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions," NBER Working Papers 26606, National Bureau of Economic Research, Inc.
    18. Cross, Jamie L. & Hou, Chenghan & Nguyen, Bao H., 2021. "On the China factor in the world oil market: A regime switching approach11We thank Hilde Bjørnland, Tatsuyoshi Okimoto, Ippei Fujiwara, Knut Aastveit, Leif Anders Thorsrud, Francesco Ravazzolo, Renee ," Energy Economics, Elsevier, vol. 95(C).
    19. Alola, Andrew A. & Adekoya, Oluwasegun B. & Oliyide, Johnson A., 2022. "Outlook of oil prices and volatility from 1970 to 2040 through global energy mix-security from production to reserves: A nonparametric causality-in-quantiles approach," Resources Policy, Elsevier, vol. 79(C).
    20. Theodosios Perifanis, 2019. "Detecting West Texas Intermediate (WTI) Prices’ Bubble Periods," Energies, MDPI, vol. 12(14), pages 1-16, July.
    21. Chen, B. & Li, J.S. & Wu, X.F. & Han, M.Y. & Zeng, L. & Li, Z. & Chen, G.Q., 2018. "Global energy flows embodied in international trade: A combination of environmentally extended input–output analysis and complex network analysis," Applied Energy, Elsevier, vol. 210(C), pages 98-107.
    22. Cross, Jamie & Nguyen, Bao H., 2017. "The relationship between global oil price shocks and China's output: A time-varying analysis," Energy Economics, Elsevier, vol. 62(C), pages 79-91.
    23. Jamie L. Cross & Chenghan Hou & Bao H. Nguyen, 2018. "On the China factor in international oil markets: A regime switching approach," Working Papers No 11/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    24. Markus Brueckner & Haidi Hong & Joaquin Vespignani, 2023. "Regulation of Petrol and Diesel Prices and their Effects on GDP Growth: Evidence from China," CAMA Working Papers 2023-17, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    25. Raghavan, Mala, 2019. "An analysis of the global oil market using SVARMA models," Working Papers 2019-01, University of Tasmania, Tasmanian School of Business and Economics.
    26. Huang, Shupei & An, Haizhong & Wen, Shaobo & An, Feng, 2017. "Revisiting driving factors of oil price shocks across time scales," Energy, Elsevier, vol. 139(C), pages 617-629.
    27. Jamie Cross & Bao H. Nguyen & Bo Zhang, 2019. "New Kid on the Block? China vs the US in World Oil Markets," Working Papers No 02/2019, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    28. Soohyeon Kim & Jungho Baek & Eunnyeong Heo, 2020. "Crude oil inventories: The two faces of Janus?," Empirical Economics, Springer, vol. 59(2), pages 1003-1018, August.
    29. Le, Thai-Ha & Boubaker, Sabri & Bui, Manh Tien & Park, Donghyun, 2023. "On the volatility of WTI crude oil prices: A time-varying approach with stochastic volatility," Energy Economics, Elsevier, vol. 117(C).
    30. Akdoğan, Kurmaş, 2020. "Fundamentals versus speculation in oil market: The role of asymmetries in price adjustment?," Resources Policy, Elsevier, vol. 67(C).
    31. Karol Szafranek, 2018. "Determinanty zmiennej w czasie korelacji pomiędzy cenami ropy naftowej a kursem walutowym dolara amerykańskiego," Bank i Kredyt, Narodowy Bank Polski, vol. 49(6), pages 671-708.
    32. Kanjilal, Kakali & Ghosh, Sajal, 2017. "Dynamics of crude oil and gold price post 2008 global financial crisis – New evidence from threshold vector error-correction model," Resources Policy, Elsevier, vol. 52(C), pages 358-365.
    33. Harrison, Andre & Liu, Xiaochun & Stewart, Shamar L., 2023. "Structural sources of oil market volatility and correlation dynamics," Energy Economics, Elsevier, vol. 121(C).
    34. Georges Prat & Remzi Uctum, 2024. "Risk premium, price of risk and expected volatility in the oil market: Evidence from survey data," Post-Print hal-04873466, HAL.
    35. Marek Szturo & Bogdan Włodarczyk & Ireneusz Miciuła & Karolina Szturo, 2021. "The Essence of Relationships between the Crude Oil Market and Foreign Currencies Market Based on a Study of Key Currencies," Energies, MDPI, vol. 14(23), pages 1-17, November.
    36. Drachal, Krzysztof, 2018. "Comparison between Bayesian and information-theoretic model averaging: Fossil fuels prices example," Energy Economics, Elsevier, vol. 74(C), pages 208-251.
    37. Le, Thai-Ha & Le, Anh Tu & Le, Ha-Chi, 2021. "The historic oil price fluctuation during the Covid-19 pandemic: What are the causes?," Research in International Business and Finance, Elsevier, vol. 58(C).
    38. Xiafei Li & Yu Wei & Xiaodan Chen & Feng Ma & Chao Liang & Wang Chen, 2022. "Which uncertainty is powerful to forecast crude oil market volatility? New evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4279-4297, October.
    39. Salisu, Afees A. & Isah, Kazeem & Oloko, Tirimisiyu O., 2024. "Technology shocks and crude oil market connection: The role of climate change," Energy Economics, Elsevier, vol. 130(C).
    40. Zhuoqi Teng & Renhong Wu & Yugang He & Anibal Coronel, 2023. "Swings in Crude Oil Valuations: Analyzing Their Bearing on China’s Stock Market Returns amid the COVID-19 Pandemic Upheaval," Discrete Dynamics in Nature and Society, Hindawi, vol. 2023, pages 1-10, June.
    41. Zeng, Shihong & Nan, Xin & Liu, Chao & Chen, Jiuying, 2017. "The response of the Beijing carbon emissions allowance price (BJC) to macroeconomic and energy price indices," Energy Policy, Elsevier, vol. 106(C), pages 111-121.
    42. Bravo Caro, José Manuel & Golpe, Antonio A. & Iglesias, Jesús & Vides, José Carlos, 2020. "A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends," Energy Economics, Elsevier, vol. 85(C).

  89. Chen, Hongtao & Liu, Li & Wang, Yudong & Zhu, Yingming, 2016. "Oil price shocks and U.S. dollar exchange rates," Energy, Elsevier, vol. 112(C), pages 1036-1048.

    Cited by:

    1. Rodrigo da Silva Souza & Leonardo Bornacki Mattos, 2022. "Oil price shocks and global liquidity: macroeconomic effects on the Brazilian real," International Economics and Economic Policy, Springer, vol. 19(4), pages 761-781, October.
    2. Salisu, Afees A. & Adekunle, Wasiu & Alimi, Wasiu A. & Emmanuel, Zachariah, 2019. "Predicting exchange rate with commodity prices: New evidence from Westerlund and Narayan (2015) estimator with structural breaks and asymmetries," Resources Policy, Elsevier, vol. 62(C), pages 33-56.
    3. KILICARSLAN Zerrin & DUMRUL Yasemin, 2017. "Macroeconomic Impacts Of Oil Price Shocks: An Empirical Analysis Based On The Svar Models," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 69(5), pages 55-72, December.
    4. Afees A. Salisu & Wasiu Adekunle & Zachariah Emmanuel & Wasiu A. Alimi, 2018. "Predicting exchange rate with commodity prices: The role of structural breaks and asymmetries," Working Papers 055, Centre for Econometric and Allied Research, University of Ibadan.
    5. De, Kuhelika & Compton, Ryan A. & Giedeman, Daniel C., 2022. "Oil shocks and the U.S. economy in a data-rich model," Economic Modelling, Elsevier, vol. 108(C).
    6. Tian, Meiyu & Li, Wanyang & Wen, Fenghua, 2021. "The dynamic impact of oil price shocks on the stock market and the USD/RMB exchange rate: Evidence from implied volatility indices," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    7. Gong, Xu & Lin, Boqiang, 2018. "Time-varying effects of oil supply and demand shocks on China's macro-economy," Energy, Elsevier, vol. 149(C), pages 424-437.
    8. Alexandros Pasiouras & Theodoros Daglis, 2020. "The Dollar Exchange Rates in the Covid-19 Era: Evidence from 5 Currencies," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 2), pages 352-361.
    9. Umar, Zaghum & Bossman, Ahmed, 2023. "Quantile connectedness between oil price shocks and exchange rates," Resources Policy, Elsevier, vol. 83(C).
    10. Yue Liu & Pierre Failler & Jiaying Peng & Yuhang Zheng, 2020. "Time-Varying Relationship between Crude Oil Price and Exchange Rate in the Context of Structural Breaks," Energies, MDPI, vol. 13(9), pages 1-17, May.
    11. Yuliana Vladimirovna Solovieva & Maxim Vasilyevich Chernyaev & Nezhnikova Ekaterina Vladimirovna, 2021. "Brent and Urals Oil Price Control Mechanisms," International Journal of Energy Economics and Policy, Econjournals, vol. 11(3), pages 571-577.
    12. Wei, Honghong & Lahiri, Radhika, 2019. "The impact of commodity price shocks in the presence of a trading relationship: A GVAR analysis of the NAFTA," Energy Economics, Elsevier, vol. 80(C), pages 553-569.
    13. Qiang Ji & Syed Jawad Hussain Shahzad & Elie Bouri & Muhammad Tahir Suleman, 2020. "Dynamic structural impacts of oil shocks on exchange rates: lessons to learn," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 9(1), pages 1-19, December.
    14. Suyi Kim & So-Yeun Kim & Kyungmee Choi, 2019. "Analyzing Oil Price Shocks and Exchange Rates Movements in Korea using Markov Regime-Switching Models," Energies, MDPI, vol. 12(23), pages 1-16, December.
    15. Yu, Wenhua & Yang, Kun & Wei, Yu & Lei, Likun, 2018. "Measuring Value-at-Risk and Expected Shortfall of crude oil portfolio using extreme value theory and vine copula," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1423-1433.
    16. Takuji Fueki & Hiroka Higashi & Naoto Higashio & Jouchi Nakajima & Shinsuke Ohyama & Yoichiro Tamanyu, 2018. "Identifying oil price shocks and their consequences: the role of expectations in the crude oil market," BIS Working Papers 725, Bank for International Settlements.
    17. Baghestani, Hamid & Chazi, Abdelaziz & Khallaf, Ashraf, 2019. "A directional analysis of oil prices and real exchange rates in BRIC countries," Research in International Business and Finance, Elsevier, vol. 50(C), pages 450-456.
    18. Anton Lisin & Tomonobu Senjyu, 2021. "Renewable Energy Transition: Evidence from Spillover Effects in Exchange-Traded Funds," International Journal of Energy Economics and Policy, Econjournals, vol. 11(3), pages 184-190.
    19. Malik, Farooq & Umar, Zaghum, 2019. "Dynamic connectedness of oil price shocks and exchange rates," Energy Economics, Elsevier, vol. 84(C).
    20. Zhang, Yue-Jun & Wang, Jin-Li, 2019. "Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models," Energy Economics, Elsevier, vol. 78(C), pages 192-201.
    21. Antonio J., Garzón & Luis A., Hierro, 2022. "Inflation, oil prices and exchange rates. The Euro’s dampening effect," Journal of Policy Modeling, Elsevier, vol. 44(1), pages 130-146.
    22. Qingqing Hu & Tinghui Li & Xue Li & Hao Dong, 2021. "Dynamic Characteristics of Oil Attributes and Their Market Effects," Energies, MDPI, vol. 14(13), pages 1-22, June.
    23. Mouna Aloui & Jarboui Anis, 2023. "The Dynamic Relation between the Oil Price Volatility, Stock Market, Exchange and Interest Rate in GCC Countries: Panel Vector Autoregressive (PVAR) Model," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(3), pages 114-128.
    24. Yang, Dong-Xiao & Wu, Bi-Bo & Tong, Jing-Yang, 2021. "Dynamics and causality of oil price shocks on commodities: Quantile-on-quantile and causality-in-quantiles methods," Resources Policy, Elsevier, vol. 74(C).
    25. Karol Szafranek, 2018. "Determinanty zmiennej w czasie korelacji pomiędzy cenami ropy naftowej a kursem walutowym dolara amerykańskiego," Bank i Kredyt, Narodowy Bank Polski, vol. 49(6), pages 671-708.
    26. Jiang, Yonghong & Feng, Qidi & Mo, Bin & Nie, He, 2020. "Visiting the effects of oil price shocks on exchange rates: Quantile-on-quantile and causality-in-quantiles approaches," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    27. Onder BUBERKOKU, 2017. "ABD Dolarinin Emtia Fiyatlari Uzerindeki Etkisinin Incelenmesi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 17(3), pages 323-336.
    28. Chang, Kai & Zhang, Chao, 2018. "Asymmetric dependence structure between emissions allowances and wholesale diesel/gasoline prices in emerging China's emissions trading scheme pilots," Energy, Elsevier, vol. 164(C), pages 124-136.
    29. Marek Szturo & Bogdan Włodarczyk & Ireneusz Miciuła & Karolina Szturo, 2021. "The Essence of Relationships between the Crude Oil Market and Foreign Currencies Market Based on a Study of Key Currencies," Energies, MDPI, vol. 14(23), pages 1-17, November.
    30. Radmila Krkošková, 2020. "Relationship Between the Brent Oil Price and the US Dollar Exchange Rate," Prague Economic Papers, Prague University of Economics and Business, vol. 2020(2), pages 187-206.
    31. Yanqiong Liu & Zhenghui Li & Yanyan Yao & Hao Dong, 2021. "Asymmetry of Risk Evolution in Crude Oil Market: From the Perspective of Dual Attributes of Oil," Energies, MDPI, vol. 14(13), pages 1-22, July.
    32. Osaretin Kayode Omoregie & Sodik Adejonwo Olofin, 2020. "Corporate Performance in Nigeria: The Effect of Oil Price and Exchange Rate Fluctuations," International Journal of Economics and Financial Issues, Econjournals, vol. 10(1), pages 170-179.
    33. Yiqun Ma & Wei Zhen, 2020. "Market Fundamentals and Iron Ore Spot Prices," The Economic Record, The Economic Society of Australia, vol. 96(315), pages 470-489, December.
    34. Baghestani, Hamid & Toledo, Hugo, 2019. "Oil prices and real exchange rates in the NAFTA region," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 253-264.
    35. Wan-Jiun Chen, 2022. "Toward Sustainability: Dynamics of Total Carbon Dioxide Emissions, Aggregate Income, Non-Renewable Energy, and Renewable Power," Sustainability, MDPI, vol. 14(5), pages 1-27, February.

  90. Liu, Li & Ma, Feng & Wang, Yudong, 2015. "Forecasting excess stock returns with crude oil market data," Energy Economics, Elsevier, vol. 48(C), pages 316-324.

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    1. Ma, Feng & Wang, Ruoxin & Lu, Xinjie & Wahab, M.I.M., 2021. "A comprehensive look at stock return predictability by oil prices using economic constraint approaches," International Review of Financial Analysis, Elsevier, vol. 78(C).
    2. Ben Hamida, Amal & de Peretti, Christian & Belkacem, Lotfi, 2024. "The link between abnormal numbers and price movements of financial securities: How does Benford’s law predict stock returns?," International Review of Financial Analysis, Elsevier, vol. 95(PC).
    3. Nima Nonejad, 2021. "An Overview Of Dynamic Model Averaging Techniques In Time‐Series Econometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 566-614, April.
    4. Nima Nonejad, 2019. "Modeling Persistence and Parameter Instability in Historical Crude Oil Price Data Using a Gibbs Sampling Approach," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1687-1710, April.
    5. Gupta, Rangan & Wohar, Mark, 2017. "Forecasting oil and stock returns with a Qual VAR using over 150years off data," Energy Economics, Elsevier, vol. 62(C), pages 181-186.
    6. Wahyono, Budi & Rapih, Subroto & Boungou, Whelsy, 2023. "Unleashing the wordsmith: Analysing the stock market reactions to the launch of ChatGPT in the US Education sector," Finance Research Letters, Elsevier, vol. 58(PC).
    7. Alper Gormus & Saban Nazlioglu & Elif Gormus, 2024. "ESG impact on oil and natural gas financialization through price transmission," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 48(3), pages 685-707, September.
    8. Wen, Danyan & Wang, Yudong & Zhang, Yaojie, 2021. "Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism," Economic Modelling, Elsevier, vol. 96(C), pages 209-219.
    9. Qiu, Rui & Liu, Jing & Li, Yan, 2023. "Long-term adjusted volatility: Powerful capability in forecasting stock market returns," International Review of Financial Analysis, Elsevier, vol. 86(C).
    10. Nuno Silva, 2015. "Industry based equity premium forecasts," GEMF Working Papers 2015-19, GEMF, Faculty of Economics, University of Coimbra.
    11. Nonejad, Nima, 2022. "Equity premium prediction using the price of crude oil: Uncovering the nonlinear predictive impact," Energy Economics, Elsevier, vol. 115(C).
    12. Alper Gormus & Saban Nazlioglu & Steven L. Beach, 2023. "Environmental, Social, and Governance Considerations in WTI Financialization through Energy Funds," JRFM, MDPI, vol. 16(4), pages 1-17, April.
    13. Wen, Danyan & Wang, Gang-Jin & Ma, Chaoqun & Wang, Yudong, 2019. "Risk spillovers between oil and stock markets: A VAR for VaR analysis," Energy Economics, Elsevier, vol. 80(C), pages 524-535.
    14. Golab, Anna & Bannigidadmath, Deepa & Pham, Thach Ngoc & Thuraisamy, Kannan, 2022. "Economic policy uncertainty and industry return predictability – Evidence from the UK," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 433-447.
    15. Nonejad, Nima, 2023. "Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 91-122.
    16. Nonejad, Nima, 2018. "Déjà vol oil? Predicting S&P 500 equity premium using crude oil price volatility: Evidence from old and recent time-series data," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 260-270.
    17. Naser, Hanan & Alaali, Fatema, 2015. "Can Oil Prices Help Predict US Stock Market Returns: An Evidence Using a DMA Approach," MPRA Paper 65295, University Library of Munich, Germany, revised 25 Jun 2015.
    18. Chao Liang & Yi Zhang & Yaojie Zhang, 2022. "Forecasting the volatility of the German stock market: New evidence," Applied Economics, Taylor & Francis Journals, vol. 54(9), pages 1055-1070, February.
    19. Nima Nonejad, 2020. "Does the price of crude oil help predict the conditional distribution of aggregate equity return?," Empirical Economics, Springer, vol. 58(1), pages 313-349, January.
    20. Yin, Libo & Feng, Jiabao, 2019. "Can investors attention on oil markets predict stock returns?," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 786-800.
    21. Zhang, Yaojie & Wei, Yu & Ma, Feng & Yi, Yongsheng, 2019. "Economic constraints and stock return predictability: A new approach," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 1-9.
    22. Jan Prüser, 2019. "Adaptive learning from model space," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(1), pages 29-38, January.
    23. Yaojie Zhang & Mengxi He & Zhikai Zhang, 2024. "Forecasting stock returns with industry volatility concentration," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2705-2730, November.
    24. Zhang, Yue-Jun & Wang, Jin-Li, 2019. "Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models," Energy Economics, Elsevier, vol. 78(C), pages 192-201.
    25. Naeem, Muhammad Abubakr & Balli, Faruk & Shahzad, Syed Jawad Hussain & de Bruin, Anne, 2020. "Energy commodity uncertainties and the systematic risk of US industries," Energy Economics, Elsevier, vol. 85(C).
    26. Chen, Juan & Ma, Feng & Qiu, Xuemei & Li, Tao, 2023. "The role of categorical EPU indices in predicting stock-market returns," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 365-378.
    27. Afees A. Salisu & Raymond Swaray & Tirimisyu F. Oloko, 2017. "A multi-factor predictive model for oil-US stock nexus with persistence, endogeneity and conditional heteroscedasticity effects," Working Papers 024, Centre for Econometric and Allied Research, University of Ibadan.
    28. Nima Nonejad, 2021. "Should crude oil price volatility receive more attention than the price of crude oil? An empirical investigation via a large‐scale out‐of‐sample forecast evaluation of US macroeconomic data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 769-791, August.
    29. Nonejad, Nima, 2021. "Predicting equity premium using dynamic model averaging. Does the state–space representation matter?," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    30. Salisu, Afees A. & Swaray, Raymond & Oloko, Tirimisiyu F., 2019. "Improving the predictability of the oil–US stock nexus: The role of macroeconomic variables," Economic Modelling, Elsevier, vol. 76(C), pages 153-171.
    31. Dai, Zhifeng & Dong, Xiaodi & Kang, Jie & Hong, Lianying, 2020. "Forecasting stock market returns: New technical indicators and two-step economic constraint method," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    32. Li, Yan & Huo, Jiale & Xu, Yongan & Liang, Chao, 2023. "Belief-based momentum indicator and stock market return predictability," Research in International Business and Finance, Elsevier, vol. 64(C).
    33. Liu, Jing & He, Qiubei & Li, Yan & Huynh, Luu Duc Toan & Liang, Chao, 2023. "The change in stock-selection risk and stock market returns," International Review of Financial Analysis, Elsevier, vol. 85(C).
    34. Lu, Xinjie & Ma, Feng & Wang, Tianyang & Wen, Fenghua, 2023. "International stock market volatility: A data-rich environment based on oil shocks," Journal of Economic Behavior & Organization, Elsevier, vol. 214(C), pages 184-215.
    35. Indranil Ghosh & Manas K. Sanyal & R. K. Jana, 2021. "Co-movement and Dynamic Correlation of Financial and Energy Markets: An Integrated Framework of Nonlinear Dynamics, Wavelet Analysis and DCC-GARCH," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 503-527, February.
    36. Zhang, Yaojie & Ma, Feng & Shi, Benshan & Huang, Dengshi, 2018. "Forecasting the prices of crude oil: An iterated combination approach," Energy Economics, Elsevier, vol. 70(C), pages 472-483.
    37. Li, Yan & Liang, Chao & Huynh, Toan Luu Duc, 2022. "Forecasting US stock market returns by the aggressive stock-selection opportunity," Finance Research Letters, Elsevier, vol. 50(C).
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    39. Nonejad, Nima, 2020. "An observation regarding Hamilton’s recent criticisms of Kilian’s global real economic activity index," Economics Letters, Elsevier, vol. 196(C).
    40. Hassan, Kamrul & Hoque, Ariful & Gasbarro, Dominic, 2019. "Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis," Energy Economics, Elsevier, vol. 80(C), pages 950-969.
    41. Hanan Naser & Fatema Alaali, 2018. "Can oil prices help predict US stock market returns? Evidence using a dynamic model averaging (DMA) approach," Empirical Economics, Springer, vol. 55(4), pages 1757-1777, December.
    42. Nonejad, Nima, 2020. "Crude oil price volatility and equity return predictability: A comparative out-of-sample study," International Review of Financial Analysis, Elsevier, vol. 71(C).
    43. Bai, Fan & Zhang, Yaqi & Chen, Zhonglu & Li, Yan, 2023. "The volatility of daily tug-of-war intensity and stock market returns," Finance Research Letters, Elsevier, vol. 55(PA).

