The DOI matches its Crossref record; 81 of the 81 references it cites were found in a registry or an index.
Forecasting oil price realized volatility using information channels from other asset classes
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Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Engle, R. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102288618487 · Cited by 7,133
Diebold, F., & Mariano, R. (1994) · National Bureau of Economic Research · doi:10.3386/t0169 · Cited by 5,185
Diebold, F. X., & Mariano, R. S. (1995) · Journal of Business & Economic Statistics · doi:10.1080/07350015.1995.10524599 · Cited by 5,130
Bollerslev, T., Chou, R. Y., & Kroner, K. F. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90064-x · Cited by 4,270
Modeling and Forecasting Realized Volatility
Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2003) · Econometrica · doi:10.1111/1468-0262.00418 · Cited by 3,863
Oil and the Macroeconomy since World War II
Hamilton, J. D. (1983) · Journal of Political Economy · doi:10.1086/261140 · Cited by 3,786
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
Andersen, T. G., & Bollerslev, T. (1998) · International Economic Review · doi:10.2307/2527343 · Cited by 3,375
Forecasting Using Principal Components From a Large Number of Predictors
Stock, J. H., & Watson, M. W. (2002) · Journal of the American Statistical Association · doi:10.1198/016214502388618960 · Cited by 2,985
A Simple Approximate Long-Memory Model of Realized Volatility
Corsi, F. (2008) · Journal of Financial Econometrics · doi:10.1093/jjfinec/nbp001 · Cited by 2,495
Cited by
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence
Degiannakis, S., Filis, G., & Arora, V. (2018) · The Energy Journal · doi:10.5547/01956574.39.5.sdeg · Cited by 298
Self-citationHasanov, A. S., Burkhanov, A. U., Usmonov, B., Khajimuratov, N. S., & Khurramova, M. M. Q. (2024) · Energy · doi:10.1016/j.energy.2024.130535 · Cited by 43
Out‐of‐sample volatility prediction: Rolling window, expanding window, or both?
Feng, Y., Zhang, Y., & Wang, Y. (2024) · Journal of Forecasting · doi:10.1002/for.3046 · Cited by 22
Fusing Narrative Semantics for Financial Volatility Forecasting
Kong, Y., Hwang, Y., Kaiser, M., Vryonides, C., Oomen, R., & Zohren, S. (2025) · Proceedings of the 6th ACM International Conference on AI in Finance · doi:10.1145/3768292.3771256 · Cited by 3
Metadata
- Authors
- Degiannakis, S., & Filis, G.
- Venue
- Journal of International Money and Finance
- Publisher
- Elsevier BV
- Published
- 2017-09
- Volume
- 76
- Pages
- 28-49
- ISSN
- 0261-5606 (ISSN-L)
- OpenAlex
- W2617434451
- Cited by
- 284
- References
- 81
- FWCI
- 27.81
- Type
- journal article
- Language
- en
- Open access
- bronze
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- Degiannakis, S., & Filis, G. (2017). Forecasting oil price realized volatility using information channels from other asset classes. Journal of International Money and Finance. https://doi.org/10.1016/j.jimonfin.2017.05.006
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
