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Applied Economics Volume 50, 2018 - Issue 18
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Original Articles

Is economic policy uncertainty important to forecast the realized volatility of crude oil futures?

Feng MaSchool of Economics & Management, Southwest Jiaotong University, Chengdu, ChinaView further author information
,
M. I. M. WahabDepartment of Mechanical and Industrial Engineering, Ryerson University, Toronto, CanadaView further author information
,
Jing LiuSchool of Economics & Management, Southwest Jiaotong University, Chengdu, ChinaCorrespondence[email protected]
View further author information
&
Li LiuSchool of Finance, Nanjing Audit University, Nanjing, ChinaView further author information
Pages 2087-2101 | Published online: 11 Oct 2017

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Yu Zhao & Jichan Zhu. (2023) The effect of US economic policy uncertainty on market risk of international crude oil and the portfolio strategy. Economic Research-Ekonomska Istraživanja 36:2.
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Danyan Wen, Mengxi He, Yudong Wang & Yaojie Zhang. (2023) Forecasting stock market realized volatility: the role of global terrorist attacks. Applied Economics 55:22, pages 2551-2566.
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Zhenhua Liu, Tingting Zhu, Zhaoping Duan, Shanqi Xuan, Zhihua Ding & Shan Wu. (2023) Time-varying impacts of oil price shocks on China’s stock market under economic policy uncertainty. Applied Economics 55:9, pages 963-989.
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Stavroula P. Fameliti & Vasiliki D. Skintzi. (2022) Statistical and economic performance of combination methods for forecasting crude oil price volatility. Applied Economics 54:26, pages 3031-3054.
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Xiong Xiong, Jiakou Liu & Zhifeng Liu. (2022) Can economic policy uncertainty predict financial stress? A MIDAS approach. Applied Economics Letters 29:1, pages 22-29.
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Li Liu, Feng Ma, Qing Zeng & Yaojie Zhang. (2020) Forecasting the aggregate stock market volatility in a data-rich world. Applied Economics 52:32, pages 3448-3463.
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Xiuwen Chen, Xiaolei Sun & Jianping Li. (2020) How does economic policy uncertainty react to oil price shocks? A multi-scale perspective. Applied Economics Letters 27:3, pages 188-193.
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Fenghua Wen, Yupei Zhao, Minzhi Zhang & Chunyan Hu. (2019) Forecasting realized volatility of crude oil futures with equity market uncertainty. Applied Economics 51:59, pages 6411-6427.
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Yu Li, Feng Ma, Yaojie Zhang & Zuoping Xiao. (2019) Economic policy uncertainty and the Chinese stock market volatility: new evidence. Applied Economics 51:49, pages 5398-5410.
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Zibo Niu, Feng Ma & Hongwei Zhang. (2022) The role of uncertainty measures in volatility forecasting of the crude oil futures market before and during the COVID-19 pandemic. Energy Economics 112, pages 106120.
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Min Liu & Chien-Chiang Lee. (2022) Is gold a long-run hedge, diversifier, or safe haven for oil? Empirical evidence based on DCC-MIDAS. Resources Policy 76, pages 102703.
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Xu Gong & Boqiang Lin. (2020) Predicting the volatility of crude oil futures: The roles of leverage effects and structural changes. International Journal of Finance & Economics 27:1, pages 610-640.
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Fenghua Wen, Keli Zhang & Xu Gong. (2021) The effects of oil price shocks on inflation in the G7 countries. The North American Journal of Economics and Finance 57, pages 101391.
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TOAN LUU DUC HUYNH, MEI WANG & VINH XUAN VO. (2021) ECONOMIC POLICY UNCERTAINTY AND THE BITCOIN MARKET: AN INVESTIGATION IN THE COVID-19 PANDEMIC WITH TRANSFER ENTROPY. The Singapore Economic Review, pages 1-27.
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Xiaoyu Xie & Heliang Zhu. (2021) The role of gold futures in mitigating the impact of economic uncertainty on spot prices: Evidence from China. Research in International Business and Finance 56, pages 101378.
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Kun Yang, Yu Wei, Shouwei Li, Liang Liu & Lei Wang. (2021) Global financial uncertainties and China’s crude oil futures market: Evidence from interday and intraday price dynamics. Energy Economics 96, pages 105149.
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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 12:16, pages 6662.
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Meng Qin, Chi-Wei Su, Lin-Na Hao & Ran Tao. (2020) The stability of U.S. economic policy: Does it really matter for oil price?. Energy 198, pages 117315.
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Chi-Wei Su, Meng Qin, Ran Tao, Nicoleta-Claudia Moldovan & Oana-Ramona Lobonţ. (2020) Factors driving oil price —— from the perspective of United States. Energy 197, pages 117219.
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Robert L. Czudaj. (2019) Crude oil futures trading and uncertainty. Energy Economics 80, pages 793-811.
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Min Liu & Chien-Chiang Lee. (2022) Is Gold a Long-Run Hedge, Diversifier, or Safe Haven for Oil?  Empirical Evidence Based on Dcc-Midas. SSRN Electronic Journal.
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