  91. Yudong Wang & Chongfeng Wu & Li Yang, 2015. "Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy?," Management Science, INFORMS, vol. 61(12), pages 2870-2889, December.

    Cited by:

    1. Alexander, Carol & Deng, Jun & Zou, Bin, 2023. "Hedging with automatic liquidation and leverage selection on bitcoin futures," European Journal of Operational Research, Elsevier, vol. 306(1), pages 478-493.
    2. Li, Miao & Xiong, Tao, 2023. "Is China's new live hog futures market efficient? Evidence from an analysis of market quality, price discovery and hedging effectiveness," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 68(01), September.
    3. Dean Leistikow & Ren-Raw Chen & Yuewu Xu, 2022. "Spot asset carry cost rates and futures hedge ratios," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1741-1779, May.
    4. Caporin, Massimiliano & Malik, Farooq, 2020. "Do structural breaks in volatility cause spurious volatility transmission?," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 60-82.
    5. Cao, Min & Conlon, Thomas, 2023. "Composite jet fuel cross-hedging," Journal of Commodity Markets, Elsevier, vol. 30(C).
    6. Xuluo Yin & Jiangang Peng & Tian Tang, 2018. "Improving the Forecasting Accuracy of Crude Oil Prices," Sustainability, MDPI, vol. 10(2), pages 1-9, February.
    7. Bai, Xiwen & Kavussanos, Manolis G., 2022. "Hedging IMO2020 compliant fuel price exposure using futures contracts," Energy Economics, Elsevier, vol. 110(C).
    8. Sun, Xiaolin & Haralambides, Hercules & Liu, Hailong, 2019. "Dynamic spillover effects among derivative markets in tanker shipping," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 122(C), pages 384-409.
    9. Michael Curran & Patrick O'Sullivan & Ryan Zalla, 2020. "Can Volatility Solve the Naive Portfolio Puzzle?," Papers 2005.03204, arXiv.org, revised Feb 2022.
    10. Pan, Zhiyuan & Zheng, Xu & Gong, Yuting, 2015. "A model-free test for contagion between crude oil and stock markets," Economics Letters, Elsevier, vol. 130(C), pages 1-4.
    11. Echaust, Krzysztof & Just, Małgorzata & Kliber, Agata, 2024. "To hedge or not to hedge? Cryptocurrencies, gold and oil against stock market risk," International Review of Financial Analysis, Elsevier, vol. 94(C).
    12. Theodoros Syriopoulos & Efthymios Roumpis & Michael Tsatsaronis, 2023. "Hedging Strategies in Carbon Emission Price Dynamics: Implications for Shipping Markets," Energies, MDPI, vol. 16(17), pages 1-27, September.
    13. Gong, Xu & Lin, Boqiang, 2018. "Structural changes and out-of-sample prediction of realized range-based variance in the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 27-39.
    14. Yu, Xing & Li, Yanyan & Gong, Xue & Zhang, Nan, 2022. "Evaluating the performance of futures hedging using factors-driven realized volatility," International Review of Financial Analysis, Elsevier, vol. 84(C).
    15. Canyakmaz, Caner & Özekici, Süleyman & Karaesmen, Fikri, 2024. "Risk management through financial hedging in inventory systems with stochastic price processes," International Journal of Production Economics, Elsevier, vol. 270(C).
    16. Yu, Xing & Shen, Xilin & Li, Yanyan & Gong, Xue, 2023. "Selective hedging strategies for crude oil futures based on market state expectations," Global Finance Journal, Elsevier, vol. 57(C).
    17. Olson, Eric & Vivian, Andrew & Wohar, Mark E., 2019. "What is a better cross-hedge for energy: Equities or other commodities?," Global Finance Journal, Elsevier, vol. 42(C).
    18. Donald Lien & Ziling Wang & Xiaojian Yu, 2021. "Optimal quantile hedging under Markov regime switching," Empirical Economics, Springer, vol. 60(5), pages 2177-2201, May.
    19. Liu, Jiadong & Papailias, Fotis & Quinn, Barry, 2021. "Direction-of-change forecasting in commodity futures markets," International Review of Financial Analysis, Elsevier, vol. 74(C).
    20. Čech, František & Zítek, Michal, 2022. "Marine fuel hedging under the sulfur cap regulations," Energy Economics, Elsevier, vol. 113(C).
    21. Rettinger, Moritz & Mandl, Christian & Minner, Stefan, 2024. "A data-driven approach for optimal operational and financial commodity hedging," European Journal of Operational Research, Elsevier, vol. 316(1), pages 341-360.
    22. Qianjie Geng & Yudong Wang, 2021. "Futures Hedging in CSI 300 Markets: A Comparison Between Minimum-Variance and Maximum-Utility Frameworks," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 719-742, February.
    23. Lai, Yu-Sheng, 2023. "Economic evaluation of dynamic hedging strategies using high-frequency data," Finance Research Letters, Elsevier, vol. 57(C).
    24. Bai, Yujuan & Pan, Zhiyuan & Liu, Li, 2019. "Improving futures hedging performance using option information: Evidence from the S&P 500 index," Finance Research Letters, Elsevier, vol. 28(C), pages 112-117.
    25. Su, Kuangxi & Yao, Yinhong & Zheng, Chengli & Xie, Wenzhao, 2023. "A novel hybrid strategy for crude oil future hedging based on the combination of three minimum-CVaR models," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 35-50.
    26. Spencer, Simon & Bredin, Don & Conlon, Thomas, 2018. "Energy and agricultural commodities revealed through hedging characteristics: Evidence from developing and mature markets," Journal of Commodity Markets, Elsevier, vol. 9(C), pages 1-20.
    27. Hsiang‐Tai Lee, 2024. "Riemannian‐geometric regime‐switching covariance hedging," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(6), pages 1003-1054, June.
    28. Wang Haoyu & Junpeng Di & Qing Han, 2023. "Adaptive hedging horizon and hedging performance estimation," Papers 2302.00251, arXiv.org.
    29. Yu‐Sheng Lai, 2018. "Estimation of the optimal futures hedge ratio for equity index portfolios using a realized beta generalized autoregressive conditional heteroskedasticity model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(11), pages 1370-1390, November.
    30. Joakim Dimoski & Stein-Erik Fleten & Nils Löhndorf & Sveinung Nersten, 2023. "Dynamic hedging for the real option management of hydropower production with exchange rate risks," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(2), pages 525-554, June.
    31. Geng, Qianjie & Wang, Yudong, 2024. "Forecasting the volatility of crude oil basis: Univariate models versus multivariate models," Energy, Elsevier, vol. 295(C).
    32. Babu Jose & Nithin Jose, 2023. "Is Cross-Hedging Effective for Mitigating Equity Investment Risks in the Indian Banking Sector?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 189-210, March.
    33. Gong, Xu & Lin, Boqiang, 2019. "Modeling stock market volatility using new HAR-type models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 194-211.
    34. Vedenov, Dmitry & Power, Gabriel J., 2022. "We don't need no fancy hedges! Or do we?," International Review of Financial Analysis, Elsevier, vol. 81(C).
    35. Chen, Xiangyu & Tongurai, Jittima, 2021. "Cross-commodity hedging for illiquid futures: Evidence from China's base metal futures market," Global Finance Journal, Elsevier, vol. 49(C).
    36. Demiralay, Sercan & Gencer, Hatice Gaye & Bayraci, Selcuk, 2022. "Carbon credit futures as an emerging asset: Hedging, diversification and downside risks," Energy Economics, Elsevier, vol. 113(C).
    37. Jose, Nithin & Jose, Babu & Varghese, James, 2022. "Is cross-hedging an effective strategy in equity futures market?," Finance Research Letters, Elsevier, vol. 50(C).
    38. Tanin, Tauhidul Islam & Hasanov, Akram Shavkatovich & Shaiban, Mohammed Sharaf Mohsen & Brooks, Robert, 2022. "Risk transmission from the oil market to Islamic and conventional banks in oil-exporting and oil-importing countries," Energy Economics, Elsevier, vol. 115(C).
    39. Bessler, Wolfgang & Conlon, Thomas & Huan, Xing, 2019. "Does corporate hedging enhance shareholder value? A meta-analysis," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 222-232.
    40. Cheng Yan & Ji Yan, 2021. "Optimal and naive diversification in an emerging market: Evidence from China's A‐shares market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3740-3758, July.
    41. Lai, Yu-Sheng, 2022. "Improving hedging performance by using high–low range," Finance Research Letters, Elsevier, vol. 48(C).
    42. Xu Gong & Boqiang Lin, 2021. "Effects of structural changes on the prediction of downside volatility in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1124-1153, July.
    43. Mandeep Kaur & Kapil Gupta, 2019. "Estimating Hedging Effectiveness Using Variance Reduction And Risk-Return Approaches: Evidence From National Stock Exchange Of India," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 8(4), pages 149-169.
    44. Ahmad Bash & Abdullah M. Al-Awadhi & Fouad Jamaani, 2016. "Measuring the Hedge Ratio: A GCC Perspective," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(7), pages 1-1, July.
    45. Cui, Yan & Feng, Yun, 2020. "Composite hedge and utility maximization for optimal futures hedging," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 15-32.
    46. Kuang, Wei, 2022. "The economic value of high-frequency data in equity-oil hedge," Energy, Elsevier, vol. 239(PA).
    47. Elisson Andrade & Fabio Mattos & Roberto Arruda de Souza Lima, 2018. "New Insights on Hedge Ratios in the Presence of Stochastic Transaction Costs," Risks, MDPI, vol. 6(4), pages 1-15, October.
    48. Goswami, Alankrita & Karali, Berna & Adjemian, Michael K., 2023. "Hedging with futures during nonconvergence in commodity markets," Journal of Commodity Markets, Elsevier, vol. 32(C).
    49. Yu‐Sheng Lai, 2021. "Generalized autoregressive score model with high‐frequency data for optimal futures hedging," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 2023-2045, December.
    50. Yu, Xing & Li, Yanyan & Zhao, Qian, 2024. "Research on optimization strategy of futures hedging dependent on market state," Applied Energy, Elsevier, vol. 373(C).
    51. Lee, Hsiang-Tai & Lee, Chien-Chiang, 2022. "A regime-switching real-time copula GARCH model for optimal futures hedging," International Review of Financial Analysis, Elsevier, vol. 84(C).
    52. Yu‐Sheng Lai, 2022. "Use of high‐frequency data to evaluate the performance of dynamic hedging strategies," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 104-124, January.
    53. Wang, Yudong & Geng, Qianjie & Meng, Fanyi, 2019. "Futures hedging in crude oil markets: A comparison between minimum-variance and minimum-risk frameworks," Energy, Elsevier, vol. 181(C), pages 815-826.
    54. Yan, Cheng & Zhang, Huazhu, 2017. "Mean-variance versus naïve diversification: The role of mispricing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 61-81.
    55. Pan, Zhiyuan & Fu, Ziqian & Wang, Yudong & Dong, Qingma, 2024. "Exploiting the sentiments: A simple approach for improving cross hedging effectiveness," Energy Economics, Elsevier, vol. 134(C).
    56. Xiao, Yuewen & Zhao, Jing, 2021. "Price dynamics of individual stocks: Jumps and information," Finance Research Letters, Elsevier, vol. 38(C).
    57. Yu‐Sheng Lai, 2023. "Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(5), pages 677-701, May.
    58. Li Liu & Zhiyuan Pan & Yudong Wang, 2021. "What can we learn from the return predictability over the business cycle?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 108-131, January.
    59. Yan Hu & Jian Ni, 2024. "A deep learning‐based financial hedging approach for the effective management of commodity risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(6), pages 879-900, June.

  92. Zhang, Bing & Wang, Yudong, 2015. "Limited attention of individual investors and stock performance: Evidence from the ChiNext market," Economic Modelling, Elsevier, vol. 50(C), pages 94-104.

    Cited by:

    1. Huang, Jianbai & Tang, Jing & Zhang, Hongwei, 2020. "The effect of investors’ information search behaviors on rebar market return dynamics using high frequency data," Resources Policy, Elsevier, vol. 66(C).
    2. Salisu, Afees A. & Vo, Xuan Vinh, 2021. "Firm-specific news and the predictability of Consumer stocks in Vietnam," Finance Research Letters, Elsevier, vol. 41(C).
    3. Qadan, Mahmoud & Zoua’bi, Maher, 2019. "Financial attention and the demand for information," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 82(C).
    4. Cynthia Pagliaro & Dhagash Mehta & Han-Tai Shiao & Shaofei Wang & Luwei Xiong, 2021. "Investor Behavior Modeling by Analyzing Financial Advisor Notes: A Machine Learning Perspective," Papers 2107.05592, arXiv.org.
    5. Fan, Xiaoqian & Yuan, Ying & Zhuang, Xintian & Jin, Xiu, 2017. "Long memory of abnormal investor attention and the cross-correlations between abnormal investor attention and trading volume, volatility respectively," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 323-333.
    6. Ju, Chunhua & Fang, Xusheng & Shen, Zhonghua, 2024. "Investor attention and corporate financialization: Evidence from internet search volume," International Review of Financial Analysis, Elsevier, vol. 96(PA).
    7. Yaling Li & Ronghua Luo & Kailing Shen, 2024. "Information Acquisition and Individual Investors’ Trading Behavior," ANU Working Papers in Economics and Econometrics 2024-698, Australian National University, College of Business and Economics, School of Economics.
    8. Bagher ASGARNEZHAD NOURI & Samira MOTAMEDI & Milad SOLTANI, 2017. "Empirical Analysis Of The Financial Behavior Of Investors With Brand Approach (Case Study: Tehran Stock Exchange)," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 64(1), pages 97-121, March.
    9. Afees A. Salisu & Ahamuefula E. Ogbonna & Idris Adediran, 2021. "Stock‐induced Google trends and the predictability of sectoral stock returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 327-345, March.
    10. He, Feng & Yan, Yulin & Hao, Jing & Wu, Ji (George), 2022. "Retail investor attention and corporate green innovation: Evidence from China," Energy Economics, Elsevier, vol. 115(C).
    11. Wei Zhang & Kai Yan & Dehua Shen, 2021. "Can the Baidu Index predict realized volatility in the Chinese stock market?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
    12. Yajie Qi & Huajiao Li & Sui Guo & Sida Feng, 2019. "Dynamic Transmission of Correlation between Investor Attention and Stock Price: Evidence from China’s Energy Industry Typical Stocks," Complexity, Hindawi, vol. 2019, pages 1-15, December.
    13. Tang, Chun & Yang, Guangyi & Liu, Xiaoxing, 2024. "Risk spillover within the carbon-energy system – New evidence considering China's national carbon market," Economic Analysis and Policy, Elsevier, vol. 81(C), pages 1227-1240.
    14. He, Feng & Qin, Shuqi & Zhang, Xiaotao, 2021. "Investor attention and platform interest rate in Chinese peer-to-peer lending market," Finance Research Letters, Elsevier, vol. 39(C).
    15. Li, Changgui & Liu, Xiaowen & Hou, Zhiping & Li, Yongyi, 2023. "Retail investor attention and equity mispricing: The mediating role of earnings management," Finance Research Letters, Elsevier, vol. 53(C).
    16. Dunbar, Kwamie & Treku, Daniel N., 2024. "Examining the impact of a central bank digital currency on the access to banking," International Review of Financial Analysis, Elsevier, vol. 93(C).
    17. Cai, Wenwu & Lu, Jing, 2019. "Investors’ financial attention frequency and trading activity," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
    18. Dutta, Anupam & Park, Donghyun & Uddin, Gazi Salah & Kanjilal, Kakali & Ghosh, Sajal, 2024. "Do dirty and clean energy investments react to infectious disease-induced uncertainty?," Technological Forecasting and Social Change, Elsevier, vol. 205(C).
    19. Zhang, Yunhan & Li, Yan & Zhao, Wanli & Ji, Qiang, 2024. "Climate risk performance and returns integration of Chinese listed energy companies," Energy Economics, Elsevier, vol. 129(C).
    20. Wen, Fenghua & Xu, Longhao & Ouyang, Guangda & Kou, Gang, 2019. "Retail investor attention and stock price crash risk: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 65(C).
    21. Weihan Zhao & Jianing Zhang, 2024. "Investor Attention and Stock Liquidity in the Chinese Market," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 30(1), pages 65-82, February.
    22. Gang Chu & John W. Goodell & Dehua Shen & Yongjie Zhang, 2022. "Machine learning to establish proxies for investor attention: evidence of improved stock-return prediction," Annals of Operations Research, Springer, vol. 318(1), pages 103-128, November.
    23. Dingzu Zhang & Luqi Liu, 2022. "Does ESG Performance Enhance Financial Flexibility? Evidence from China," Sustainability, MDPI, vol. 14(18), pages 1-22, September.
    24. Nicholas Apergis & Tasawar Hayat & Tareq Saeed, 2019. "The Role of Happiness in Financial Decisions: Evidence from Financial Portfolio Choice and Five European Countries," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 47(3), pages 343-360, September.
    25. Wan, Daoxia & Xue, Rui & Linnenluecke, Martina & Tian, Jinfang & Shan, Yuli, 2021. "The impact of investor attention during COVID-19 on investment in clean energy versus fossil fuel firms," Finance Research Letters, Elsevier, vol. 43(C).
    26. Jingjian, Si & Xiangyun, Gao & Jinsheng, Zhou & Anjian, Wang & Xiaotian, Sun & Yiran, Zhao & Hongyu, Wei, 2023. "The impact of oil price shocks on energy stocks from the perspective of investor attention," Energy, Elsevier, vol. 278(PB).
    27. Lan Yi & Jianping Tao & Zhongkun Zhu & Caifeng Tan & Le Qi, 2019. "Food Safety Incident, Public Health Concern, and Risk Spillover Heterogeneity: Avian Influenza Shocks as Natural Experiments in China’s Consumer Markets," IJERPH, MDPI, vol. 16(21), pages 1-30, October.
    28. Wang, Hanjie & Feil, Jan-Henning & Yu, Xiaohua, 2021. "Disagreement on sunspots and soybeans futures price," Economic Modelling, Elsevier, vol. 95(C), pages 385-393.
    29. Yuan, Ying & Fan, Xiaoqian & Li, Yiou, 2022. "Do local and non-local retail investor attention impact stock returns differently?," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
    30. Liu, Xufeng & Wan, Die, 2022. "Asymmetric positive feedback trading and stock pricing in China," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    31. Chen, Zhongdong & Craig, Karen Ann, 2023. "Active attention, retail investor base, and stock returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
    32. Cheng, Feiyang & Chiao, Chaoshin & Wang, Chunfeng & Fang, Zhenming & Yao, Shouyu, 2021. "Does retail investor attention improve stock liquidity? A dynamic perspective," Economic Modelling, Elsevier, vol. 94(C), pages 170-183.
    33. Wei Zhang & Pengfei Wang, 2020. "Investor attention and the pricing of cryptocurrency market," Evolutionary and Institutional Economics Review, Springer, vol. 17(2), pages 445-468, July.
    34. Deng, Chao & Zhou, Xiaoying & Peng, Cheng & Zhu, Huiming, 2022. "Going green: Insight from asymmetric risk spillover between investor attention and pro-environmental investment," Finance Research Letters, Elsevier, vol. 47(PA).
    35. Su, Fei & Wang, Xinyi, 2021. "Investor co-attention and stock return co-movement: Evidence from China’s A-share stock market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    36. Wu, Xiang & Zhang, Bing, 2024. "Retail investors’ escaping from the bottom and clustering at the top of the trend in China," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 875-904.
    37. Narayan, Paresh Kumar & Bannigidadmath, Deepa, 2017. "Does Financial News Predict Stock Returns? New Evidence from Islamic and Non-Islamic Stocks," Pacific-Basin Finance Journal, Elsevier, vol. 42(C), pages 24-45.

  93. Wang, Yudong & Liu, Li & Diao, Xundi & Wu, Chongfeng, 2015. "Forecasting the real prices of crude oil under economic and statistical constraints," Energy Economics, Elsevier, vol. 51(C), pages 599-608.

