In this study, we examine the long-term predictive role of the global financial stress index
(GFSI) on equity market volatility and provide a comprehensive analysis using GFSI for the …

We investigate the information content of five uncertainty indices for the US natural gas
futures volatility forecasting. Our investigation is based on the GARCH‐MIDAS framework …

Inspired by the commonly held view that international stock market volatility is equivalent to
cross‐market information flow, we propose various ways of constructing two types of …

This study investigates the role of oil futures price information on forecasting the US stock
market volatility using the HAR framework. In-sample results indicate that oil futures intraday …

This paper explores the effectiveness of predictors, including nine economic policy
uncertainty indicators, four market sentiment indicators and two financial stress indices, in …

The general consensus in the volatility forecasting literature is that high-frequency volatility
models outperform low-frequency volatility models. However, such a conclusion is reached …

The primary purpose of this paper is to investigate whether a novel Markov regime‐
switching mixed‐data sampling (MRS‐MIADS) model we design can improve the prediction …

We propose a new heterogeneous autoregressive (HAR) model to investigate whether the
novel HAR‐RV model we design exhibits superior predictive ability compared with the …

Motivated by a common belief that the international stock market volatilities are synonymous
with information flow, this paper proposes a parsimonious way to combine multiple market …

This study aims to investigate which types of commodity price information are more useful for
predicting US stock market realized volatility (RV) in a data-rich word. The standard …