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Does oil price uncertainty matter in stock market volatility forecasting?
We analyze whether oil price uncertainty and U.S. stock uncertainty can simultaneously provide additional information to volatility forecast of six major stock indexes. For model settings, we find not only the uncertainty information of previous day, but that of previous week and month will also pro...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Public Library of Science
2022
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9797064/ https://www.ncbi.nlm.nih.gov/pubmed/36576907 http://dx.doi.org/10.1371/journal.pone.0277319 |