    Cited by:

    1. Qingxiang Han & Mengxi He & Yaojie Zhang & Muhammad Umar, 2023. "Default return spread: A powerful predictor of crude oil price returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1786-1804, November.
    2. Li, Jingjing & Tang, Ling & Wang, Shouyang, 2020. "Forecasting crude oil price with multilingual search engine data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
    3. Wen, Danyan & Liu, Li & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market returns: Enhanced moving average technical indicators," Resources Policy, Elsevier, vol. 76(C).
    4. Funk, Christoph, 2018. "Forecasting the real price of oil - Time-variation and forecast combination," Energy Economics, Elsevier, vol. 76(C), pages 288-302.
    5. Phan, Dinh Hoang Bach & Narayan, Paresh Kumar & Gong, Qiang, 2021. "Terrorist attacks and oil prices: Hypothesis and empirical evidence," International Review of Financial Analysis, Elsevier, vol. 74(C).
    6. Conlon, Thomas & Cotter, John & Eyiah-Donkor, Emmanuel, 2024. "Forecasting the price of oil: A cautionary note," Journal of Commodity Markets, Elsevier, vol. 33(C).
    7. Zhang, Yue-Jun & Chevallier, Julien & Guesmi, Khaled, 2017. "“De-financialization” of commodities? Evidence from stock, crude oil and natural gas markets," Energy Economics, Elsevier, vol. 68(C), pages 228-239.
    8. Yi, Yongsheng & Ma, Feng & Zhang, Yaojie & Huang, Dengshi, 2018. "Forecasting the prices of crude oil using the predictor, economic and combined constraints," Economic Modelling, Elsevier, vol. 75(C), pages 237-245.
    9. Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso, 2017. "Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers," Papers 1704.04442, arXiv.org.
    10. Gong, Xu & Lin, Boqiang, 2018. "Time-varying effects of oil supply and demand shocks on China's macro-economy," Energy, Elsevier, vol. 149(C), pages 424-437.
    11. Gritli, Mohamed Ilyes & Charfi, Fatma Marrakchi, 2023. "The determinants of oil consumption in Tunisia: Fresh evidence from NARDL approach and asymmetric causality test," Energy, Elsevier, vol. 284(C).
    12. Chen, Xiaoqi & Gong, Xu & Yang, Zhonghuang, 2021. "Media report favoritism and consequences: A comparison of traditional and new energy sector," Energy Economics, Elsevier, vol. 104(C).
    13. Li, Jinchao & Zhu, Shaowen & Wu, Qianqian, 2019. "Monthly crude oil spot price forecasting using variational mode decomposition," Energy Economics, Elsevier, vol. 83(C), pages 240-253.
    14. Pierluigi Vellucci, 2021. "A critique of financial neoliberalism: a perspective combining multidisciplinary methods and commodity markets," SN Business & Economics, Springer, vol. 1(3), pages 1-11, March.
    15. Zhang, Yaojie & Ma, Feng & Wang, Yudong, 2019. "Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors?," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 97-117.
    16. He, Mengxi & Zhang, Yaojie & Wen, Danyan & Wang, Yudong, 2021. "Forecasting crude oil prices: A scaled PCA approach," Energy Economics, Elsevier, vol. 97(C).
    17. Guan, Keqin & Gong, Xu, 2023. "A new hybrid deep learning model for monthly oil prices forecasting," Energy Economics, Elsevier, vol. 128(C).
    18. Lan Bai & Xiafei Li & Yu Wei & Guiwu Wei, 2022. "Does crude oil futures price really help to predict spot oil price? New evidence from density forecasting," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3694-3712, July.
    19. Liu, Li & Wang, Yudong & Yang, Li, 2018. "Predictability of crude oil prices: An investor perspective," Energy Economics, Elsevier, vol. 75(C), pages 193-205.
    20. Jian Chai & Youhong Zhou & Ting Liang & Limin Xing & Kin Keung Lai, 2016. "Impact of International Oil Price on Energy Conservation and Emission Reduction in China," Sustainability, MDPI, vol. 8(6), pages 1-17, May.
    21. Korotin, Vladimir & Dolgonosov, Maxim & Popov, Victor & Korotina, Olesya & Korolkova, Inna, 2019. "The Ukrainian crisis, economic sanctions, oil shock and commodity currency: Analysis based on EMD approach," Research in International Business and Finance, Elsevier, vol. 48(C), pages 156-168.
    22. Wang, Yudong & Hao, Xianfeng, 2023. "Forecasting the real prices of crude oil: What is the role of parameter instability?," Energy Economics, Elsevier, vol. 117(C).
    23. Ding, Yishan, 2018. "A novel decompose-ensemble methodology with AIC-ANN approach for crude oil forecasting," Energy, Elsevier, vol. 154(C), pages 328-336.
    24. Chai, Jian & Lu, Quanying & Hu, Yi & Wang, Shouyang & Lai, Kin Keung & Liu, Hongtao, 2018. "Analysis and Bayes statistical probability inference of crude oil price change point," Technological Forecasting and Social Change, Elsevier, vol. 126(C), pages 271-283.
    25. Xing, Li-Min & Zhang, Yue-Jun, 2022. "Forecasting crude oil prices with shrinkage methods: Can nonconvex penalty and Huber loss help?," Energy Economics, Elsevier, vol. 110(C).
    26. Zhang, Yue-Jun & Wang, Jin-Li, 2019. "Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models," Energy Economics, Elsevier, vol. 78(C), pages 192-201.
    27. Hao, Xianfeng & Zhao, Yuyang & Wang, Yudong, 2020. "Forecasting the real prices of crude oil using robust regression models with regularization constraints," Energy Economics, Elsevier, vol. 86(C).
    28. Guo, Jingjun & Zhao, Zhengling & Sun, Jingyun & Sun, Shaolong, 2022. "Multi-perspective crude oil price forecasting with a new decomposition-ensemble framework," Resources Policy, Elsevier, vol. 77(C).
    29. Nima Nonejad, 2024. "Point forecasts of the price of crude oil: an attempt to “beat” the end-of-month random-walk benchmark," Empirical Economics, Springer, vol. 67(4), pages 1497-1539, October.
    30. Duangnate, Kannika & Mjelde, James W., 2017. "Comparison of data-rich and small-scale data time series models generating probabilistic forecasts: An application to U.S. natural gas gross withdrawals," Energy Economics, Elsevier, vol. 65(C), pages 411-423.
    31. Mensi, Walid & Rehman, Mobeen Ur & Maitra, Debasish & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh, 2021. "Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain," Resources Policy, Elsevier, vol. 72(C).
    32. You, Wanhai & Guo, Yawei & Zhu, Huiming & Tang, Yong, 2017. "Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression," Energy Economics, Elsevier, vol. 68(C), pages 1-18.
    33. F. Benedetto & L. Mastroeni & P. Vellucci, 2021. "Modeling the flow of information between financial time-series by an entropy-based approach," Annals of Operations Research, Springer, vol. 299(1), pages 1235-1252, April.
    34. Guo, Yawei & Li, Jianping & Li, Yehua & You, Wanhai, 2021. "The roles of political risk and crude oil in stock market based on quantile cointegration approach: A comparative study in China and US," Energy Economics, Elsevier, vol. 97(C).
    35. Wen, Danyan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2024. "Forecasting crude oil market volatility: A comprehensive look at uncertainty variables," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1022-1041.
    36. Zhang, Yaojie & Ma, Feng & Shi, Benshan & Huang, Dengshi, 2018. "Forecasting the prices of crude oil: An iterated combination approach," Energy Economics, Elsevier, vol. 70(C), pages 472-483.
    37. Wei, Yanfeng, 2019. "Oil price shocks, economic policy uncertainty and China’s trade: A quantitative structural analysis," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 20-31.
    38. Cortazar, Gonzalo & Ortega, Hector & Valencia, Consuelo, 2021. "How good are analyst forecasts of oil prices?," Energy Economics, Elsevier, vol. 102(C).
    39. Krzysztof Drachal, 2018. "Some Novel Bayesian Model Combination Schemes: An Application to Commodities Prices," Sustainability, MDPI, vol. 10(8), pages 1-27, August.

  94. Wang, Yudong & Zhang, Bing & Diao, Xundi & Wu, Chongfeng, 2015. "Commodity price changes and the predictability of economic policy uncertainty," Economics Letters, Elsevier, vol. 127(C), pages 39-42.

    Cited by:

    1. Shahzad, Syed Jawad Hussain & Raza, Naveed & Balcilar, Mehmet & Ali, Sajid & Shahbaz, Muhammad, 2017. "Can economic policy uncertainty and investors sentiment predict commodities returns and volatility?," Resources Policy, Elsevier, vol. 53(C), pages 208-218.
    2. Stavros Degiannakis & George Filis, 2019. "Forecasting European economic policy uncertainty," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(1), pages 94-114, February.
    3. Raza, Syed Ali & Masood, Amna & Benkraiem, Ramzi & Urom, Christian, 2023. "Forecasting the volatility of precious metals prices with global economic policy uncertainty in pre and during the COVID-19 period: Novel evidence from the GARCH-MIDAS approach," Energy Economics, Elsevier, vol. 120(C).
    4. Mokni, Khaled & Al-Shboul, Mohammed & Assaf, Ata, 2021. "Economic policy uncertainty and dynamic spillover among precious metals under market conditions: Does COVID-19 have any effects?," Resources Policy, Elsevier, vol. 74(C).
    5. Zhuo Huang & Fang Liang & Chen Tong, 2021. "The predictive power of macroeconomic uncertainty for commodity futures volatility," International Review of Finance, International Review of Finance Ltd., vol. 21(3), pages 989-1012, September.
    6. Chen, Wen-Yi & Chen, Mei-Ping, 2022. "Twitter’s daily happiness sentiment, economic policy uncertainty, and stock index fluctuations," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    7. Farid, Saqib & Zafar, Quratulain, 2024. "Impact of economic policy uncertainty on global carbon emissions," Research in Economics, Elsevier, vol. 78(2).
    8. Huang, Jianbai & Li, Yingli & Zhang, Hongwei & Chen, Jinyu, 2021. "The effects of uncertainty measures on commodity prices from a time-varying perspective," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 100-114.
    9. Oliyide, Johnson A. & Adekoya, Oluwasegun B. & Khan, Muhammad A., 2021. "Economic policy uncertainty and the volatility connectedness between oil shocks and metal market: An extension," International Economics, Elsevier, vol. 167(C), pages 136-150.
    10. Keddad, Benjamin, 2024. "Asian stock market volatility and economic policy uncertainty: The role of world and regional leaders," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    11. Aslam, Faheem & Zil-e-huma, & Bibi, Rashida & Ferreira, Paulo, 2022. "Cross-correlations between economic policy uncertainty and precious and industrial metals: A multifractal cross-correlation analysis," Resources Policy, Elsevier, vol. 75(C).
    12. Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2021. "Commodity futures returns and policy uncertainty," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 364-383.
    13. Badshah, Ihsan & Demirer, Riza & Suleman, Muhammad Tahir, 2019. "The effect of economic policy uncertainty on stock-commodity correlations and its implications on optimal hedging," Energy Economics, Elsevier, vol. 84(C).
    14. Li, Tao & Ma, Feng & Zhang, Xuehua & Zhang, Yaojie, 2020. "Economic policy uncertainty and the Chinese stock market volatility: Novel evidence," Economic Modelling, Elsevier, vol. 87(C), pages 24-33.
    15. Syed Jawad Hussain Shahzad & Rangan Gupta & Riza Demirer & Christian Pierdzioch, 2022. "Oil shocks and directional predictability of macroeconomic uncertainties of developed economies: Evidence from high‐frequency data†," Scottish Journal of Political Economy, Scottish Economic Society, vol. 69(2), pages 169-185, May.
    16. Song, Lu & Tian, Gengyu & Jiang, Yonghong, 2022. "Connectedness of commodity, exchange rate and categorical economic policy uncertainties — Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    17. Hedi Ben Haddad & Imed Mezghani & Abdessalem Gouider, 2021. "The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties," Economies, MDPI, vol. 9(2), pages 1-22, June.
    18. Liu, Yang & Han, Liyan & Xu, Yang, 2021. "The impact of geopolitical uncertainty on energy volatility," International Review of Financial Analysis, Elsevier, vol. 75(C).
    19. Jing Yuan & Yajing Dong & Weijie Zhai & Zongwu Cai, 2021. "Economic Policy Uncertainty: Cross-Country Linkages and Spillover Effects on Economic Development in Some Belt and Road Countries," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202110, University of Kansas, Department of Economics, revised Nov 2021.
    20. Yilanci, Veli & Kilci, Esra N., 2021. "The role of economic policy uncertainty and geopolitical risk in predicting prices of precious metals: Evidence from a time-varying bootstrap causality test," Resources Policy, Elsevier, vol. 72(C).
    21. Gupta, Rangan & Sun, Xiaojin, 2020. "Forecasting economic policy uncertainty of BRIC countries using Bayesian VARs," Economics Letters, Elsevier, vol. 186(C).
    22. Ahmed, Maruf Yakubu & Sarkodie, Samuel Asumadu, 2021. "COVID-19 pandemic and economic policy uncertainty regimes affect commodity market volatility," Resources Policy, Elsevier, vol. 74(C).
    23. Smimou, K. & Bosch, D. & Filbeck, G., 2024. "Commodities and Policy Uncertainty Channel(s)," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 351-379.
    24. Zeng, Qing & Lu, Xinjie & Dong, Dayong & Li, Pan, 2022. "Category-specific EPU indices, macroeconomic variables and stock market return predictability," International Review of Financial Analysis, Elsevier, vol. 84(C).
    25. Helseth, Marius Aleksander Emblem & Krakstad, Svein Olav & Molnár, Peter & Norlin, Karl-Martin, 2020. "Can policy and financial risk predict stock markets?," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 701-719.
    26. McIver, Ron P. & Kang, Sang Hoon, 2020. "Financial crises and the dynamics of the spillovers between the U.S. and BRICS stock markets," Research in International Business and Finance, Elsevier, vol. 54(C).
    27. Khadka, Savin & Gopinath, Munisamy & Batarseh, Feras A., 2022. "Anomalies and Recoveries in Agricultural Trade," Commissioned Papers 329520, International Agricultural Trade Research Consortium.
    28. Zhang, Dayong & Lei, Lei & Ji, Qiang & Kutan, Ali M., 2019. "Economic policy uncertainty in the US and China and their impact on the global markets," Economic Modelling, Elsevier, vol. 79(C), pages 47-56.
    29. Yonghong Jiang & Gengyu Tian & Yiqi Wu & Bin Mo, 2022. "Impacts of geopolitical risks and economic policy uncertainty on Chinese tourism‐listed company stock," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 320-333, January.
    30. Yang Liu & Liyan Han & Libo Yin, 2018. "Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(10), pages 1246-1261, October.
    31. Afees A. Salisu & Rangan Gupta & Elie Bouri, 2022. "Testing the Forecasting Power of Global Economic Conditions for the Volatility of International REITs using a GARCH-MIDAS Approach," Working Papers 202211, University of Pretoria, Department of Economics.
    32. Cao, Zhen & Han, Liyan & Wei, Xinbei & Zhang, Qunzi, 2022. "Fear in commodity return prediction," Finance Research Letters, Elsevier, vol. 46(PB).
    33. Chen, Ying & Zhu, Xuehong & Li, Hailing, 2022. "The asymmetric effects of oil price shocks and uncertainty on non-ferrous metal market: Based on quantile regression," Energy, Elsevier, vol. 246(C).
    34. Walid Bahloul & Mehmet Balcilar & Juncal Cunado & Rangan Gupta, 2017. "The Role of Economic and Financial Uncertainties in Predicting Commodity Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Test," Working Papers 201725, University of Pretoria, Department of Economics.
    35. Fameliti Stavroula & Skintzi Vasiliki, 2024. "Macroeconomic attention and commodity market volatility," Empirical Economics, Springer, vol. 67(5), pages 1967-2007, November.
    36. Sercan Demiralay & Erhan Kilincarslan, 2024. "Uncertainty Measures and Sector-Specific REITs in a Regime-Switching Environment," The Journal of Real Estate Finance and Economics, Springer, vol. 69(3), pages 545-584, October.
    37. Díaz, Juan D. & Hansen, Erwin & Cabrera, Gabriel, 2021. "Economic drivers of commodity volatility: The case of copper," Resources Policy, Elsevier, vol. 73(C).
    38. Sun, Ting-Ting & Su, Chi-Wei & Mirza, Nawazish & Umar, Muhammad, 2021. "How does trade policy uncertainty affect agriculture commodity prices?," Pacific-Basin Finance Journal, Elsevier, vol. 66(C).
    39. Xin Cui & Shouyu Yao & Zhenming Fang & Hua Wang, 2021. "Economic policy uncertainty exposure and earnings management: evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 3937-3976, September.
    40. Lien, Donald & Zhang, Jiewen & Yu, Xiaojian, 2022. "Effects of economic policy uncertainty: A regime switching connectedness approach," Economic Modelling, Elsevier, vol. 113(C).
    41. Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna, 2020. "Point and Density Forecasting of Macroeconomic and Financial Uncertainties of the United States," Working Papers 202058, University of Pretoria, Department of Economics.
    42. Chen, Jinyu & Huang, Yuxin & Ren, Xiaohang & Qu, Jingxiao, 2022. "Time-varying spillovers between trade policy uncertainty and precious metal markets: Evidence from China-US trade conflict," Resources Policy, Elsevier, vol. 76(C).
    43. Reboredo, Juan C. & Uddin, Gazi Salah, 2016. "Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 284-298.
    44. Godil, Danish Iqbal & Sarwat, Salman & Sharif, Arshian & Jermsittiparsert, Kittisak, 2020. "How oil prices, gold prices, uncertainty and risk impact Islamic and conventional stocks? Empirical evidence from QARDL technique," Resources Policy, Elsevier, vol. 66(C).
    45. Awasthi, Kritika & Ahmad, Wasim & Rahman, Abdul & Phani, B.V., 2020. "When US sneezes, clichés spread: How do the commodity index funds react then?," Resources Policy, Elsevier, vol. 69(C).
    46. Liu, Li & Zhang, Tao, 2015. "Economic policy uncertainty and stock market volatility," Finance Research Letters, Elsevier, vol. 15(C), pages 99-105.
    47. Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna, 2021. "Point and density forecasting of macroeconomic and financial uncertainties of the USA," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 700-707, July.
    48. Rehman, Mobeen Ur & Sensoy, Ahmet & Eraslan, Veysel & Shahzad, Syed Jawad Hussain & Vo, Xuan Vinh, 2021. "Sensitivity of US equity returns to economic policy uncertainty and investor sentiments," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    49. Arunava Bandyopadhyay & Prabina Rajib, 2023. "The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 858-879, July.
    50. Drachal, Krzysztof, 2018. "Comparison between Bayesian and information-theoretic model averaging: Fossil fuels prices example," Energy Economics, Elsevier, vol. 74(C), pages 208-251.
    51. Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Tran, Vuong Thao, 2018. "Can economic policy uncertainty predict stock returns? Global evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 134-150.
    52. Zhang, Yongji & Liu, Lingxi & Lan, Minghui & Su, Zhi & Wang, Ke, 2024. "Climate change and economic policy uncertainty: Evidence from major countries around the world," Economic Analysis and Policy, Elsevier, vol. 81(C), pages 1045-1060.
    53. Jiang, Yonghong & Ao, Zhiming & Mo, Bin, 2023. "The risk spillover between China’s economic policy uncertainty and commodity markets: Evidence from frequency spillover and quantile connectedness approaches," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    54. Ribeiro Scarcioffolo, Alexandre & Etienne, Xiaoli L., 2018. "Does Economic Policy Uncertainty Affect Energy Market Volatility and Vice-Versa?," 2018 Annual Meeting, August 5-7, Washington, D.C. 273976, Agricultural and Applied Economics Association.
    55. Yao, Can-Zhong & Sun, Bo-Yi, 2018. "The study on the tail dependence structure between the economic policy uncertainty and several financial markets," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 245-265.
    56. Tsai, I-Chun, 2017. "The source of global stock market risk: A viewpoint of economic policy uncertainty," Economic Modelling, Elsevier, vol. 60(C), pages 122-131.
    57. Batabyal, Sourav & Killins, Robert, 2021. "Economic policy uncertainty and stock market returns: Evidence from Canada," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).

  95. Liu, Li & Wang, Yudong, 2014. "Cross-correlations between spot and futures markets of nonferrous metals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 20-30.

    Cited by:

    1. Baumöhl, Eduard & Kočenda, Evžen & Lyócsa, Štefan & Výrost, Tomáš, 2018. "Networks of volatility spillovers among stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1555-1574.
    2. Miśkiewicz, Janusz & Tadla, Adrian & Trela, Zenon, 2019. "Does the monetary policy influenced cross-correlations on the main world stocks markets? Power Law Classification Scheme analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 519(C), pages 72-81.
    3. Zhang, Tao & Ma, Guofeng & Liu, Guangsheng, 2015. "Nonlinear joint dynamics between prices of crude oil and refined products," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 444-456.
    4. Wei, Yu & Bai, Lan & Li, Xiafei, 2022. "Normal and extreme interactions among nonferrous metal futures: A new quantile-frequency connectedness approach," Finance Research Letters, Elsevier, vol. 47(PB).
    5. Liu, Xueyong & An, Haizhong & Li, Huajiao & Chen, Zhihua & Feng, Sida & Wen, Shaobo, 2017. "Features of spillover networks in international financial markets: Evidence from the G20 countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 265-278.
    6. Ruan, Qingsong & Wang, Yao & Lu, Xinsheng & Qin, Jing, 2016. "Cross-correlations between Baltic Dry Index and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 278-289.
    7. Tsuji, Chikashi, 2018. "Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses," Economic Modelling, Elsevier, vol. 74(C), pages 167-185.
    8. Tsuji, Chikashi, 2018. "New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries," Applied Energy, Elsevier, vol. 229(C), pages 1202-1217.
    9. Yu, Hui & Ding, Yinghui & Sun, Qingru & Gao, Xiangyun & Jia, Xiaoliang & Wang, Xinya & Guo, Sui, 2021. "Multi-scale comovement of the dynamic correlations between copper futures and spot prices," Resources Policy, Elsevier, vol. 70(C).
    10. Zhu, Yongguang & Xu, Deyi & Cheng, Jinhua & Ali, Saleem Hassan, 2018. "Estimating the impact of China's export policy on tin prices: a mode decomposition counterfactual analysis method," Resources Policy, Elsevier, vol. 59(C), pages 250-264.
    11. Liu, Li & Ma, Guofeng, 2014. "Cross-correlation between crude oil and refined product prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 284-293.

  96. Wang, Yudong & Wu, Chongfeng & Yang, Li, 2014. "Oil price shocks and agricultural commodity prices," Energy Economics, Elsevier, vol. 44(C), pages 22-35.

    Cited by:

    1. Lee, Chi-Chuan & Lee, Chien-Chiang & Ning, Shao-Lin, 2017. "Dynamic relationship of oil price shocks and country risks," Energy Economics, Elsevier, vol. 66(C), pages 571-581.
    2. Jen-Yu Lee & Tien-Thinh Nguyen & Hong-Giang Nguyen & Jen-Yao Lee, 2022. "Towards Predictive Crude Oil Purchase: A Case Study in the USA and Europe," Energies, MDPI, vol. 15(11), pages 1-15, May.
    3. Anthony N. Rezitis & Gregor Kastner, 2021. "On the joint volatility dynamics in dairy markets," Papers 2104.12707, arXiv.org.
    4. Zhang, Zhikai & Wang, Yudong & Xiao, Jihong & Zhang, Yaojie, 2023. "Not all geopolitical shocks are alike: Identifying price dynamics in the crude oil market under tensions," Resources Policy, Elsevier, vol. 80(C).
    5. Jiang, Yonghong & Jiang, Cheng & Nie, He & Mo, Bin, 2019. "The time-varying linkages between global oil market and China's commodity sectors: Evidence from DCC-GJR-GARCH analyses," Energy, Elsevier, vol. 166(C), pages 577-586.
    6. Yoon, Seong-Min, 2022. "On the interdependence between biofuel, fossil fuel and agricultural food prices: Evidence from quantile tests," Renewable Energy, Elsevier, vol. 199(C), pages 536-545.
    7. Wu, Bi-Bo, 2021. "The dynamics of oil on China’s commodity sectors: What can we learn from a quantile perspective?," Journal of Commodity Markets, Elsevier, vol. 23(C).
    8. Sungjun Cho & Chanaka N. Ganepola & Ian Garrett, 2019. "An analysis of illiquidity in commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(8), pages 962-984, August.
    9. Pick Schen Yip & Robert Brooks & Hung Xuan Do & Duc Khuong Nguyen, 2019. "Dynamic Volatility Spillover Effect between Oil and Agricultural Products," Working Papers 2019-009, Department of Research, Ipag Business School.
    10. Aharon, David Y. & Azman Aziz, Mukhriz Izraf & Kallir, Ido, 2023. "Oil price shocks and inflation: A cross-national examination in the ASEAN5+3 countries," Resources Policy, Elsevier, vol. 82(C).
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    134. Liu, Renren & Chen, Jianzhong & Wen, Fenghua, 2021. "The nonlinear effect of oil price shocks on financial stress: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    135. Wang, Qizhen & Zhu, Yingming & Wang, Yudong, 2017. "The effects of oil shocks on export duration of China," Energy, Elsevier, vol. 125(C), pages 55-61.
    136. Peter ARENDAS, 2017. "The Halloween effect on the agricultural commodities markets," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 63(10), pages 441-448.
    137. Klein, Tony & Walther, Thomas, 2016. "Oil price volatility forecast with mixture memory GARCH," Energy Economics, Elsevier, vol. 58(C), pages 46-58.

