Forecasting oil price realized volatility using information channels from other asset classes

Authors: Degiannakis, S. and Filis, G.

http://eprints.bournemouth.ac.uk/29263/

Journal: Journal of International Money and Finance

Volume: 76

Pages: 28-49

Publisher: Pergamon Press Ltd.

ISSN: 0261-5606

This data was imported from Scopus:

Authors: Degiannakis, S. and Filis, G.

http://eprints.bournemouth.ac.uk/29263/

Journal: Journal of International Money and Finance

Volume: 76

Pages: 28-49

ISSN: 0261-5606

DOI: 10.1016/j.jimonfin.2017.05.006

© 2017 Elsevier Ltd Motivated from Ross (1989) who maintains that asset volatilities are synonymous to the information flow, we claim that cross-market volatility transmission effects are synonymous to cross-market information flows or “information channels” from one mar ket to another. Based on this assertion we assess whether cross-market volatility flows contain important information that can improve the accuracy of oil price realized volatility forecasting. We concentrate on realized volatilities derived from the intra-day prices of the Brent crude oil and four different asset classes (Stocks, Forex, Commodities and Macro), which represent the different “information channels” by which oil price volatility is impacted from. We employ a HAR framework and estimate forecasts for 1-day to 66-days ahead. Our findings provide strong evidence that the use of the different “information channels” enhances the predictive accuracy of oil price realized volatility at all forecasting horizons. Numerous forecasting evaluation tests and alternative model specifications confirm the robustness of our results.

This source preferred by George Filis

This data was imported from Web of Science (Lite):

Authors: Degiannakis, S. and Filis, G.

http://eprints.bournemouth.ac.uk/29263/

Journal: JOURNAL OF INTERNATIONAL MONEY AND FINANCE

Volume: 76

Pages: 28-49

eISSN: 1873-0639

ISSN: 0261-5606

DOI: 10.1016/j.jimonfin.2017.05.006

The data on this page was last updated at 04:43 on November 23, 2017.