2022
DOI: 10.1002/for.2923
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Uncertainty‐driven oil volatility risk premium and international stock market volatility forecasting

Abstract: Forecasting international stock market volatility using the oil volatility risk premium (OVRP) is important for asset allocation and financial risk management. In previous literature, the issue of biased OVRP has not been well addressed. The OVRP is defined as the difference between the ex ante risk‐neutral expectation of oil return variation and the oil realized variance. This is a biased estimator as argued by previous studies. In this paper, we propose a new measure of OVRP, namely, the uncertainty‐driven O… Show more

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Cited by 6 publications
(1 citation statement)
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References 88 publications
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“…The influence was stronger for Canada compared to the United States. Ling and McAleer (2003) aimed to investigate the oil returns effect on returns of stock market in various countries. They utilized a multivariate GARCH model as their methodology.…”
Section: Literature Reviewmentioning
confidence: 99%
“…The influence was stronger for Canada compared to the United States. Ling and McAleer (2003) aimed to investigate the oil returns effect on returns of stock market in various countries. They utilized a multivariate GARCH model as their methodology.…”
Section: Literature Reviewmentioning
confidence: 99%