  97. Pan, Zhiyuan & Wang, Yudong & Yang, Li, 2014. "Hedging crude oil using refined product: A regime switching asymmetric DCC approach," Energy Economics, Elsevier, vol. 46(C), pages 472-484.

    Cited by:

    1. Amine Ben Amar & Amir Hasnaoui & Nabil Boubrahimi & Ilham Dkhissi & Makram Bellalah, 2024. "Deciphering volatility spillovers amidst crises: analyzing the interplay among commodities, equities and socially responsible investments during the COVID-19 shock and financial turbulence," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 25(4), pages 629-645, May.
    2. Lee, Hsiang-Tai, 2022. "Regime-switching angular correlation diversification," Finance Research Letters, Elsevier, vol. 50(C).
    3. Huang, Yi & Yi, Qun & Kang, Jing-Xian & Zhang, Ya-Gang & Li, Wen-Ying & Feng, Jie & Xie, Ke-Chang, 2019. "Investigation and optimization analysis on deployment of China coal chemical industry under carbon emission constraints," Applied Energy, Elsevier, vol. 254(C).
    4. Zhu, Pengfei & Lu, Tuantuan & Chen, Shenglan, 2022. "How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
    5. Mariagrazia Fallanca & Antonio Fabio Forgione & Edoardo Otranto, 2021. "Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach," JRFM, MDPI, vol. 14(1), pages 1-15, January.
    6. Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2018. "Markov switching GARCH models for Bayesian hedging on energy futures markets," Energy Economics, Elsevier, vol. 70(C), pages 545-562.
    7. Bai, Xiwen & Kavussanos, Manolis G., 2022. "Hedging IMO2020 compliant fuel price exposure using futures contracts," Energy Economics, Elsevier, vol. 110(C).
    8. Yousaf, Imran & Arfaoui, Nadia & Gubareva, Mariya, 2024. "Spillovers and hedging effectiveness between oil and US equity sectors: Evidence from the COVID pre- and post-vaccination phases," Research in International Business and Finance, Elsevier, vol. 69(C).
    9. Arfaoui, Nadia & Yousaf, Imran & Jareño, Francisco, 2023. "Return and volatility connectedness between gold and energy markets: Evidence from the pre- and post-COVID vaccination phases," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 617-634.
    10. Shrestha, Keshab & Subramaniam, Ravichandran & Peranginangin, Yessy & Philip, Sheena Sara Suresh, 2018. "Quantile hedge ratio for energy markets," Energy Economics, Elsevier, vol. 71(C), pages 253-272.
    11. Akhtaruzzaman, Md & Boubaker, Sabri & Lucey, Brian M. & Sensoy, Ahmet, 2021. "Is gold a hedge or a safe-haven asset in the COVID–19 crisis?," Economic Modelling, Elsevier, vol. 102(C).
    12. Imran Yousaf & Elie Bouri & Shoaib Ali & Nehme Azoury, 2021. "Gold against Asian Stock Markets during the COVID-19 Outbreak," JRFM, MDPI, vol. 14(4), pages 1-23, April.
    13. Ben Amar, Amine & Bouattour, Mondher & Bellalah, Makram & Goutte, Stéphane, 2023. "Shift contagion and minimum causal intensity portfolio during the COVID-19 and the ongoing Russia-Ukraine conflict," Finance Research Letters, Elsevier, vol. 55(PA).
    14. Billah, Mabruk & Amar, Amine Ben & Balli, Faruk, 2023. "The extreme return connectedness between Sukuk and green bonds and their determinants and consequences for investors," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    15. Xianling Ren & Xinping Yu, 2024. "Hedging performance analysis of energy markets: Evidence from copula quantile regression," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(3), pages 432-450, March.
    16. Čech, František & Zítek, Michal, 2022. "Marine fuel hedging under the sulfur cap regulations," Energy Economics, Elsevier, vol. 113(C).
    17. Chkili, Walid, 2016. "Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries," Research in International Business and Finance, Elsevier, vol. 38(C), pages 22-34.
    18. Syed Abul, Basher & Perry, Sadorsky, 2015. "Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH," MPRA Paper 68231, University Library of Munich, Germany.
    19. Zhang, Yueling & Li, Junjie & Yang, Xiaoxiao, 2021. "Comprehensive competitiveness assessment of four coal-to-liquid routes and conventional oil refining route in China," Energy, Elsevier, vol. 235(C).
    20. Donald Lien & Hsiang‐Tai Lee & Her‐Jiun Sheu, 2018. "Hedging systematic risk in the commodity market with a regime‐switching multivariate rotated generalized autoregressive conditional heteroskedasticity model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(12), pages 1514-1532, December.
    21. Hsiang‐Tai Lee, 2022. "A Markov regime‐switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 389-412, March.
    22. Chai, Shanglei & Zhou, P., 2018. "The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems," Energy Economics, Elsevier, vol. 76(C), pages 64-75.
    23. Imran Yousaf & Shoaib Ali, 2020. "Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-18, December.
    24. Tariq Aziz & Ranjeeta Sadhwani & Ume Habibah & Mazin A. M. Al Janabi, 2020. "Volatility Spillover Among Equity and Commodity Markets," SAGE Open, , vol. 10(2), pages 21582440209, May.
    25. Akhtaruzzaman, Md & Banerjee, Ameet Kumar & Ghardallou, Wafa & Umar, Zaghum, 2022. "Is greenness an optimal hedge for sectoral stock indices?," Economic Modelling, Elsevier, vol. 117(C).
    26. Raza, Naveed & Ali, Sajid & Shahzad, Syed Jawad Hussain & Raza, Syed Ali, 2018. "Do commodities effectively hedge real estate risk? A multi-scale asymmetric DCC approach," Resources Policy, Elsevier, vol. 57(C), pages 10-29.
    27. Dark, Jonathan, 2024. "An adaptive long memory conditional correlation model," Journal of Empirical Finance, Elsevier, vol. 75(C).
    28. Jim Hanly, 2017. "Managing Energy Price Risk using Futures Contracts: A Comparative Analysis," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    29. Geng, Qianjie & Wang, Yudong, 2024. "Forecasting the volatility of crude oil basis: Univariate models versus multivariate models," Energy, Elsevier, vol. 295(C).
    30. Aleksander Olstad & George Filis & Stavros Degiannakis, 2021. "Oil and currency volatilities: Co‐movements and hedging opportunities," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2351-2374, April.
    31. John Cotter & Jim Hanly, 2014. "Performance of Utility Based Hedges," Working Papers 201404, Geary Institute, University College Dublin.
    32. Park, Jin Suk & Shi, Yukun, 2017. "Hedging and speculative pressures and the transition of the spot-futures relationship in energy and metal markets," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 176-191.
    33. Yuki Toyoshima & Shigeyuki Hamori, 2018. "Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets," Energies, MDPI, vol. 11(11), pages 1-18, October.
    34. Chen, Xiangyu & Tongurai, Jittima, 2021. "Cross-commodity hedging for illiquid futures: Evidence from China's base metal futures market," Global Finance Journal, Elsevier, vol. 49(C).
    35. Raza, Naveed & Ali, Sajid & Shahzad, Syed Jawad Hussain & Rehman, Mobeen Ur & Salman, Aneel, 2019. "Can alternative hedging assets add value to Islamic-conventional portfolio mix: Evidence from MGARCH models," Resources Policy, Elsevier, vol. 61(C), pages 210-230.
    36. Shrestha, Keshab & Subramaniam, Ravichandran & Rassiah, Puspavathy, 2017. "Pure martingale and joint normality tests for energy futures contracts," Energy Economics, Elsevier, vol. 63(C), pages 174-184.
    37. Indranil Ghosh & Manas K. Sanyal & R. K. Jana, 2021. "Co-movement and Dynamic Correlation of Financial and Energy Markets: An Integrated Framework of Nonlinear Dynamics, Wavelet Analysis and DCC-GARCH," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 503-527, February.
    38. Cui, Yan & Feng, Yun, 2020. "Composite hedge and utility maximization for optimal futures hedging," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 15-32.
    39. Néjib Hachicha & Amine Ben Amar & Ikrame Ben Slimane & Makram Bellalah & Jean-Luc Prigent, 2022. "Dynamic connectedness and optimal hedging strategy among commodities and financial indices," Post-Print hal-03745047, HAL.
    40. Lee, Hsiang-Tai & Lee, Chien-Chiang, 2022. "A regime-switching real-time copula GARCH model for optimal futures hedging," International Review of Financial Analysis, Elsevier, vol. 84(C).
    41. Wajdi Hamma & Ahmed Ghorbel & Anis Jarboui, 2021. "Hedging Islamic and conventional stock markets with other financial assets: comparison between competing DCC models on hedging effectiveness," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 179-199, May.
    42. Wen-Chung Hsu & Hsiang-Tai Lee, 2018. "Cross Hedging Stock Sector Risk with Index Futures by Considering the Global Equity Systematic Risk," IJFS, MDPI, vol. 6(2), pages 1-17, April.

  98. Yudong Wang & Chongfeng Wu, 2013. "Efficiency of Crude Oil Futures Markets: New Evidence from Multifractal Detrending Moving Average Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 42(4), pages 393-414, December.

    Cited by:

    1. Xin-Lan Fu & Xing-Lu Gao & Zheng Shan & Zhi-Qiang Jiang & Wei-Xing Zhou, 2018. "Multifractal characteristics and return predictability in the Chinese stock markets," Papers 1806.07604, arXiv.org.
    2. Wang, Yudong & Liu, Li & Ma, Feng & Wu, Chongfeng, 2016. "What the investors need to know about forecasting oil futures return volatility," Energy Economics, Elsevier, vol. 57(C), pages 128-139.
    3. Lu-Tao Zhao & Guan-Rong Zeng & Ling-Yun He & Ya Meng, 2020. "Forecasting Short-Term Oil Price with a Generalised Pattern Matching Model Based on Empirical Genetic Algorithm," Computational Economics, Springer;Society for Computational Economics, vol. 55(4), pages 1151-1169, April.
    4. Sensoy, Ahmet & Hacihasanoglu, Erk, 2014. "Time-varying long range dependence in energy futures markets," Energy Economics, Elsevier, vol. 46(C), pages 318-327.
    5. Zhou, Weijie & Wang, Zhengxin & Guo, Haiming, 2016. "Modelling volatility recurrence intervals in the Chinese commodity futures market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 514-525.
    6. Shahzad, Syed Jawad Hussain & Bouri, Elie & Kayani, Ghulam Mujtaba & Nasir, Rana Muhammad & Kristoufek, Ladislav, 2020. "Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
    7. Yang, Liansheng & Zhu, Yingming & Wang, Yudong, 2016. "Multifractal characterization of energy stocks in China: A multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 357-365.
    8. Zhang, Chen & Ni, Zhiwei & Ni, Liping & Li, Jingming & Zhou, Longfei, 2016. "Asymmetric multifractal detrending moving average analysis in time series of PM2.5 concentration," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 322-330.
    9. Chen, Yuwen & Zheng, Tingting, 2017. "Asymmetric joint multifractal analysis in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 10-19.
    10. Chen, Hongtao & Liu, Li & Li, Xiaolei, 2018. "The predictive content of CBOE crude oil volatility index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 837-850.
    11. Lean, Hooi Hooi & Smyth, Russell, 2014. "Testing for weak-form efficiency of Crude Palm Oil Spot and Futures Markets: New Evidence from a GARCH Unit Root Test with Multiple Structural Breaks," MPRA Paper 59121, University Library of Munich, Germany.
    12. Liu, Li & Wang, Yudong & Yang, Li, 2018. "Predictability of crude oil prices: An investor perspective," Energy Economics, Elsevier, vol. 75(C), pages 193-205.
    13. Milena Kojić & Petar Mitić & Marko Dimovski & Jelena Minović, 2021. "Multivariate Multifractal Detrending Moving Average Analysis of Air Pollutants," Mathematics, MDPI, vol. 9(7), pages 1-17, March.
    14. Naeem, Muhammad Abubakr & Farid, Saqib & Yousaf, Imran & Kang, Sang Hoon, 2023. "Asymmetric efficiency in petroleum markets before and during COVID-19," Resources Policy, Elsevier, vol. 86(PA).
    15. Tiwari, Aviral Kumar & Kumar, Satish & Pathak, Rajesh & Roubaud, David, 2019. "Testing the oil price efficiency using various measures of long-range dependence," Energy Economics, Elsevier, vol. 84(C).
    16. Wang, Yudong & Wu, Chongfeng & Yang, Li, 2016. "Forecasting crude oil market volatility: A Markov switching multifractal volatility approach," International Journal of Forecasting, Elsevier, vol. 32(1), pages 1-9.
    17. Wang, Lijun & An, Haizhong & Liu, Xiaojia & Huang, Xuan, 2016. "Selecting dynamic moving average trading rules in the crude oil futures market using a genetic approach," Applied Energy, Elsevier, vol. 162(C), pages 1608-1618.
    18. Mohammad Arashi & Mohammad Mahdi Rounaghi, 2022. "Analysis of market efficiency and fractal feature of NASDAQ stock exchange: Time series modeling and forecasting of stock index using ARMA-GARCH model," Future Business Journal, Springer, vol. 8(1), pages 1-12, December.
    19. Cristina Sattarhoff & Marc Gronwald, 2018. "How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market," CESifo Working Paper Series 7102, CESifo.
    20. Bravo Caro, José Manuel & Golpe, Antonio A. & Iglesias, Jesús & Vides, José Carlos, 2020. "A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends," Energy Economics, Elsevier, vol. 85(C).
    21. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Mefteh-Wali, Salma & Owusu, Patrick, 2023. "Measuring price efficiency in petroleum markets: New insights using various long-range dependence techniques," Resources Policy, Elsevier, vol. 82(C).

  99. Wang, Yudong & Wu, Chongfeng, 2013. "Are crude oil spot and futures prices cointegrated? Not always!," Economic Modelling, Elsevier, vol. 33(C), pages 641-650.

    Cited by:

    1. Shao, Mingao & Hua, Yongjun, 2022. "Price discovery efficiency of China's crude oil futures: Evidence from the Shanghai crude oil futures market," Energy Economics, Elsevier, vol. 112(C).
    2. Chikashi Tsuji, 2016. "Did the expectations channel work? Evidence from quantitative easing in Japan, 2001–06," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1210996-121, December.
    3. Liu, Li & Chen, Ching-Cheng & Wan, Jieqiu, 2013. "Is world oil market “one great pool”?: An example from China's and international oil markets," Economic Modelling, Elsevier, vol. 35(C), pages 364-373.
    4. Guo, Yaoqi & Yao, Shanshan & Cheng, Hui & Zhu, Wensong, 2020. "China's copper futures market efficiency analysis: Based on nonlinear Granger causality and multifractal methods," Resources Policy, Elsevier, vol. 68(C).
    5. Figuerola-Ferretti, Isabel & McCrorie, J. Roderick & Paraskevopoulos, Ioannis, 2020. "Mild explosivity in recent crude oil prices," Energy Economics, Elsevier, vol. 87(C).
    6. Costa, Alexandre Bonnet R. & Ferreira, Pedro Cavalcanti G. & Gaglianone, Wagner P. & Guillén, Osmani Teixeira C. & Issler, João Victor & Lin, Yihao, 2021. "Machine learning and oil price point and density forecasting," Energy Economics, Elsevier, vol. 102(C).
    7. Apostolakis, George N. & Floros, Christos & Gkillas, Konstantinos & Wohar, Mark, 2024. "Volatility spillovers across the spot and futures oil markets after news announcements," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    8. You‐How Go & Wee‐Yeap Lau, 2023. "What do we know about informational efficiency? Three puzzles and the new direction forward," Journal of Economic Surveys, Wiley Blackwell, vol. 37(4), pages 1489-1525, September.
    9. Xianfang Su & Huiming Zhu & Xinxia Yang, 2019. "Heterogeneous Causal Relationships between Spot and Futures Oil Prices: Evidence from Quantile Causality Analysis," Sustainability, MDPI, vol. 11(5), pages 1-17, March.
    10. Dong, Minyi & Chang, Chun-Ping & Gong, Qiang & Chu, Yin, 2019. "Revisiting global economic activity and crude oil prices: A wavelet analysis," Economic Modelling, Elsevier, vol. 78(C), pages 134-149.
    11. Dan Zhang & Arash Farnoosh & Zhengwei Ma, 2022. "Does the Launch of Shanghai Crude Oil Futures Stabilize the Spot Market ? A Financial Cycle Perspective," Post-Print hal-03910474, HAL.
    12. Miroslava Zavadska & Lucía Morales & Joseph Coughlan, 2018. "The Lead–Lag Relationship between Oil Futures and Spot Prices—A Literature Review," IJFS, MDPI, vol. 6(4), pages 1-22, October.
    13. Onder Buberkoku, 2017. "Examining Energy Futures Market Efficiency Under Multiple Regime Shifts," International Journal of Energy Economics and Policy, Econjournals, vol. 7(6), pages 61-71.
    14. Zhi-Hong Han & Sheng Yang & Mu-Ling Chen & Ling-Yun He, 2015. "Mean spillover effect between crude oil and gasoline markets: an empirical result," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 38(1/2/3), pages 49-68.
    15. Josué M. Polanco-Martínez & Luis M. Abadie, 2016. "Analyzing Crude Oil Spot Price Dynamics versus Long Term Future Prices: A Wavelet Analysis Approach," Energies, MDPI, vol. 9(12), pages 1, December.
    16. Boying Li & Chun-Ping Chang & Yin Chu & Bo Sui, 2020. "Oil prices and geopolitical risks: What implications are offered via multi-domain investigations?," Energy & Environment, , vol. 31(3), pages 492-516, May.
    17. Chang, Chun-Ping & Lee, Chien-Chiang, 2015. "Do oil spot and futures prices move together?," Energy Economics, Elsevier, vol. 50(C), pages 379-390.
    18. Shailesh Rastogi & Chaitaly Athaley, 2019. "Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective," JRFM, MDPI, vol. 12(2), pages 1-15, June.
    19. Yuki Toyoshima & Shigeyuki Hamori, 2018. "Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets," Energies, MDPI, vol. 11(11), pages 1-18, October.
    20. Banerjee, Piyali & Arčabić, Vladimir & Lee, Hyejin, 2017. "Fourier ADL cointegration test to approximate smooth breaks with new evidence from Crude Oil Market," Economic Modelling, Elsevier, vol. 67(C), pages 114-124.
    21. Holmes, Mark J. & Otero, Jesús, 2019. "Re-examining the movements of crude oil spot and futures prices over time," Energy Economics, Elsevier, vol. 82(C), pages 224-236.
    22. Wang, Jianli & Qiu, Shushu & Yick, Ho Yin, 2022. "The influence of the Shanghai crude oil futures on the global and domestic oil markets," Energy, Elsevier, vol. 245(C).
    23. Izabela Pruchnicka-Grabias, 2021. "The Relationship between Gold and Brent Crude Oil Prices: An Unrestricted Vector Autoregression Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 276-282.

  100. Wang, Yudong & Wu, Chongfeng & Yang, Li, 2013. "Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries," Journal of Comparative Economics, Elsevier, vol. 41(4), pages 1220-1239.

    Cited by:

    1. Maghyereh, Aktham & Abdoh, Hussein, 2022. "Extreme dependence between structural oil shocks and stock markets in GCC countries," Resources Policy, Elsevier, vol. 76(C).
    2. Benkraiem, Ramzi & Lahiani, Amine & Miloudi, Anthony & Shahbaz, Muhammad, 2018. "New insights into the US stock market reactions to energy price shocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 169-187.
    3. Rodrigo da Silva Souza & Leonardo Bornacki Mattos, 2022. "Oil price shocks and global liquidity: macroeconomic effects on the Brazilian real," International Economics and Economic Policy, Springer, vol. 19(4), pages 761-781, October.
    4. Muhammad Kashif & Thomas Leirvik, 2022. "The MAX Effect in an Oil Exporting Country: The Case of Norway," JRFM, MDPI, vol. 15(4), pages 1-16, March.
    5. Saeed Shavvalpour & Hossein Khanjarpanah & Farhad Zamani & Armin Jabbarzadeh, 2017. "Petrochemical Products Market and Stock Market Returns: Empirical Evidence from Tehran Stock Exchange," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 21(2), pages 383-403, Spring.
    6. Guochang Wang & Wai Keung Li & Ke Zhu, 2018. "New HSIC-based tests for independence between two stationary multivariate time series," Papers 1804.09866, arXiv.org.
    7. Mokni, Khaled & Youssef, Manel, 2019. "Measuring persistence of dependence between crude oil prices and GCC stock markets: A copula approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 14-33.
    8. Li, Hailing & Pei, Xiaoyun & Yang, Yimin & Zhang, Hua, 2024. "Assessing the impact of energy-related uncertainty on G20 stock market returns: A decomposed contemporaneous and lagged R2 connectedness approach," Energy Economics, Elsevier, vol. 132(C).
    9. Jose Eduardo Gomez-Gonzalez & Jorge Hirs-Garzon, 2017. "Uncovering the time-varying nature of causality between oil prices and stock market returns: A multi-country study," Borradores de Economia 1009, Banco de la Republica de Colombia.
    10. Sheng, Xin & Gupta, Rangan & Ji, Qiang, 2020. "The impacts of structural oil shocks on macroeconomic uncertainty: Evidence from a large panel of 45 countries," Energy Economics, Elsevier, vol. 91(C).
    11. Zhang, Zhikai & Wang, Yudong & Xiao, Jihong & Zhang, Yaojie, 2023. "Not all geopolitical shocks are alike: Identifying price dynamics in the crude oil market under tensions," Resources Policy, Elsevier, vol. 80(C).
    12. Razak, Razman & Masih, Mansur, 2017. "The links between crude palm oil, conventional and Islamic stock markets: evidence from Malaysia based on continuous and discrete wavelet analysis," MPRA Paper 79717, University Library of Munich, Germany.
    13. Wang, Yudong & Liu, Li & Diao, Xundi & Wu, Chongfeng, 2015. "Forecasting the real prices of crude oil under economic and statistical constraints," Energy Economics, Elsevier, vol. 51(C), pages 599-608.
    14. Killins, Robert N. & Mollick, Andre V., 2020. "Performance of Canadian banks and oil price movements," Research in International Business and Finance, Elsevier, vol. 54(C).
    15. Indars, Edgars Rihards & Savin, Aliaksei & Lublóy, Ágnes, 2019. "Herding behaviour in an emerging market: Evidence from the Moscow Exchange," Corvinus Economics Working Papers (CEWP) 2019/01, Corvinus University of Budapest.
    16. Krzysztof Drachal, 2018. "Determining Time-Varying Drivers of Spot Oil Price in a Dynamic Model Averaging Framework," Energies, MDPI, vol. 11(5), pages 1-24, May.
    17. Hamdi, Besma & Aloui, Mouna & Alqahtani, Faisal & Tiwari, Aviral, 2019. "Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies: Evidence from wavelet nonlinear denoised based quantile and Granger-causality analysis," Energy Economics, Elsevier, vol. 80(C), pages 536-552.
    18. Degiannakis, Stavros & Filis, George & Arora, Vipin, 2018. "Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence," MPRA Paper 96270, University Library of Munich, Germany.
    19. Chen, Yufeng & Msofe, Zulkifr Abdallah & Wang, Chuwen, 2024. "Asymmetric dynamic spillover and time-frequency connectedness in the oil-stock nexus under COVID-19 shock: Evidence from African oil importers and exporters," Resources Policy, Elsevier, vol. 90(C).
    20. Zhang, Hao & Cai, Guixin & Yang, Dongxiao, 2020. "The impact of oil price shocks on clean energy stocks: Fresh evidence from multi-scale perspective," Energy, Elsevier, vol. 196(C).
    21. Li, Xiafei & Liao, Yin & Lu, Xinjie & Ma, Feng, 2022. "An oil futures volatility forecast perspective on the selection of high-frequency jump tests," Energy Economics, Elsevier, vol. 116(C).
    22. Azhgaliyeva, Dina & Mishra, Ranjeeta & Kapsalyamova, Zhanna, 2021. "Oil Price Shocks and Green Bonds: A Longitudinal Multilevel Model," ADBI Working Papers 1278, Asian Development Bank Institute.
    23. Khairulla Massadikov, 2021. "Volatility Spillovers between Oil Prices and Stock Returns in Developing Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 121-126.
    24. Laura Cueppers & Dieter Smeets, 2015. "How Do Oil Price Changes Affect German Stock Returns?," International Journal of Energy Economics and Policy, Econjournals, vol. 5(1), pages 321-334.
    25. Ben Cheikh, Nidhaleddine & Ben Naceur, Sami & Kanaan, Oussama & Rault, Christophe, 2020. "Investigating the Asymmetric Impact of Oil Prices on GCC Stock Markets," IZA Discussion Papers 13853, Institute of Labor Economics (IZA).
    26. Forhad, Md. Abdur Rahman & Alam, Md. Rafayet, 2022. "Impact of oil demand and supply shocks on the exchange rates of selected Southeast Asian countries," Global Finance Journal, Elsevier, vol. 54(C).
    27. Selmi, Refk & Bouoiyour, Jamal & Miftah, Amal & Wohar, Mark E., 2021. "Managing exposure to volatile oil prices: Evidence from U.S. sectoral and industry-level data," Resources Policy, Elsevier, vol. 73(C).
    28. Cem Berk, 2016. "Indexing Oil from a Financial Point of View: A Comparison between Brent and West Texas Intermediate," International Journal of Energy Economics and Policy, Econjournals, vol. 6(2), pages 152-158.
    29. Hong Thai Le & Marta Disegna, 2018. "Responses of macroeconomy and stock markets to structural oil price shocks: New evidence from Asian oil refinery," BAFES Working Papers BAFES25, Department of Accounting, Finance & Economic, Bournemouth University.
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    318. Deheri, Abdhut & Ramachandran, M., 2023. "Does Indian economy asymmetrically respond to oil price shocks?," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
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    321. Begüm Yurteri Kösedağlı & Gül Huyugüzel Kışla & A. Nazif Çatık, 2021. "The time-varying effects of oil prices on oil–gas stock returns of the fragile five countries," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-22, December.
    322. Pasrun Adam & Pasrun Adam & Rosnawintang Rosnawintang & Ambo Wonua Nusantara & Abd Aziz Muthalib, 2017. "A Model of the Dynamic of the Relationship between Exchange Rate and Indonesia's Export," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 255-261.
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    1. Bradley T. Ewing & Mark A. Thompson, 2018. "Modeling the Response of Gasoline-Crude Oil Price Crack Spread Macroeconomic Shocks," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 46(2), pages 203-213, June.
    2. Li, Daye & Nishimura, Yusaku & Men, Ming, 2016. "The long memory and the transaction cost in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 312-320.
    3. Li, Daye & Kou, Zhun & Sun, Qiankun, 2015. "The scale-dependent market trend: Empirical evidences using the lagged DFA method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 433(C), pages 26-35.
    4. Liu, Li & Wan, Jieqiu, 2012. "A study of Shanghai fuel oil futures price volatility based on high frequency data: Long-range dependence, modeling and forecasting," Economic Modelling, Elsevier, vol. 29(6), pages 2245-2253.
    5. He, Shanshan & Wang, Yudong, 2017. "Revisiting the multifractality in stock returns and its modeling implications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 11-20.
    6. Abdul Aziz Karia & Imbarine Bujang & Ismail Ahmad, 2013. "Fractionally integrated ARMA for crude palm oil prices prediction: case of potentially overdifference," Journal of Applied Statistics, Taylor & Francis Journals, vol. 40(12), pages 2735-2748, December.
    7. Abbas Valadkhani & Martin O'Brien & Amir Arjomandi, 2013. "Examining the nature of the relationship between Tapis crude oil and Singapore petrol prices," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 36(1), pages 27-41.
    8. Andreas Karathanasopoulos & Christian Dunis & Samer Khalil, 2016. "Modelling, forecasting and trading with a new sliding window approach: the crack spread example," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1875-1886, December.

  102. Wang, Yudong & Wu, Chongfeng, 2012. "Energy prices and exchange rates of the U.S. dollar: Further evidence from linear and nonlinear causality analysis," Economic Modelling, Elsevier, vol. 29(6), pages 2289-2297.

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    1. Wu, Tao & An, Feng & Gao, Xiangyun & Wang, Ze, 2023. "Hidden causality between oil prices and exchange rates," Resources Policy, Elsevier, vol. 82(C).
    2. Zhang, Yue-Jun & Yao, Ting, 2016. "Interpreting the movement of oil prices: Driven by fundamentals or bubbles?," Economic Modelling, Elsevier, vol. 55(C), pages 226-240.
    3. Krzysztof Drachal, 2018. "Determining Time-Varying Drivers of Spot Oil Price in a Dynamic Model Averaging Framework," Energies, MDPI, vol. 11(5), pages 1-24, May.
    4. Saif Siddiqui & Preeti Roy, 2019. "Predicting Volatility and Dynamic Relation Between Stock Market, Exchange Rate and Select Commodities," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 67(6), pages 1597-1611.
    5. Donghua Wang & Tianhui Fang, 2022. "Forecasting Crude Oil Prices with a WT-FNN Model," Energies, MDPI, vol. 15(6), pages 1-21, March.
    6. Jungho Baek, 2021. "The role of crude oil prices in the movement of the Indonesian rupiah: a quantile ARDL approach," Economic Change and Restructuring, Springer, vol. 54(4), pages 975-994, November.
    7. Hassan Anjum, 2019. "Estimating volatility transmission between oil prices and the US Dollar exchange rate under structural breaks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(4), pages 750-763, October.
    8. Beckmann, Joscha & Czudaj, Robert, 2013. "Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?," Energy Economics, Elsevier, vol. 40(C), pages 665-678.
    9. Zied Ftiti & Aviral Tiwari & Ibrahim Fatnassi, 2014. "Oil price and macroeconomy in India – An evolutionary cospectral coherence approach," Working Papers 2014-68, Department of Research, Ipag Business School.
    10. Miao, Hong & Ramchander, Sanjay & Wang, Tianyang & Yang, Dongxiao, 2017. "Influential factors in crude oil price forecasting," Energy Economics, Elsevier, vol. 68(C), pages 77-88.
    11. Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2018. "Markov switching GARCH models for Bayesian hedging on energy futures markets," Energy Economics, Elsevier, vol. 70(C), pages 545-562.
    12. Mustafa Kocoglu & Phouphet Kyophilavong & Ashar Awan & So Young Lim, 2023. "Time-varying causality between oil price and exchange rate in five ASEAN economies," Economic Change and Restructuring, Springer, vol. 56(2), pages 1007-1031, April.
    13. Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu, 2016. "Oil price and exchange rate in India: Fresh evidence from continuous wavelet approach and asymmetric, multi-horizon Granger-causality tests," Applied Energy, Elsevier, vol. 179(C), pages 272-283.
    14. Castro Rozo, César & Jiménez-Rodríguez, Rebeca, 2018. "Time-varying relationship between oil price and exchange rate," MPRA Paper 87879, University Library of Munich, Germany.
    15. Xiao, Jihong & Wen, Fenghua & He, Zhifang, 2023. "Impact of geopolitical risks on investor attention and speculation in the oil market: Evidence from nonlinear and time-varying analysis," Energy, Elsevier, vol. 267(C).
    16. Nonejad, Nima, 2021. "Predicting the return on the spot price of crude oil out-of-sample by conditioning on news-based uncertainty measures: Some new empirical results," Energy Economics, Elsevier, vol. 104(C).
    17. Albulescu, Claudiu Tiberiu & Demirer, Riza & Raheem, Ibrahim D. & Tiwari, Aviral Kumar, 2019. "Does the U.S. economic policy uncertainty connect financial markets? Evidence from oil and commodity currencies," Energy Economics, Elsevier, vol. 83(C), pages 375-388.
    18. Tao Yin & Yiming Wang, 2021. "Market Efficiency and Nonlinear Analysis of Soybean Futures," Sustainability, MDPI, vol. 13(2), pages 1-10, January.
    19. Wen, Danyan & Liu, Li & Ma, Chaoqun & Wang, Yudong, 2020. "Extreme risk spillovers between crude oil prices and the U.S. exchange rate: Evidence from oil-exporting and oil-importing countries," Energy, Elsevier, vol. 212(C).
    20. César Castro & Rebeca Jiménez-Rodríguez, 2020. "Dynamic interactions between oil price and exchange rate," PLOS ONE, Public Library of Science, vol. 15(8), pages 1-20, August.
    21. Kyophilavong, Phouphet & Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar, 2023. "Cross-spectral coherence and co-movement between WTI oil price and exchange rate of Thai Baht," Resources Policy, Elsevier, vol. 80(C).
    22. Walid Mensi & Shawkat Hammoude & Seong-Min Yoon, 2014. "Structural Breaks, Dynamic Correlations, Volatility Transmission, and Hedging Strategies for International Petroleum Prices and U.S. Dollar Exchange Rate," Working Papers 884, Economic Research Forum, revised Dec 2014.
    23. Anna A. Gainetdinova, 2023. "Asymmetric Impact of Geopolitical Risk and Economic Policy Uncertainty on Russian Ruble Exchange Rate," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 22(2), pages 270-293.
    24. Andreasson, Pierre & Bekiros, Stelios & Nguyen, Duc Khuong & Uddin, Gazi Salah, 2016. "Impact of speculation and economic uncertainty on commodity markets," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 115-127.
    25. Kais Tissaoui & Taha Zaghdoudi & Abdelaziz Hakimi & Mariem Nsaibi, 2023. "Do Gas Price and Uncertainty Indices Forecast Crude Oil Prices? Fresh Evidence Through XGBoost Modeling," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 663-687, August.
    26. Yang Liu & Tongshuai Qiao & Liyan Han, 2022. "Does clean energy matter? Revisiting the spillovers between energy and foreign exchange markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(11), pages 2068-2083, November.
    27. Chang, Kuang-Liang, 2014. "The symmetrical and positive relationship between crude oil and nominal exchange rate returns," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 266-284.
    28. Malik, Farooq & Umar, Zaghum, 2019. "Dynamic connectedness of oil price shocks and exchange rates," Energy Economics, Elsevier, vol. 84(C).
    29. Turhan, M. Ibrahim & Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk, 2014. "A view to the long-run dynamic relationship between crude oil and the major asset classes," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 286-299.
    30. Suresh Kumar & Ankit Kumar & Gurcharan Singh, 2023. "Causal relationship among international crude oil, gold, exchange rate, and stock market: Fresh evidence from NARDL testing approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 47-57, January.
    31. Witold Orzeszko, 2021. "Nonlinear Causality between Crude Oil Prices and Exchange Rates: Evidence and Forecasting," Energies, MDPI, vol. 14(19), pages 1-16, September.
    32. Tarek Chebbi & Waleed Hmedat, 2024. "Inventory information arrival and the crude oil futures market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1513-1533, April.
    33. Cheng, Xian & Wu, Peng & Liao, Stephen Shaoyi & Wang, Xuelian, 2023. "An integrated model for crude oil forecasting: Causality assessment and technical efficiency," Energy Economics, Elsevier, vol. 117(C).
    34. Martin Baumgärtner & Jens Klose, 2019. "Forecasting exchange rates with commodity prices—a global country analysis," The World Economy, Wiley Blackwell, vol. 42(9), pages 2546-2565, September.
    35. Su, Chi-Wei & Li, Zheng-Zheng & Chang, Hsu-Ling & Lobonţ, Oana-Ramona, 2017. "When Will Occur the Crude Oil Bubbles?," Energy Policy, Elsevier, vol. 102(C), pages 1-6.
    36. Tiwari, Aviral Kumar & Mutascu, Mihai Ioan & Albulescu, Claudiu Tiberiu, 2013. "The influence of the international oil prices on the real effective exchange rate in Romania in a wavelet transform framework," Energy Economics, Elsevier, vol. 40(C), pages 714-733.
    37. Drachal, Krzysztof, 2016. "Forecasting spot oil price in a dynamic model averaging framework — Have the determinants changed over time?," Energy Economics, Elsevier, vol. 60(C), pages 35-46.
    38. Walid Bahloul & Mehmet Balcilar & Juncal Cunado & Rangan Gupta, 2017. "The Role of Economic and Financial Uncertainties in Predicting Commodity Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Test," Working Papers 201725, University of Pretoria, Department of Economics.
    39. Kumar, Satish, 2017. "On the nonlinear relation between crude oil and gold," Resources Policy, Elsevier, vol. 51(C), pages 219-224.
    40. Turhan, M. Ibrahim & Sensoy, Ahmet & Hacihasanoglu, Erk, 2014. "A comparative analysis of the dynamic relationship between oil prices and exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 397-414.
    41. Rubaszek Michal & Karolak Zuzanna & Kwas Marek & Uddin Gazi Salah, 2020. "The role of the threshold effect for the dynamics of futures and spot prices of energy commodities," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(5), pages 1-20, December.
    42. Salah A. Nusair & Khalid M. Kisswani, 2015. "Asian Real Exchange Rates And Oil Prices: A Cointegration Analysis Under Structural Breaks," Bulletin of Economic Research, Wiley Blackwell, vol. 67(S1), pages 1-25, December.
    43. Li Ping & Li Jie & Zhang Ziyi, 2021. "The Dynamic Impact of Structural Oil Price Shocks on the Macroeconomy," Journal of Systems Science and Information, De Gruyter, vol. 9(5), pages 469-497, October.
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    104. Klein, Tony & Walther, Thomas, 2016. "Oil price volatility forecast with mixture memory GARCH," Energy Economics, Elsevier, vol. 58(C), pages 46-58.
    105. Chen, Yixiang & Ma, Feng & Zhang, Yaojie, 2019. "Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets," Energy Economics, Elsevier, vol. 81(C), pages 52-62.
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  104. Wang, Yudong & Wu, Chongfeng, 2012. "Long memory in energy futures markets: Further evidence," Resources Policy, Elsevier, vol. 37(3), pages 261-272.

    Cited by:

    1. Pick Schen Yip & Robert Brooks & Hung Xuan Do & Duc Khuong Nguyen, 2019. "Dynamic Volatility Spillover Effect between Oil and Agricultural Products," Working Papers 2019-009, Department of Research, Ipag Business School.
    2. Li, Daye & Nishimura, Yusaku & Men, Ming, 2016. "The long memory and the transaction cost in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 312-320.
    3. Sui, Bo & Chang, Chun-Ping & Jang, Chyi-Lu & Gong, Qiang, 2021. "Analyzing causality between epidemics and oil prices: Role of the stock market," Economic Analysis and Policy, Elsevier, vol. 70(C), pages 148-158.
    4. Li, Daye & Nishimura, Yusaku & Men, Ming, 2016. "Why the long-term auto-correlation has not been eliminated by arbitragers: Evidences from NYMEX," Energy Economics, Elsevier, vol. 59(C), pages 167-178.
    5. Sankarkumar, Amirdha Vasani & Selvam, Murugesan & Maniam, Balasundram & Sigo, Marxia Oli, 2017. "Long memory features and relationship stability of Asia-Pacific currencies against USD," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 13(01).
    6. Sensoy, Ahmet & Hacihasanoglu, Erk, 2014. "Time-varying long range dependence in energy futures markets," Energy Economics, Elsevier, vol. 46(C), pages 318-327.
    7. Zhang, Bing, 2013. "Are the crude oil markets becoming more efficient over time? New evidence from a generalized spectral test," Energy Economics, Elsevier, vol. 40(C), pages 875-881.
    8. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2014. "How do OPEC news and structural breaks impact returns and volatility in crude oil markets? Further evidence from a long memory process," Energy Economics, Elsevier, vol. 42(C), pages 343-354.
    9. Charfeddine, Lanouar, 2016. "Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis," Economic Modelling, Elsevier, vol. 53(C), pages 354-374.
    10. Baruník, Jozef & Vácha, Lukáš, 2024. "Predicting the volatility of major energy commodity prices: The dynamic persistence model," Energy Economics, Elsevier, vol. 140(C).
    11. Yudong Wang & Chongfeng Wu, 2013. "Efficiency of Crude Oil Futures Markets: New Evidence from Multifractal Detrending Moving Average Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 42(4), pages 393-414, December.
    12. Ikram Jebabli & David Roubaud, 2018. "Time-varying efficiency in food and energy markets: Evidence and implications," Post-Print hal-02330557, HAL.
    13. Charfeddine, Lanouar, 2014. "True or spurious long memory in volatility: Further evidence on the energy futures markets," Energy Policy, Elsevier, vol. 71(C), pages 76-93.
    14. Charfeddine, Lanouar & Khediri, Karim Ben & Mrabet, Zouhair, 2019. "The forward premium anomaly in the energy futures markets: A time-varying approach," Research in International Business and Finance, Elsevier, vol. 47(C), pages 600-615.
    15. Tiwari, Aviral Kumar & Umar, Zaghum & Alqahtani, Faisal, 2021. "Existence of long memory in crude oil and petroleum products: Generalised Hurst exponent approach," Research in International Business and Finance, Elsevier, vol. 57(C).
    16. Tiwari, Aviral Kumar & Kumar, Satish & Pathak, Rajesh & Roubaud, David, 2019. "Testing the oil price efficiency using various measures of long-range dependence," Energy Economics, Elsevier, vol. 84(C).
    17. Liu, Li & Wang, Yudong & Wu, Chongfeng & Wu, Wenfeng, 2016. "Disentangling the determinants of real oil prices," Energy Economics, Elsevier, vol. 56(C), pages 363-373.
    18. McNevin, Bruce D. & Nix, Joan, 2018. "The beta heuristic from a time/frequency perspective: A wavelet analysis of the market risk of sectors," Economic Modelling, Elsevier, vol. 68(C), pages 570-585.
    19. Long Hai Vo & Duc Hong Vo, 2019. "Application of Wavelet-Based Maximum Likelihood Estimator in Measuring Market Risk for Fossil Fuel," Sustainability, MDPI, vol. 11(10), pages 1-19, May.
    20. Bravo Caro, José Manuel & Golpe, Antonio A. & Iglesias, Jesús & Vides, José Carlos, 2020. "A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends," Energy Economics, Elsevier, vol. 85(C).
    21. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Mefteh-Wali, Salma & Owusu, Patrick, 2023. "Measuring price efficiency in petroleum markets: New insights using various long-range dependence techniques," Resources Policy, Elsevier, vol. 82(C).
    22. Chen, Feier & Miao, Yuqi & Tian, Kang & Ding, Xiaoxu & Li, Tingyi, 2017. "Multifractal cross-correlations between crude oil and tanker freight rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 474(C), pages 344-354.

  105. Wang, Yudong & Wei, Yu & Wu, Chongfeng, 2011. "Detrended fluctuation analysis on spot and futures markets of West Texas Intermediate crude oil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(5), pages 864-875.

    Cited by:

    1. İşcanoğlu-Çekiç, Ayşegül & Gülteki̇n, Havva, 2019. "Are cross-correlations between Turkish Stock Exchange and three major country indices multifractal or monofractal?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 978-990.
    2. Cai, Chunhao & Cheng, Xuwen & Xiao, Weilin & Wu, Xiang, 2019. "Parameter identification for mixed fractional Brownian motions with the drift parameter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    3. Lahmiri, Salim, 2017. "Multifractal analysis of Moroccan family business stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 183-191.
    4. Wei, Yu & Wang, Yudong & Huang, Dengshi, 2011. "A copula–multifractal volatility hedging model for CSI 300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4260-4272.
    5. Zhang, Shuchang & Guo, Yaoqi & Cheng, Hui & Zhang, Hongwei, 2021. "Cross-correlations between price and volume in China's crude oil futures market: A study based on multifractal approaches," Chaos, Solitons & Fractals, Elsevier, vol. 144(C).
    6. Wang, Dong-Hua & Yu, Xiao-Wen & Suo, Yuan-Yuan, 2012. "Statistical properties of the yuan exchange rate index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3503-3512.
    7. Zhi-Qiang Jiang & Wen-Jie Xie & Wei-Xing Zhou, 2012. "Testing the weak-form efficiency of the WTI crude oil futures market," Papers 1211.4686, arXiv.org.
    8. Zou, Shaohui & Zhang, Tian, 2020. "Multifractal detrended cross-correlation analysis of the relation between price and volume in European carbon futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    9. Li, Daye & Nishimura, Yusaku & Men, Ming, 2016. "The long memory and the transaction cost in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 312-320.
    10. Shaista Arshad, 2017. "Analysing the Relationship between Oil Prices and Islamic Stock Markets," Economic Papers, The Economic Society of Australia, vol. 36(4), pages 429-443, December.
    11. Wang, Yudong & Liu, Li & Ma, Feng & Wu, Chongfeng, 2016. "What the investors need to know about forecasting oil futures return volatility," Energy Economics, Elsevier, vol. 57(C), pages 128-139.
    12. Xiao, Wei-Lin & Zhang, Wei-Guo & Zhang, Xili & Zhang, Xiaoli, 2012. "Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6418-6431.
    13. Li, Daye & Nishimura, Yusaku & Men, Ming, 2016. "Why the long-term auto-correlation has not been eliminated by arbitragers: Evidences from NYMEX," Energy Economics, Elsevier, vol. 59(C), pages 167-178.
    14. Paiva, Aureliano Sancho Souza & Rivera-Castro, Miguel Angel & Andrade, Roberto Fernandes Silva, 2018. "DCCA analysis of renewable and conventional energy prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1408-1414.
    15. Zhuang, Xiaoyang & Wei, Yu & Zhang, Bangzheng, 2014. "Multifractal detrended cross-correlation analysis of carbon and crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 113-125.
    16. Liu, Li & Wang, Yudong, 2014. "Cross-correlations between spot and futures markets of nonferrous metals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 20-30.
    17. Liu, Li & Wan, Jieqiu, 2011. "A study of correlations between crude oil spot and futures markets: A rolling sample test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3754-3766.
    18. Zhang, Tao & Ma, Guofeng & Liu, Guangsheng, 2015. "Nonlinear joint dynamics between prices of crude oil and refined products," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 444-456.
    19. Ferreira, Paulo, 2018. "What detrended fluctuation analysis can tell us about NBA results," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 500(C), pages 92-96.
    20. Wang, Gang-Jin & Xie, Chi, 2013. "Cross-correlations between Renminbi and four major currencies in the Renminbi currency basket," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1418-1428.
    21. Li, Songsong & Xu, Nan & Hui, Xiaofeng, 2020. "International investors and the multifractality property: Evidence from accessible and inaccessible market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).
    22. Shahzad, Syed Jawad Hussain & Bouri, Elie & Kayani, Ghulam Mujtaba & Nasir, Rana Muhammad & Kristoufek, Ladislav, 2020. "Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
    23. da Silva Filho, Antônio Carlos & Maganini, Natália Diniz & de Almeida, Eduardo Fonseca, 2018. "Multifractal analysis of Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 954-967.
    24. García-Carranco, Sergio M. & Bory-Reyes, Juan & Balankin, Alexander S., 2016. "The crude oil price bubbling and universal scaling dynamics of price volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 452(C), pages 60-68.
    25. Ghazani, Majid Mirzaee & Khosravi, Reza, 2020. "Multifractal detrended cross-correlation analysis on benchmark cryptocurrencies and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
    26. Qin, Meng & Su, Chi-Wei & Hao, Lin-Na & Tao, Ran, 2020. "The stability of U.S. economic policy: Does it really matter for oil price?," Energy, Elsevier, vol. 198(C).
    27. Su, Chi-Wei & Wang, Dan & Mirza, Nawazish & Zhong, Yifan & Umar, Muhammad, 2023. "The impact of consumer confidence on oil prices," Energy Economics, Elsevier, vol. 124(C).
    28. Lv, Xiaodong & Shan, Xian, 2013. "Modeling natural gas market volatility using GARCH with different distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(22), pages 5685-5699.
    29. Chen, Wang & Wei, Yu & Lang, Qiaoqi & Lin, Yu & Liu, Maojuan, 2014. "Financial market volatility and contagion effect: A copula–multifractal volatility approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 398(C), pages 289-300.
    30. Yin, Yi & Shang, Pengjian, 2013. "Modified DFA and DCCA approach for quantifying the multiscale correlation structure of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6442-6457.
    31. Ladislav Kristoufek & Miloslav Vosvrda, 2013. "Commodity futures and market efficiency," Papers 1309.1492, arXiv.org.
    32. Cao, Guangxi & Xu, Wei, 2016. "Nonlinear structure analysis of carbon and energy markets with MFDCCA based on maximum overlap wavelet transform," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 505-523.
    33. Zhang, Bing & Li, Xiao-Ming & He, Fei, 2014. "Testing the evolution of crude oil market efficiency: Data have the conn," Energy Policy, Elsevier, vol. 68(C), pages 39-52.
    34. Wang, Gang-Jin & Xie, Chi & He, Ling-Yun & Chen, Shou, 2014. "Detrended minimum-variance hedge ratio: A new method for hedge ratio at different time scales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 70-79.
    35. Sun, Lin, 2013. "Pricing currency options in the mixed fractional Brownian motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(16), pages 3441-3458.
    36. Liu, Li & Wan, Jieqiu, 2012. "The relationships between Shanghai stock market and CNY/USD exchange rate: New evidence based on cross-correlation analysis, structural cointegration and nonlinear causality test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(23), pages 6051-6059.
    37. He, Shanshan & Wang, Yudong, 2017. "Revisiting the multifractality in stock returns and its modeling implications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 11-20.
    38. Yuan, Ying & Zhuang, Xin-tian & Jin, Xiu & Huang, Wei-qiang, 2014. "Stable distribution and long-range correlation of Brent crude oil market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 173-179.
    39. Wang, Dong-Hua & Suo, Yuan-Yuan & Yu, Xiao-Wen & Lei, Man, 2013. "Price–volume cross-correlation analysis of CSI300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(5), pages 1172-1179.
    40. Su, Chi-Wei & Qin, Meng & Tao, Ran & Umar, Muhammad, 2020. "Financial implications of fourth industrial revolution: Can bitcoin improve prospects of energy investment?," Technological Forecasting and Social Change, Elsevier, vol. 158(C).
    41. George P. Papaioannou & Christos Dikaiakos & Akylas C. Stratigakos & Panos C. Papageorgiou & Konstantinos F. Krommydas, 2019. "Testing the Efficiency of Electricity Markets Using a New Composite Measure Based on Nonlinear TS Tools," Energies, MDPI, vol. 12(4), pages 1-30, February.
    42. Zhou, Weijie & Dang, Yaoguo & Gu, Rongbao, 2013. "Efficiency and multifractality analysis of CSI 300 based on multifractal detrending moving average algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1429-1438.
    43. Xiao, Weilin & Zhang, Xili, 2016. "Pricing equity warrants with a promised lowest price in Merton’s jump–diffusion model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 219-238.
    44. Taiyong Li & Min Zhou & Chaoqi Guo & Min Luo & Jiang Wu & Fan Pan & Quanyi Tao & Ting He, 2016. "Forecasting Crude Oil Price Using EEMD and RVM with Adaptive PSO-Based Kernels," Energies, MDPI, vol. 9(12), pages 1, December.
    45. Zhou, Qing & Zhang, Xili, 2020. "Pricing equity warrants in Merton jump–diffusion model with credit risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
    46. Wang, Qizhen & Zhu, Yingming & Yang, Liansheng & Mul, Remco A.H., 2017. "Coupling detrended fluctuation analysis of Asian stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 337-350.
    47. Benjamin Rainer Auer, 2018. "Are standard asset pricing factors long-range dependent?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 66-88, January.
    48. Jonathan A. Batten & Cetin Ciner & Brian M. Lucey & Peter G. Szilagyi, 2013. "The structure of gold and silver spread returns," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 561-570, March.
    49. Zhang, Bangzheng & Wei, Yu & Yu, Jiang & Lai, Xiaodong & Peng, Zhenfeng, 2014. "Forecasting VaR and ES of stock index portfolio: A Vine copula method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 112-124.
    50. Wang, Yudong & Wu, Chongfeng & Pan, Zhiyuan, 2011. "Multifractal detrending moving average analysis on the US Dollar exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3512-3523.
    51. Zhang, Yue-Jun & Wang, Zi-Yi, 2013. "Investigating the price discovery and risk transfer functions in the crude oil and gasoline futures markets: Some empirical evidence," Applied Energy, Elsevier, vol. 104(C), pages 220-228.
    52. Zhang, Xin & Zhu, Yingming & Yang, Liansheng, 2018. "Multifractal detrended cross-correlations between Chinese stock market and three stock markets in The Belt and Road Initiative," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 105-115.
    53. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2013. "Intraday volatility spillovers between spot and futures indices: Evidence from the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(8), pages 1795-1802.
    54. Cao, Guangxi & Zhang, Minjia, 2015. "Extreme values in the Chinese and American stock markets based on detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 25-35.
    55. Nurbanu BURSA & Hüseyin TATLIDİL, 2015. "Investigation of Credit Default Swaps using Detrended Fluctuation Analysis which is an Econophysical Technique," Eurasian Eononometrics, Statistics and Emprical Economics Journal, Eurasian Academy Of Sciences, vol. 2(2), pages 25-33, February.
    56. Mihaela Nicolau, 2012. "Do Spot Prices Move towards Futures Prices? A study on Crude Oil Market," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 5(5), pages 166-176, October.
    57. Ma, Feng & Wei, Yu & Huang, Dengshi & Zhao, Lin, 2013. "Cross-correlations between West Texas Intermediate crude oil and the stock markets of the BRIC," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5356-5368.
    58. Cao, Guangxi & Xu, Wei, 2016. "Multifractal features of EUA and CER futures markets by using multifractal detrended fluctuation analysis based on empirical model decomposition," Chaos, Solitons & Fractals, Elsevier, vol. 83(C), pages 212-222.
    59. Lahmiri, Salim, 2017. "On fractality and chaos in Moroccan family business stock returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 29-39.
    60. Cao, Guangxi & Cao, Jie & Xu, Longbing, 2013. "Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 797-807.
    61. Kim, Kyong-Hui & Kim, Nam-Ung & Ju, Dong-Chol & Ri, Ju-Hyang, 2020. "Efficient hedging currency options in fractional Brownian motion model with jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
    62. Ferreira, Paulo & Dionísio, Andreia & Guedes, Everaldo Freitas & Zebende, Gilney Figueira, 2018. "A sliding windows approach to analyse the evolution of bank shares in the European Union," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1355-1367.
    63. Taiyong Li & Zhenda Hu & Yanchi Jia & Jiang Wu & Yingrui Zhou, 2018. "Forecasting Crude Oil Prices Using Ensemble Empirical Mode Decomposition and Sparse Bayesian Learning," Energies, MDPI, vol. 11(7), pages 1-23, July.
    64. Wang, Qizhen, 2019. "Multifractal characterization of air polluted time series in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 167-180.
    65. Liu, Li, 2014. "Cross-correlations between crude oil and agricultural commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 293-302.
    66. Ferreira, Paulo, 2018. "Long-range dependencies of Eastern European stock markets: A dynamic detrended analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 454-470.
    67. Liu, Li & Ma, Guofeng, 2014. "Cross-correlation between crude oil and refined product prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 284-293.
    68. Zhang, Xili & Xiao, Weilin, 2017. "Arbitrage with fractional Gaussian processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 620-628.
    69. Paulo Ferreira & Luís Carlos Loures, 2020. "An Econophysics Study of the S&P Global Clean Energy Index," Sustainability, MDPI, vol. 12(2), pages 1-9, January.

  106. Wang, Yudong & Wu, Chongfeng & Pan, Zhiyuan, 2011. "Multifractal detrending moving average analysis on the US Dollar exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3512-3523.

    Cited by:

    1. Ning, Ye & Wang, Yiming & Yang, Zhenyu & Geng, Yan, 2017. "Measurement and multifractal properties of short-term international capital flows in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 714-721.
    2. Cai, Chunhao & Cheng, Xuwen & Xiao, Weilin & Wu, Xiang, 2019. "Parameter identification for mixed fractional Brownian motions with the drift parameter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    3. Wang, Dong-Hua & Yu, Xiao-Wen & Suo, Yuan-Yuan, 2012. "Statistical properties of the yuan exchange rate index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3503-3512.
    4. Zhuang, Xiaoyang & Wei, Yu & Ma, Feng, 2015. "Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 430(C), pages 101-113.
    5. Ning, Ye & Han, Chenyu & Wang, Yiming, 2018. "The multifractal properties of Euro and Pound exchange rates and comparisons," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 578-587.
    6. Huang, Menghao & Shao, Wei & Wang, Jian, 2023. "Correlations between the crude oil market and capital markets under the Russia–Ukraine conflict: A perspective of crude oil importing and exporting countries," Resources Policy, Elsevier, vol. 80(C).
    7. Wang, Yudong & Wu, Chongfeng, 2012. "What can we learn from the history of gasoline crack spreads?: Long memory, structural breaks and modeling implications," Economic Modelling, Elsevier, vol. 29(2), pages 349-360.
    8. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    9. Shi, Wen & Zou, Rui-biao & Wang, Fang & Su, Le, 2015. "A new image segmentation method based on multifractal detrended moving average analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 432(C), pages 197-205.
    10. Lin, Xiaoqiang & Tang, Zhenpeng & Fei, Fangyu, 2013. "Testing for relationships between Shanghai and Shenzhen stock markets: A threshold cointegration perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(18), pages 4064-4074.
    11. Raza, Syed Ali & Shah, Nida & Suleman, Muhammed Tahir, 2024. "A multifractal detrended fluctuation analysis of Islamic and conventional financial markets efficiency during the COVID-19 pandemic," International Economics, Elsevier, vol. 177(C).
    12. Qin, Jing & Lu, Xinsheng & Zhou, Ying & Qu, Ling, 2015. "The effectiveness of China’s RMB exchange rate reforms: An insight from multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 443-454.
    13. da Silva Filho, Antônio Carlos & Maganini, Natália Diniz & de Almeida, Eduardo Fonseca, 2018. "Multifractal analysis of Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 954-967.
    14. Argyroudis, G. & Siokis, F., 2018. "The complexity of the HANG SENG Index and its constituencies during the 2007–2008 Great Recession," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 495(C), pages 463-474.
    15. Ghazani, Majid Mirzaee & Khosravi, Reza, 2020. "Multifractal detrended cross-correlation analysis on benchmark cryptocurrencies and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
    16. Yudong Wang & Chongfeng Wu, 2013. "Efficiency of Crude Oil Futures Markets: New Evidence from Multifractal Detrending Moving Average Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 42(4), pages 393-414, December.
    17. Lee, Min-Jae & Choi, Sun-Yong, 2024. "Insights into the dynamics of market efficiency spillover of financial assets in different equity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 641(C).
    18. Zhang, Chen & Ni, Zhiwei & Ni, Liping & Li, Jingming & Zhou, Longfei, 2016. "Asymmetric multifractal detrending moving average analysis in time series of PM2.5 concentration," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 322-330.
    19. Ruan, Qingsong & Yang, Bingchan & Ma, Guofeng, 2018. "The impact of executive anticipated regret on the choice of incentive system: An econophysics perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 1006-1015.
    20. Choi, Sun-Yong, 2021. "Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
    21. Shao, Wei & Wang, Jian, 2020. "Does the “ice-breaking” of South and North Korea affect the South Korean financial market?," Chaos, Solitons & Fractals, Elsevier, vol. 132(C).
    22. Dutta, Srimonti & Ghosh, Dipak & Samanta, Shukla, 2014. "Multifractal detrended cross-correlation analysis of gold price and SENSEX," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 195-204.
    23. Han, Chenyu & Wang, Yiming & Ning, Ye, 2019. "Comparative analysis of the multifractality and efficiency of exchange markets: Evidence from exchange rates dynamics of major world currencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
    24. Sierra-Porta, D. & Domínguez-Monterroza, Andy-Rafael, 2022. "Linking cosmic ray intensities to cutoff rigidity through multifractal detrented fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
    25. Milena Kojić & Petar Mitić & Marko Dimovski & Jelena Minović, 2021. "Multivariate Multifractal Detrending Moving Average Analysis of Air Pollutants," Mathematics, MDPI, vol. 9(7), pages 1-17, March.
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    2. Guo, Yaoqi & Yu, Zhuling & Yu, Chenxi & Cheng, Hui & Chen, Weixun & Zhang, Hongwei, 2021. "Asymmetric multifractal features of the price–volume correlation in China’s gold futures market based on MF-ADCCA," Research in International Business and Finance, Elsevier, vol. 58(C).
    3. Fang, Sheng & Lu, Xinsheng & Li, Jianfeng & Qu, Ling, 2018. "Multifractal detrended cross-correlation analysis of carbon emission allowance and stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 551-566.
    4. Yuchen An & Kunliang Jiang & Jiashan Song, 2023. "Does a Cross-Correlation of Economic Policy Uncertainty with China’s Carbon Market Really Exist? A Perspective on Fractal Market Hypothesis," Sustainability, MDPI, vol. 15(14), pages 1-18, July.
    5. Wei, Yu & Wang, Yudong & Huang, Dengshi, 2011. "A copula–multifractal volatility hedging model for CSI 300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4260-4272.
    6. Zhang, Shuchang & Guo, Yaoqi & Cheng, Hui & Zhang, Hongwei, 2021. "Cross-correlations between price and volume in China's crude oil futures market: A study based on multifractal approaches," Chaos, Solitons & Fractals, Elsevier, vol. 144(C).
    7. Ruan, Qingsong & Huang, Ying & Jiang, Wei, 2016. "The exceedance and cross-correlations between the gold spot and futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 139-151.
    8. Zhuang, Xiaoyang & Wei, Yu & Ma, Feng, 2015. "Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 430(C), pages 101-113.
    9. Chen, Feier & Tian, Kang & Ding, Xiaoxu & Miao, Yuqi & Lu, Chunxia, 2016. "Finite-size effect and the components of multifractality in transport economics volatility based on multifractal detrending moving average method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 1058-1066.
    10. Bachar Fakhry & Christian Richter, 2018. "Does the Federal Constitutional Court Ruling Mean the German Financial Market is Efficient?," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, vol. 4(2), pages 111-125.
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    13. Mohd Ziaur Rehman & Shabeer Khan & Ghulam Abbas & Mohammed Alhashim, 2023. "Novel COVID-19 Outbreak and Global Uncertainty in the Top-10 Affected Countries: Evidence from Wavelet Coherence Approach," Sustainability, MDPI, vol. 15(6), pages 1-20, March.
    14. Naeem, Muhammad Abubakr & Hasan, Mudassar & Arif, Muhammad & Balli, Faruk & Shahzad, Syed Jawad Hussain, 2020. "Time and frequency domain quantile coherence of emerging stock markets with gold and oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 553(C).
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    84. Mali, Provash & Mukhopadhyay, Amitabha, 2014. "Multifractal characterization of gold market: A multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 361-372.
    85. Sun, Xinxin & Lu, Xinsheng & Yue, Gongzheng & Li, Jianfeng, 2017. "Cross-correlations between the US monetary policy, US dollar index and crude oil market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 326-344.
    86. Xinsheng Lu & Jie Tian & Ying Zhou & Zhihui Li, 2012. "Multifractal Detrended Fluctuation Analysis of the Chinese Stock Index Futures Market," Working Papers 2012-08, Auckland University of Technology, Department of Economics.

  108. Lin, Xiaoqiang & Fei, Fangyu & Wang, Yudong, 2011. "Analysis of the efficiency of the Shanghai stock market: A volatility perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3486-3495.

    Cited by:

    1. Zhuang, Xiaoyang & Wei, Yu & Ma, Feng, 2015. "Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 430(C), pages 101-113.
    2. Lin, Xiaoqiang & Tang, Zhenpeng & Fei, Fangyu, 2013. "Testing for relationships between Shanghai and Shenzhen stock markets: A threshold cointegration perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(18), pages 4064-4074.
    3. Chao Liang & Yongan Xu & Zhonglu Chen & Xiafei Li, 2023. "Forecasting China's stock market volatility with shrinkage method: Can Adaptive Lasso select stronger predictors from numerous predictors?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3689-3699, October.
    4. Arshad, Shaista & Rizvi, Syed Aun R. & Ghani, Gairuzazmi Mat & Duasa, Jarita, 2016. "Investigating stock market efficiency: A look at OIC member countries," Research in International Business and Finance, Elsevier, vol. 36(C), pages 402-413.
    5. dos Santos Maciel, Leandro, 2023. "Brazilian stock-market efficiency before and after COVID-19: The roles of fractality and predictability," Global Finance Journal, Elsevier, vol. 58(C).
    6. Gu, Rongbao & Xiong, Wei & Li, Xinjie, 2015. "Does the singular value decomposition entropy have predictive power for stock market? — Evidence from the Shenzhen stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 439(C), pages 103-113.
    7. Nobuyoshi Yamori & Jianjun Sun, 2019. "How Did the Introduction of Deposit Insurance Affect Chinese Banks? An Investigation of Its Wealth Effects," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 55(9), pages 2022-2038, July.
    8. Lin, Xiaoqiang & Fei, Fangyu, 2013. "Long memory revisit in Chinese stock markets: Based on GARCH-class models and multiscale analysis," Economic Modelling, Elsevier, vol. 31(C), pages 265-275.
    9. Zhou, Weijie & Dang, Yaoguo & Gu, Rongbao, 2013. "Efficiency and multifractality analysis of CSI 300 based on multifractal detrending moving average algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1429-1438.
    10. Yuan, PengCheng & Lin, XuXun, 2017. "How long will the traffic flow time series keep efficacious to forecast the future?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 419-431.
    11. Reboredo, Juan C. & Rivera-Castro, Miguel A. & Miranda, José G.V. & García-Rubio, Raquel, 2013. "How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1631-1637.
    12. Maciel, Leandro, 2021. "A new approach to portfolio management in the Brazilian equity market: Does assets efficiency level improve performance?," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 38-56.

  109. Wei, Yu & Wang, Yudong & Huang, Dengshi, 2011. "A copula–multifractal volatility hedging model for CSI 300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4260-4272.

    Cited by:

    1. Qu, Hui & Wang, Tianyang & Zhang, Yi & Sun, Pengfei, 2019. "Dynamic hedging using the realized minimum-variance hedge ratio approach – Examination of the CSI 300 index futures," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    2. Wenming Shi & Kevin X. Li & Zhongzhi Yang & Ganggang Wang, 2017. "Time-varying copula models in the shipping derivatives market," Empirical Economics, Springer, vol. 53(3), pages 1039-1058, November.
    3. Zhiyuan Pan & Xianchao Sun, 2014. "Hedging Strategy Using Copula and Nonparametric Methods: Evidence from China Securities Index Futures," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 107-121.
    4. Yang, Liansheng & Zhu, Yingming & Wang, Yudong, 2016. "Multifractal characterization of energy stocks in China: A multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 357-365.
    5. Hou, Yang & Li, Steven, 2013. "Hedging performance of Chinese stock index futures: An empirical analysis using wavelet analysis and flexible bivariate GARCH approaches," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 109-131.
    6. Chen, Rongda & Li, Cong & Wang, Weijin & Wang, Ze, 2014. "Empirical analysis on future-cash arbitrage risk with portfolio VaR," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 398(C), pages 210-216.
    7. Yang, Liansheng & Zhu, Yingming & Wang, Yudong & Wang, Yiqi, 2016. "Multifractal detrended cross-correlations between crude oil market and Chinese ten sector stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 255-265.
    8. Qianjie Geng & Yudong Wang, 2021. "Futures Hedging in CSI 300 Markets: A Comparison Between Minimum-Variance and Maximum-Utility Frameworks," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 719-742, February.
    9. Chen, Wang & Wei, Yu & Lang, Qiaoqi & Lin, Yu & Liu, Maojuan, 2014. "Financial market volatility and contagion effect: A copula–multifractal volatility approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 398(C), pages 289-300.
    10. Wang, Dong-Hua & Suo, Yuan-Yuan & Yu, Xiao-Wen & Lei, Man, 2013. "Price–volume cross-correlation analysis of CSI300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(5), pages 1172-1179.
    11. Wang, Yajing & Liang, Fang & Wang, Tianyi & Huang, Zhuo, 2020. "Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market," Economic Modelling, Elsevier, vol. 87(C), pages 148-157.
    12. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2022. "The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets," Research in International Business and Finance, Elsevier, vol. 59(C).
    13. Gang-Jin Wang & Chi Xie & Peng Zhang & Feng Han & Shou Chen, 2014. "Dynamics of Foreign Exchange Networks: A Time-Varying Copula Approach," Discrete Dynamics in Nature and Society, Hindawi, vol. 2014, pages 1-11, May.
    14. Ruzhen Yan & Ding Yue & Xu Wu & Wei Gao, 2023. "Multiscale Multifractal Detrended Fluctuation Analysis and Trend Identification of Liquidity in the China's Stock Markets," Computational Economics, Springer;Society for Computational Economics, vol. 61(2), pages 487-511, February.

  110. Wang, Yudong & Wu, Chongfeng & Wei, Yu, 2011. "Can GARCH-class models capture long memory in WTI crude oil markets?," Economic Modelling, Elsevier, vol. 28(3), pages 921-927, May.

    Cited by:

    1. Pick Schen Yip & Robert Brooks & Hung Xuan Do & Duc Khuong Nguyen, 2019. "Dynamic Volatility Spillover Effect between Oil and Agricultural Products," Working Papers 2019-009, Department of Research, Ipag Business School.
    2. Sévi, Benoît, 2014. "Forecasting the volatility of crude oil futures using intraday data," European Journal of Operational Research, Elsevier, vol. 235(3), pages 643-659.
    3. Fuentes, Fernanda & Herrera, Rodrigo & Clements, Adam, 2018. "Modeling extreme risks in commodities and commodity currencies," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 108-120.
    4. Sun, Xiaolei & Li, Jianping & Tang, Ling & Wu, Dengsheng, 2012. "Identifying the risk-return tradeoff and exploring the dynamic risk exposure of country portfolio of the FSU's oil economies," Economic Modelling, Elsevier, vol. 29(6), pages 2494-2503.
    5. Wang, Yudong & Wu, Chongfeng, 2012. "What can we learn from the history of gasoline crack spreads?: Long memory, structural breaks and modeling implications," Economic Modelling, Elsevier, vol. 29(2), pages 349-360.
    6. Delavari, Majid & Gandali Alikhani, Nadiya, 2012. "The Effect of Crude Oil Price on the Methanol price," MPRA Paper 49727, University Library of Munich, Germany.
    7. Halkos, George & Tzirivis, Apostolos, 2018. "Effective energy commodities’ risk management: Econometric modeling of price volatility," MPRA Paper 90781, University Library of Munich, Germany.
    8. Yue, Tian & Li, Lu-Lu & Ruan, Xinfeng & Zhang, Jin E., 2024. "Smirking in the energy market: Evidence from the Chinese crude oil options market," International Review of Financial Analysis, Elsevier, vol. 96(PA).
    9. Ben-Salha, Ousama & Mokni, Khaled, 2022. "Detrended cross-correlation analysis in quantiles between oil price and the US stock market," Energy, Elsevier, vol. 242(C).
    10. Charfeddine, Lanouar, 2016. "Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis," Economic Modelling, Elsevier, vol. 53(C), pages 354-374.
    11. Komijani, Akbar & Naderi, Esmaeil & Gandali Alikhani, Nadiya, 2013. "A Hybrid Approach for Forecasting of Oil Prices Volatility," MPRA Paper 44654, University Library of Munich, Germany.
    12. Xu, Weijun & Sun, Qi & Xiao, Weilin, 2012. "A new energy model to capture the behavior of energy price processes," Economic Modelling, Elsevier, vol. 29(5), pages 1585-1591.
    13. Yudong Wang & Chongfeng Wu, 2013. "Efficiency of Crude Oil Futures Markets: New Evidence from Multifractal Detrending Moving Average Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 42(4), pages 393-414, December.
    14. Chen, Rongda & Xu, Jianjun, 2019. "Forecasting volatility and correlation between oil and gold prices using a novel multivariate GAS model," Energy Economics, Elsevier, vol. 78(C), pages 379-391.
    15. Li, Haiqi & Kim, Hyung-Gun & Park, Sung Y., 2015. "The role of financial speculation in the energy future markets: A new time-varying coefficient approach," Economic Modelling, Elsevier, vol. 51(C), pages 112-122.
    16. Halkos, George E. & Tsirivis, Apostolos S., 2019. "Effective energy commodity risk management: Econometric modeling of price volatility," Economic Analysis and Policy, Elsevier, vol. 63(C), pages 234-250.
    17. Charfeddine, Lanouar, 2014. "True or spurious long memory in volatility: Further evidence on the energy futures markets," Energy Policy, Elsevier, vol. 71(C), pages 76-93.
    18. Wirl, Franz, 2015. "Output adjusting cartels facing dynamic, convex demand under uncertainty: The case of OPEC," Economic Modelling, Elsevier, vol. 44(C), pages 307-316.
    19. Naeem, Muhammad Abubakr & Farid, Saqib & Yousaf, Imran & Kang, Sang Hoon, 2023. "Asymmetric efficiency in petroleum markets before and during COVID-19," Resources Policy, Elsevier, vol. 86(PA).
    20. Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Working Papers 2014-389, Department of Research, Ipag Business School.
    21. Liu, Li & Wan, Jieqiu, 2012. "A study of Shanghai fuel oil futures price volatility based on high frequency data: Long-range dependence, modeling and forecasting," Economic Modelling, Elsevier, vol. 29(6), pages 2245-2253.
    22. van Goor, Harm & Scholtens, Bert, 2014. "Modeling natural gas price volatility: The case of the UK gas market," Energy, Elsevier, vol. 72(C), pages 126-134.
    23. Wang, Yudong & Wu, Chongfeng & Yang, Li, 2016. "Forecasting crude oil market volatility: A Markov switching multifractal volatility approach," International Journal of Forecasting, Elsevier, vol. 32(1), pages 1-9.
    24. He, Kaijian & Tso, Geoffrey K.F. & Zou, Yingchao & Liu, Jia, 2018. "Crude oil risk forecasting: New evidence from multiscale analysis approach," Energy Economics, Elsevier, vol. 76(C), pages 574-583.
    25. Lin, Xiaoqiang & Fei, Fangyu, 2013. "Long memory revisit in Chinese stock markets: Based on GARCH-class models and multiscale analysis," Economic Modelling, Elsevier, vol. 31(C), pages 265-275.
    26. Geng, Qianjie & Wang, Yudong, 2024. "Forecasting the volatility of crude oil basis: Univariate models versus multivariate models," Energy, Elsevier, vol. 295(C).
    27. Yuan, PengCheng & Lin, XuXun, 2017. "How long will the traffic flow time series keep efficacious to forecast the future?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 419-431.
    28. Delavari, Majid & Gandali Alikhani, Nadiya & Naderi, Esmaeil, 2013. "Does long memory matter in forecasting oil price volatility?," MPRA Paper 46356, University Library of Munich, Germany.
    29. Narayan, Paresh Kumar & Popp, Stephan, 2012. "The energy consumption-real GDP nexus revisited: Empirical evidence from 93 countries," Economic Modelling, Elsevier, vol. 29(2), pages 303-308.
    30. Cheng, Fangzheng & Fan, Tijun & Fan, Dandan & Li, Shanling, 2018. "The prediction of oil price turning points with log-periodic power law and multi-population genetic algorithm," Energy Economics, Elsevier, vol. 72(C), pages 341-355.
    31. Chai, Jian & Xing, Li-Min & Zhou, Xiao-Yang & Zhang, Zhe George & Li, Jie-Xun, 2018. "Forecasting the WTI crude oil price by a hybrid-refined method," Energy Economics, Elsevier, vol. 71(C), pages 114-127.
    32. Lyu, Yongjian & Wang, Peng & Wei, Yu & Ke, Rui, 2017. "Forecasting the VaR of crude oil market: Do alternative distributions help?," Energy Economics, Elsevier, vol. 66(C), pages 523-534.
    33. Linlin Zhao & Jasper Mbachu & Zhansheng Liu, 2019. "Exploring the Trend of New Zealand Housing Prices to Support Sustainable Development," Sustainability, MDPI, vol. 11(9), pages 1-18, April.
    34. Bogdan Wlodarczyk, 2017. "Zmiennosc cen na globalnym rynku surowcow a ryzyko banku," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 15(66), pages 107-124.
    35. Sun, Qi & Xu, Weijun & Xiao, Weilin, 2013. "An empirical estimation for mean-reverting coal prices with long memory," Economic Modelling, Elsevier, vol. 33(C), pages 174-181.

  111. Gu, Rongbao & Chen, Hongtao & Wang, Yudong, 2010. "Multifractal analysis on international crude oil markets based on the multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2805-2815.

    Cited by:

    1. Lahmiri, Salim, 2017. "Multifractal analysis of Moroccan family business stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 183-191.
    2. Wei, Yu & Wang, Yudong & Huang, Dengshi, 2011. "A copula–multifractal volatility hedging model for CSI 300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4260-4272.
    3. Ruan, Qingsong & Bao, Junjie & Zhang, Manqian & Fan, Limin, 2019. "The effects of exchange rate regime reform on RMB markets: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 522(C), pages 122-134.
    4. Zhang, Shuchang & Guo, Yaoqi & Cheng, Hui & Zhang, Hongwei, 2021. "Cross-correlations between price and volume in China's crude oil futures market: A study based on multifractal approaches," Chaos, Solitons & Fractals, Elsevier, vol. 144(C).
    5. Zhuang, Xiaoyang & Wei, Yu & Ma, Feng, 2015. "Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 430(C), pages 101-113.
    6. Zhi-Qiang Jiang & Wen-Jie Xie & Wei-Xing Zhou, 2012. "Testing the weak-form efficiency of the WTI crude oil futures market," Papers 1211.4686, arXiv.org.
    7. Sierra-Porta, D., 2024. "A multifractal approach to understanding Forbush Decrease events: Correlations with geomagnetic storms and space weather phenomena," Chaos, Solitons & Fractals, Elsevier, vol. 185(C).
    8. Xiao, Di & Wang, Jun, 2021. "Attitude interaction for financial price behaviours by contact system with small-world network topology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 572(C).
    9. Wang, Yudong & Wu, Chongfeng, 2012. "What can we learn from the history of gasoline crack spreads?: Long memory, structural breaks and modeling implications," Economic Modelling, Elsevier, vol. 29(2), pages 349-360.
    10. Li, Zhihui & Lu, Xinsheng, 2012. "Cross-correlations between agricultural commodity futures markets in the US and China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(15), pages 3930-3941.
    11. Faheem Aslam & Paulo Ferreira & Haider Ali, 2022. "Analysis of the Impact of COVID-19 Pandemic on the Intraday Efficiency of Agricultural Futures Markets," JRFM, MDPI, vol. 15(12), pages 1-18, December.
    12. Zhuang, Xiaoyang & Wei, Yu & Zhang, Bangzheng, 2014. "Multifractal detrended cross-correlation analysis of carbon and crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 113-125.
    13. Lu, Xinsheng & Sun, Xinxin & Ge, Jintian, 2017. "Dynamic relationship between Japanese Yen exchange rates and market anxiety: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 474(C), pages 144-161.
    14. Lahmiri, Salim, 2017. "A study on chaos in crude oil markets before and after 2008 international financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 389-395.
    15. Wang, Yudong & Wei, Yu & Wu, Chongfeng, 2011. "Detrended fluctuation analysis on spot and futures markets of West Texas Intermediate crude oil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(5), pages 864-875.
    16. Dai, Meifeng & Hou, Jie & Gao, Jianyu & Su, Weiyi & Xi, Lifeng & Ye, Dandan, 2016. "Mixed multifractal analysis of China and US stock index series," Chaos, Solitons & Fractals, Elsevier, vol. 87(C), pages 268-275.
    17. Yang, Liansheng & Zhu, Yingming & Wang, Yudong, 2016. "Multifractal characterization of energy stocks in China: A multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 357-365.
    18. Mensi, Walid & Sensoy, Ahmet & Vo, Xuan Vinh & Kang, Sang Hoon, 2020. "Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices," Resources Policy, Elsevier, vol. 69(C).
    19. Qin, Jing & Lu, Xinsheng & Zhou, Ying & Qu, Ling, 2015. "The effectiveness of China’s RMB exchange rate reforms: An insight from multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 443-454.
    20. Laura Raisa Miloş & Cornel Haţiegan & Marius Cristian Miloş & Flavia Mirela Barna & Claudiu Boțoc, 2020. "Multifractal Detrended Fluctuation Analysis (MF-DFA) of Stock Market Indexes. Empirical Evidence from Seven Central and Eastern European Markets," Sustainability, MDPI, vol. 12(2), pages 1-15, January.
    21. Dai, Meifeng & Zhang, Cheng & Zhang, Danping, 2014. "Multifractal and singularity analysis of highway volume data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 332-340.
    22. García-Carranco, Sergio M. & Bory-Reyes, Juan & Balankin, Alexander S., 2016. "The crude oil price bubbling and universal scaling dynamics of price volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 452(C), pages 60-68.
    23. Ozger, Mehmet, 2011. "Scaling characteristics of ocean wave height time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(6), pages 981-989.
    24. Ghazani, Majid Mirzaee & Khosravi, Reza, 2020. "Multifractal detrended cross-correlation analysis on benchmark cryptocurrencies and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
    25. Lahmiri, Salim & Bekiros, Stelios, 2018. "Chaos, randomness and multi-fractality in Bitcoin market," Chaos, Solitons & Fractals, Elsevier, vol. 106(C), pages 28-34.
    26. Miroslava Zavadska & Lucía Morales & Joseph Coughlan, 2018. "The Lead–Lag Relationship between Oil Futures and Spot Prices—A Literature Review," IJFS, MDPI, vol. 6(4), pages 1-22, October.
    27. Gajardo, Gabriel & Kristjanpoller, Werner, 2017. "Asymmetric multifractal cross-correlations and time varying features between Latin-American stock market indices and crude oil market," Chaos, Solitons & Fractals, Elsevier, vol. 104(C), pages 121-128.
    28. Tao Yin & Yiming Wang, 2019. "Predicting the Price of WTI Crude Oil Using ANN and Chaos," Sustainability, MDPI, vol. 11(21), pages 1-14, October.
    29. Zhang, Bing & Li, Xiao-Ming & He, Fei, 2014. "Testing the evolution of crude oil market efficiency: Data have the conn," Energy Policy, Elsevier, vol. 68(C), pages 39-52.
    30. Takaishi, Tetsuya, 2018. "Statistical properties and multifractality of Bitcoin," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 507-519.
    31. Ruan, Qingsong & Cui, Hao & Fan, Liming, 2020. "China’s soybean crush spread: Nonlinear analysis based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
    32. Naeem, Muhammad Abubakr & Farid, Saqib & Yousaf, Imran & Kang, Sang Hoon, 2023. "Asymmetric efficiency in petroleum markets before and during COVID-19," Resources Policy, Elsevier, vol. 86(PA).
    33. Li, Jianfeng & Lu, Xinsheng & Zhou, Ying, 2016. "Cross-correlations between crude oil and exchange markets for selected oil rich economies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 131-143.
    34. Yuan, Ying & Zhuang, Xin-tian & Jin, Xiu & Huang, Wei-qiang, 2014. "Stable distribution and long-range correlation of Brent crude oil market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 173-179.
    35. Roy, Souparno & Roy, Chandrima & Nag, Sayan & Banerjee, Archi & Sengupta, Ranjan & Ghosh, Dipak, 2020. "Chaos based non-linear cognitive study of different stimulus in the cross-modal perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 546(C).
    36. Chiarucci, Riccardo & Loffredo, Maria I. & Ruzzenenti, Franco, 2017. "Evidences for a structural change in the oil market before a financial crisis: The flat horizon effect," Research in International Business and Finance, Elsevier, vol. 42(C), pages 912-921.
    37. Li, Shuping & Lu, Xinsheng & Li, Jianfeng, 2021. "Cross-correlations between the P2P interest rate, Shibor and treasury yields," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
    38. Zhou, Weijie & Dang, Yaoguo & Gu, Rongbao, 2013. "Efficiency and multifractality analysis of CSI 300 based on multifractal detrending moving average algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1429-1438.
    39. Guo, Yaoqi & Shi, Fengyuan & Yu, Zhuling & Yao, Shanshan & Zhang, Hongwei, 2022. "Asymmetric multifractality in China’s energy market based on improved asymmetric multifractal cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 594(C).
    40. Asif, Raheel & Frömmel, Michael, 2022. "Testing Long memory in exchange rates and its implications for the adaptive market hypothesis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
    41. Lu, Xinsheng & Tian, Jie & Zhou, Ying & Li, Zhihui, 2013. "Multifractal detrended fluctuation analysis of the Chinese stock index futures market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1452-1458.
    42. Ruan, Qingsong & Wang, Yao & Lu, Xinsheng & Qin, Jing, 2016. "Cross-correlations between Baltic Dry Index and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 278-289.
    43. Yao, Can-Zhong & Lin, Ji-Nan & Zheng, Xu-Zhou, 2017. "Coupling detrended fluctuation analysis for multiple warehouse-out behavioral sequences," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 75-90.
    44. Jiang, Chenguang & Shang, Pengjian & Shi, Wenbin, 2016. "Multiscale multifractal time irreversibility analysis of stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 492-507.
    45. Wang, Yudong & Wu, Chongfeng & Pan, Zhiyuan, 2011. "Multifractal detrending moving average analysis on the US Dollar exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3512-3523.
    46. Lahmiri, Salim, 2017. "On fractality and chaos in Moroccan family business stock returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 29-39.
    47. Zhang, Xiaonei & Zeng, Ming & Meng, Qinghao, 2018. "Multivariate multifractal detrended fluctuation analysis of 3D wind field signals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 513-523.
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    49. Cristina Sattarhoff & Marc Gronwald, 2018. "How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market," CESifo Working Paper Series 7102, CESifo.
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    3. Diniz-Maganini, Natalia & Diniz, Eduardo H. & Rasheed, Abdul A., 2021. "Bitcoin’s price efficiency and safe haven properties during the COVID-19 pandemic: A comparison," Research in International Business and Finance, Elsevier, vol. 58(C).
    4. Diniz-Maganini, Natalia & Rasheed, Abdul A. & Sheng, Hsia Hua, 2021. "Exchange rate regimes and price efficiency: Empirical examination of the impact of financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    5. Yuan, Ying & Zhuang, Xin-tian & Liu, Zhi-ying, 2012. "Price–volume multifractal analysis and its application in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3484-3495.
    6. Gu, Rongbao & Xiong, Wei & Li, Xinjie, 2015. "Does the singular value decomposition entropy have predictive power for stock market? — Evidence from the Shenzhen stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 439(C), pages 103-113.
    7. Zhu, Huijian & Zhang, Weiguo, 2018. "Multifractal property of Chinese stock market in the CSI 800 index based on MF-DFA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 497-503.
    8. Pierre R. Bertrand & Marie-Eliette Dury & Bing Xiao, 2020. "A study of Chinese market efficiency, Shanghai versus Shenzhen: Evidence based on multifractional models," Post-Print hal-03031766, HAL.
    9. Telli, Şahin & Chen, Hongzhuan, 2020. "Multifractal behavior in return and volatility series of Bitcoin and gold in comparison," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
    10. Lee, Minhyuk & Song, Jae Wook & Kim, Sondo & Chang, Woojin, 2018. "Asymmetric market efficiency using the index-based asymmetric-MFDFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 1278-1294.
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    12. Stavroyiannis, Stavros & Babalos, Vassilios & Bekiros, Stelios & Lahmiri, Salim & Uddin, Gazi Salah, 2019. "The high frequency multifractal properties of Bitcoin," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 520(C), pages 62-71.
    13. Wang, Qizhen & Zhu, Yingming & Yang, Liansheng & Mul, Remco A.H., 2017. "Coupling detrended fluctuation analysis of Asian stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 337-350.
    14. Diniz-Maganini, Natalia & Rasheed, Abdul A. & Sheng, Hsia Hua, 2023. "Price efficiency of the foreign exchange rates of BRICS countries: A comparative analysis," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(1).

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    4. Wang, Yudong & Wu, Chongfeng, 2012. "Energy prices and exchange rates of the U.S. dollar: Further evidence from linear and nonlinear causality analysis," Economic Modelling, Elsevier, vol. 29(6), pages 2289-2297.
    5. Wei, Yu & Wang, Yudong & Huang, Dengshi, 2011. "A copula–multifractal volatility hedging model for CSI 300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4260-4272.
    6. Ruan, Qingsong & Bao, Junjie & Zhang, Manqian & Fan, Limin, 2019. "The effects of exchange rate regime reform on RMB markets: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 522(C), pages 122-134.
    7. Zhang, Shuchang & Guo, Yaoqi & Cheng, Hui & Zhang, Hongwei, 2021. "Cross-correlations between price and volume in China's crude oil futures market: A study based on multifractal approaches," Chaos, Solitons & Fractals, Elsevier, vol. 144(C).
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    10. Zhi-Qiang Jiang & Wen-Jie Xie & Wei-Xing Zhou, 2012. "Testing the weak-form efficiency of the WTI crude oil futures market," Papers 1211.4686, arXiv.org.
    11. Alvarez-Ramirez, J. & Alvarez, J. & Rodríguez, E., 2015. "Asymmetric long-term autocorrelations in crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 330-341.
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  115. Wang, Yudong & Wei, Yu & Wu, Chongfeng, 2010. "Auto-correlated behavior of WTI crude oil volatilities: A multiscale perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5759-5768.

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    1. Wang, Yudong & Wu, Chongfeng, 2012. "Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?," Energy Economics, Elsevier, vol. 34(6), pages 2167-2181.
    2. Echeverria, J.C. & Rodriguez, E. & Aguilar-Cornejo, M. & Alvarez-Ramirez, J., 2016. "Linear combination of power-law functions for detecting multiscaling using detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 460(C), pages 283-293.
    3. Zhuang, Xiaoyang & Wei, Yu & Ma, Feng, 2015. "Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 430(C), pages 101-113.
    4. Zou, Shaohui & Zhang, Tian, 2020. "Multifractal detrended cross-correlation analysis of the relation between price and volume in European carbon futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    5. Wang, Yudong & Wu, Chongfeng, 2012. "What can we learn from the history of gasoline crack spreads?: Long memory, structural breaks and modeling implications," Economic Modelling, Elsevier, vol. 29(2), pages 349-360.
    6. Li, Daye & Nishimura, Yusaku & Men, Ming, 2016. "The long memory and the transaction cost in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 312-320.
    7. Liu, Li & Chen, Ching-Cheng & Wan, Jieqiu, 2013. "Is world oil market “one great pool”?: An example from China's and international oil markets," Economic Modelling, Elsevier, vol. 35(C), pages 364-373.
    8. Lin, Xiaoqiang & Fei, Fangyu & Wang, Yudong, 2011. "Analysis of the efficiency of the Shanghai stock market: A volatility perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3486-3495.
    9. Li, Daye & Nishimura, Yusaku & Men, Ming, 2016. "Why the long-term auto-correlation has not been eliminated by arbitragers: Evidences from NYMEX," Energy Economics, Elsevier, vol. 59(C), pages 167-178.
    10. García-Carranco, Sergio M. & Bory-Reyes, Juan & Balankin, Alexander S., 2016. "The crude oil price bubbling and universal scaling dynamics of price volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 452(C), pages 60-68.
    11. Wang, Hong-Yong & Wang, Tong-Tong, 2018. "Multifractal analysis of the Chinese stock, bond and fund markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 280-292.
    12. Gu, Rongbao & Shao, Yanmin & Wang, Qingnan, 2013. "Is the efficiency of stock market correlated with multifractality? An evidence from the Shanghai stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(2), pages 361-370.
    13. Apergis, Nicholas & Payne, James E., 2017. "Volatility Modeling of U.S. Metropolitan Retail Gasoline Prices: An Empirical Note," Journal of Regional Analysis and Policy, Mid-Continent Regional Science Association, vol. 48(2), September.
    14. Naeem, Muhammad Abubakr & Farid, Saqib & Yousaf, Imran & Kang, Sang Hoon, 2023. "Asymmetric efficiency in petroleum markets before and during COVID-19," Resources Policy, Elsevier, vol. 86(PA).
    15. Liu, Li & Wan, Jieqiu, 2012. "A study of Shanghai fuel oil futures price volatility based on high frequency data: Long-range dependence, modeling and forecasting," Economic Modelling, Elsevier, vol. 29(6), pages 2245-2253.
    16. Zhou, Weijie & Dang, Yaoguo & Gu, Rongbao, 2013. "Efficiency and multifractality analysis of CSI 300 based on multifractal detrending moving average algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1429-1438.
    17. Li, Ziran & Sun, Jiajing & Wang, Shouyang, 2013. "An information diffusion-based model of oil futures price," Energy Economics, Elsevier, vol. 36(C), pages 518-525.
    18. Jammazi, Rania, 2012. "Cross dynamics of oil-stock interactions: A redundant wavelet analysis," Energy, Elsevier, vol. 44(1), pages 750-777.

  116. Wang, Yudong & Liu, Li & Gu, Rongbao & Cao, Jianjun & Wang, Haiyan, 2010. "Analysis of market efficiency for the Shanghai stock market over time," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(8), pages 1635-1642.

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    1. Chai, Shanglei & Yang, Xiaoli & Zhang, Zhen & Abedin, Mohammad Zoynul & Lucey, Brian, 2022. "Regional imbalances of market efficiency in China’s pilot emission trading schemes (ETS): A multifractal perspective," Research in International Business and Finance, Elsevier, vol. 63(C).
    2. Wang, Yudong & Wu, Chongfeng & Wei, Yu, 2011. "Can GARCH-class models capture long memory in WTI crude oil markets?," Economic Modelling, Elsevier, vol. 28(3), pages 921-927, May.
    3. Lin, Xiaoqiang & Fei, Fangyu & Wang, Yudong, 2011. "Analysis of the efficiency of the Shanghai stock market: A volatility perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3486-3495.
    4. Qiubin Huang & Jakob De Haan & Bert Scholtens, 2019. "Analysing Systemic Risk in the Chinese Banking System," Pacific Economic Review, Wiley Blackwell, vol. 24(2), pages 348-372, May.
    5. Lu, Xinsheng & Sun, Xinxin & Ge, Jintian, 2017. "Dynamic relationship between Japanese Yen exchange rates and market anxiety: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 474(C), pages 144-161.
    6. Lin, XuXun & Yuan, PengCheng, 2018. "A dynamic parking charge optimal control model under perspective of commuters’ evolutionary game behavior," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1096-1110.
    7. Ruan, Yong-Ping & Song, Xin & Zheng, Kai, 2018. "Do large shareholders collude with institutional investors? Based on the data of the private placement of listed companies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 242-253.
    8. Yang, Liansheng & Zhu, Yingming & Wang, Yudong, 2016. "Multifractal characterization of energy stocks in China: A multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 357-365.
    9. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Upside-Downside Multifractality and Efficiency of Green Bonds: The Roles of Global Factors and COVID-19," Finance Research Letters, Elsevier, vol. 43(C).
    10. Mensi, Walid & Sensoy, Ahmet & Vo, Xuan Vinh & Kang, Sang Hoon, 2020. "Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices," Resources Policy, Elsevier, vol. 69(C).
    11. Telli, Şahin & Chen, Hongzhuan & Zhao, Xufeng, 2022. "Detecting multifractality and exposing distributions of local fluctuations: Detrended fluctuation analysis with descriptive statistics pooling," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).
    12. dos Santos Maciel, Leandro, 2023. "Brazilian stock-market efficiency before and after COVID-19: The roles of fractality and predictability," Global Finance Journal, Elsevier, vol. 58(C).
    13. Wang, Yudong & Wei, Yu & Wu, Chongfeng, 2010. "Auto-correlated behavior of WTI crude oil volatilities: A multiscale perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5759-5768.
    14. Gu, Rongbao & Xiong, Wei & Li, Xinjie, 2015. "Does the singular value decomposition entropy have predictive power for stock market? — Evidence from the Shenzhen stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 439(C), pages 103-113.
    15. Adam Karp & Gary Van Vuuren, 2019. "Investment Implications Of The Fractal Market Hypothesis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 14(01), pages 1-27, March.
    16. Wang, Gang-Jin & Jiang, Zhi-Qiang & Lin, Min & Xie, Chi & Stanley, H. Eugene, 2018. "Interconnectedness and systemic risk of China's financial institutions," Emerging Markets Review, Elsevier, vol. 35(C), pages 1-18.
    17. Zhuang, Xiaoyang & Wei, Dan, 2022. "Asymmetric multifractality, comparative efficiency analysis of green finance markets: A dynamic study by index-based model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
    18. Aditya Prasad Sahoo, 2021. "Is the Configuration of Indian Stock Market Weakly Efficient?," ComFin Research, Shanlax Journals, vol. 9(3), pages 1-6, July.
    19. Ma, Pengcheng & Li, Daye & Li, Shuo, 2016. "Efficiency and cross-correlation in equity market during global financial crisis: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 163-176.
    20. Lv, Xiaodong & Shan, Xian, 2013. "Modeling natural gas market volatility using GARCH with different distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(22), pages 5685-5699.
    21. Yang, Jie & Feng, Yun, 2023. "Market inefficiency spillover network across different regimes," Finance Research Letters, Elsevier, vol. 58(PC).
    22. Yin, Yi & Shang, Pengjian, 2013. "Modified DFA and DCCA approach for quantifying the multiscale correlation structure of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6442-6457.
    23. Godfrey, Keith R.L., 2017. "Toward a model-free measure of market efficiency," Pacific-Basin Finance Journal, Elsevier, vol. 44(C), pages 97-112.
    24. Telli, Şahin & Chen, Hongzhuan, 2020. "Multifractal behavior in return and volatility series of Bitcoin and gold in comparison," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
    25. Lee, Minhyuk & Song, Jae Wook & Kim, Sondo & Chang, Woojin, 2018. "Asymmetric market efficiency using the index-based asymmetric-MFDFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 1278-1294.
    26. Wang, Yudong & Wu, Chongfeng, 2012. "Long memory in energy futures markets: Further evidence," Resources Policy, Elsevier, vol. 37(3), pages 261-272.
    27. Hartmann, András & Mukli, Péter & Nagy, Zoltán & Kocsis, László & Hermán, Péter & Eke, András, 2013. "Real-time fractal signal processing in the time domain," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(1), pages 89-102.
    28. Rodriguez, E. & Aguilar-Cornejo, M. & Femat, R. & Alvarez-Ramirez, J., 2014. "US stock market efficiency over weekly, monthly, quarterly and yearly time scales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 554-564.
    29. Sukpitak, Jessada & Hengpunya, Varagorn, 2016. "The influence of trading volume on market efficiency: The DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 259-265.
    30. Zhou, Weijie & Dang, Yaoguo & Gu, Rongbao, 2013. "Efficiency and multifractality analysis of CSI 300 based on multifractal detrending moving average algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1429-1438.
    31. Chen, Hongtao & Wu, Chongfeng, 2011. "Forecasting volatility in Shanghai and Shenzhen markets based on multifractal analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(16), pages 2926-2935.
    32. Jiang, Chenguang & Shang, Pengjian & Shi, Wenbin, 2016. "Multiscale multifractal time irreversibility analysis of stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 492-507.
    33. Wang, Yudong & Wu, Chongfeng & Pan, Zhiyuan, 2011. "Multifractal detrending moving average analysis on the US Dollar exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3512-3523.
    34. Min-Ren Yan, 2015. "Project-Based Market Competition and Policy Implications for Sustainable Developments in Building and Construction Sectors," Sustainability, MDPI, vol. 7(11), pages 1-26, November.
    35. Ni, Yensen & Day, Min-Yuh & Huang, Paoyu & Yu, Shang-Ru, 2020. "The profitability of Bollinger Bands: Evidence from the constituent stocks of Taiwan 50," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
    36. Reboredo, Juan C. & Rivera-Castro, Miguel A. & Miranda, José G.V. & García-Rubio, Raquel, 2013. "How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1631-1637.
    37. Wang, Yudong & Wei, Yu & Wu, Chongfeng, 2011. "Analysis of the efficiency and multifractality of gold markets based on multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(5), pages 817-827.
    38. Gajardo, Gabriel & Kristjanpoller, Werner D. & Minutolo, Marcel, 2018. "Does Bitcoin exhibit the same asymmetric multifractal cross-correlations with crude oil, gold and DJIA as the Euro, Great British Pound and Yen?," Chaos, Solitons & Fractals, Elsevier, vol. 109(C), pages 195-205.
    39. Ruan, Qingsong & Yang, Haiquan & Lv, Dayong & Zhang, Shuhua, 2018. "Cross-correlations between individual investor sentiment and Chinese stock market return: New perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 243-256.
    40. Ma, Feng & Wei, Yu & Huang, Dengshi & Zhao, Lin, 2013. "Cross-correlations between West Texas Intermediate crude oil and the stock markets of the BRIC," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5356-5368.
    41. Cao, Guangxi & Cao, Jie & Xu, Longbing, 2013. "Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 797-807.
    42. Cristina Sattarhoff & Marc Gronwald, 2018. "How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market," CESifo Working Paper Series 7102, CESifo.
    43. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Upward/downward multifractality and efficiency in metals futures markets: The impacts of financial and oil crises," Resources Policy, Elsevier, vol. 76(C).
    44. Qian, Xi-Yuan & Gu, Gao-Feng & Zhou, Wei-Xing, 2011. "Modified detrended fluctuation analysis based on empirical mode decomposition for the characterization of anti-persistent processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4388-4395.
    45. Engelen, Steve & Norouzzadeh, Payam & Dullaert, Wout & Rahmani, Bahareh, 2011. "Multifractal features of spot rates in the Liquid Petroleum Gas shipping market," Energy Economics, Elsevier, vol. 33(1), pages 88-98, January.
    46. Bhatia, Madhur, 2023. "On the efficiency of the gold returns: An econometric exploration for India, USA and Brazil," Resources Policy, Elsevier, vol. 82(C).
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    2. Chen, Cheng & Wang, Yudong, 2017. "Understanding the multifractality in portfolio excess returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 346-355.
    3. Guo, Yaoqi & Yu, Zhuling & Yu, Chenxi & Cheng, Hui & Chen, Weixun & Zhang, Hongwei, 2021. "Asymmetric multifractal features of the price–volume correlation in China’s gold futures market based on MF-ADCCA," Research in International Business and Finance, Elsevier, vol. 58(C).
    4. Haider Ali & Faheem Aslam & Paulo Ferreira, 2021. "Modeling Dynamic Multifractal Efficiency of US Electricity Market," Energies, MDPI, vol. 14(19), pages 1-16, September.
    5. Wei, Yu & Wang, Yudong & Huang, Dengshi, 2011. "A copula–multifractal volatility hedging model for CSI 300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4260-4272.
    6. Ruan, Qingsong & Bao, Junjie & Zhang, Manqian & Fan, Limin, 2019. "The effects of exchange rate regime reform on RMB markets: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 522(C), pages 122-134.
    7. Zhang, Shuchang & Guo, Yaoqi & Cheng, Hui & Zhang, Hongwei, 2021. "Cross-correlations between price and volume in China's crude oil futures market: A study based on multifractal approaches," Chaos, Solitons & Fractals, Elsevier, vol. 144(C).
    8. Wang, Dong-Hua & Yu, Xiao-Wen & Suo, Yuan-Yuan, 2012. "Statistical properties of the yuan exchange rate index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3503-3512.
    9. Ruan, Qingsong & Huang, Ying & Jiang, Wei, 2016. "The exceedance and cross-correlations between the gold spot and futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 139-151.
    10. Zhuang, Xiaoyang & Wei, Yu & Ma, Feng, 2015. "Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 430(C), pages 101-113.
    11. Guo, Yaoqi & Yao, Shanshan & Cheng, Hui & Zhu, Wensong, 2020. "China's copper futures market efficiency analysis: Based on nonlinear Granger causality and multifractal methods," Resources Policy, Elsevier, vol. 68(C).
    12. Li, Zhihui & Lu, Xinsheng, 2012. "Cross-correlations between agricultural commodity futures markets in the US and China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(15), pages 3930-3941.
    13. Xiao, Wei-Lin & Zhang, Wei-Guo & Zhang, Xili & Zhang, Xiaoli, 2012. "Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6418-6431.
    14. Ghosh, Dipak & Dutta, Srimonti & Chakraborty, Sayantan, 2014. "Multifractal detrended cross-correlation analysis for epileptic patient in seizure and seizure free status," Chaos, Solitons & Fractals, Elsevier, vol. 67(C), pages 1-10.
    15. Zhuang, Xiaoyang & Wei, Yu & Zhang, Bangzheng, 2014. "Multifractal detrended cross-correlation analysis of carbon and crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 113-125.
    16. Prass, Taiane Schaedler & Pumi, Guilherme, 2021. "On the behavior of the DFA and DCCA in trend-stationary processes," Journal of Multivariate Analysis, Elsevier, vol. 182(C).
    17. Liu, Li & Wang, Yudong, 2014. "Cross-correlations between spot and futures markets of nonferrous metals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 20-30.
    18. Liu, Li & Wan, Jieqiu, 2011. "A study of correlations between crude oil spot and futures markets: A rolling sample test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3754-3766.
    19. Corbet, Shaen & Hou, Yang & Hu, Yang & Oxley, Les, 2020. "The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry," International Review of Financial Analysis, Elsevier, vol. 72(C).
    20. Bentes, Sónia R., 2023. "Is gold a safe haven for the CIVETS countries under extremely adverse market conditions? Some new evidence from the MF-DCCA analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 623(C).
    21. Lin, Xiaoqiang & Tang, Zhenpeng & Fei, Fangyu, 2013. "Testing for relationships between Shanghai and Shenzhen stock markets: A threshold cointegration perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(18), pages 4064-4074.
    22. Yuan, Ying & Zhuang, Xin-tian & Liu, Zhi-ying, 2012. "Price–volume multifractal analysis and its application in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3484-3495.
    23. Wang, Gang-Jin & Xie, Chi, 2013. "Cross-correlations between Renminbi and four major currencies in the Renminbi currency basket," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1418-1428.
    24. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "Quantifying the cross-correlations between online searches and Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 657-672.
    25. Ma, Feng & Wei, Yu & Huang, Dengshi, 2013. "Multifractal detrended cross-correlation analysis between the Chinese stock market and surrounding stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1659-1670.
    26. Liu, Zhichao & Ma, Feng & Long, Yujia, 2015. "High and low or close to close prices? Evidence from the multifractal volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 427(C), pages 50-61.
    27. Todea, Alexandru, 2016. "Cross-correlations between volatility, volatility persistence and stock market integration: the case of emergent stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 87(C), pages 208-215.
    28. Okorie, David Iheke & Lin, Boqiang, 2023. "Cryptocurrency spectrum and 2020 pandemic: Contagion analysis," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 29-38.
    29. Qin, Jing & Lu, Xinsheng & Zhou, Ying & Qu, Ling, 2015. "The effectiveness of China’s RMB exchange rate reforms: An insight from multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 443-454.
    30. Faheem Aslam & Saqib Aziz & Duc K. Nguyen & Khurram S. Mughal & Maaz Khan, 2020. "On the Efficiency of Foreign Exchange Markets in Times of the COVID-19 Pandemic," Working Papers 2020-010, Department of Research, Ipag Business School.
    31. Telli, Şahin & Chen, Hongzhuan & Zhao, Xufeng, 2022. "Detecting multifractality and exposing distributions of local fluctuations: Detrended fluctuation analysis with descriptive statistics pooling," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).
    32. Chatterjee, Sucharita, 2020. "Analysis of the human gait rhythm in Neurodegenerative disease: A multifractal approach using Multifractal detrended cross correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    33. Chen, Hong & Zhu, Li & Jia, GuoZhu, 2020. "MF-DCCA between molecular properties and aqueous solubility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 556(C).
    34. Paulo Ferreira & Andreia Dionisio, 2015. "Revisiting Covered Interest Parity in the European Union: the DCCA Approach," International Economic Journal, Taylor & Francis Journals, vol. 29(4), pages 597-615, December.
    35. Charutha, S. & Gopal Krishna, M. & Manimaran, P., 2020. "Multifractal analysis of Indian public sector enterprises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
    36. He, Zhifang & Sun, Hao & Chen, Jiaqi & Yang, Xin & Yin, Zhujia, 2023. "Dynamic interaction of risk–return trade-offs between oil market and China’s stock market: An analysis from the risk preferences perspective," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    37. Chatterjee, Sucharita & Ghosh, Dipak, 2021. "Impact of Global Warming on SENSEX fluctuations — A study based on Multifractal detrended cross correlation analysis between the temperature anomalies and the SENSEX fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 571(C).
    38. Dutta, Srimonti & Ghosh, Dipak & Samanta, Shukla, 2014. "Multifractal detrended cross-correlation analysis of gold price and SENSEX," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 195-204.
    39. Gang-Jin Wang & Chi Xie & Kaijian He & H. Eugene Stanley, 2017. "Extreme risk spillover network: application to financial institutions," Quantitative Finance, Taylor & Francis Journals, vol. 17(9), pages 1417-1433, September.
    40. Lv, Xiaodong & Shan, Xian, 2013. "Modeling natural gas market volatility using GARCH with different distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(22), pages 5685-5699.
    41. Zebende, G.F. & da Silva, M.F. & Machado Filho, A., 2013. "DCCA cross-correlation coefficient differentiation: Theoretical and practical approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(8), pages 1756-1761.
    42. Ghosh, Dipak & Dutta, Srimonti & Chakraborty, Sayantan, 2015. "Multifractal Detrended Cross-correlation Analysis of Market Clearing Price of electricity and SENSEX in India," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 434(C), pages 52-59.
    43. Lu, Xinsheng & Li, Jianfeng & Zhou, Ying & Qian, Yubo, 2017. "Cross-correlations between RMB exchange rate and international commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 168-182.
    44. Chen, Wang & Wei, Yu & Lang, Qiaoqi & Lin, Yu & Liu, Maojuan, 2014. "Financial market volatility and contagion effect: A copula–multifractal volatility approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 398(C), pages 289-300.
    45. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "The inefficiency of cryptocurrency and its cross-correlation with Dow Jones Industrial Average," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 658-670.
    46. Aslam, Faheem & Memon, Bilal Ahmed & Hunjra, Ahmed Imran & Bouri, Elie, 2023. "The dynamics of market efficiency of major cryptocurrencies," Global Finance Journal, Elsevier, vol. 58(C).
    47. Ji, Qiangbiao & Zhang, Xin & Zhu, Yingming, 2020. "Multifractal analysis of the impact of US–China trade friction on US and China soy futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).
    48. Sun, Lin, 2013. "Pricing currency options in the mixed fractional Brownian motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(16), pages 3441-3458.
    49. Liu, Li & Wan, Jieqiu, 2012. "The relationships between Shanghai stock market and CNY/USD exchange rate: New evidence based on cross-correlation analysis, structural cointegration and nonlinear causality test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(23), pages 6051-6059.
    50. Kar, Alpa & Chatterjee, Sucharita & Ghosh, Dipak, 2019. "Multifractal detrended cross correlation analysis of Land-surface temperature anomalies and Soil radon concentration," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 236-247.
    51. Qin, Jing & Ge, Jintian & Lu, Xinsheng, 2018. "The effectiveness of the monetary policy in China: New evidence from long-range cross-correlation analysis and the components of multifractality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 1026-1037.
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    53. Dutta, Srimonti & Ghosh, Dipak & Chatterjee, Sucharita, 2016. "Multifractal detrended Cross Correlation Analysis of Foreign Exchange and SENSEX fluctuation in Indian perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 188-201.
    54. Li, Jianfeng & Lu, Xinsheng & Zhou, Ying, 2016. "Cross-correlations between crude oil and exchange markets for selected oil rich economies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 131-143.
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    56. Ruan, Qingsong & Zhang, Manqian & Lv, Dayong & Yang, Haiquan, 2018. "SAD and stock returns revisited: Nonlinear analysis based on MF-DCCA and Granger test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 1009-1022.
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