This study investigates the role of investor attention to the price of petroleum products
(APPP) in forecasting Chinese stock market volatility. In the in-sample analysis, we find that …

Leveraging over 1.86 million news headlines, we examine the capability of ChatGPT-3.5, a
large language model (LLM), to predict equity risk premiums in the Chinese market. The …

This paper proposes a novel forecast combination method and investigates the impact of
technical indicators on volatility prediction in the Chinese stock market. Firstly, our analysis …

The importance of exchange rate volatility forecasting has both practical and academic
merit. Our aim is to provide a comprehensive analysis of the forecasting ability of financial …

This research aims to explore and understand the dynamic nature of volatility
connectedness between BRICS stock markets and various asset price implied volatility …

This study integrates Twitter-based market uncertainty (TMU) into the predictive framework
of daily volatility in twenty international equity markets. The study reveals that TMU has a …

The is study aims to analyze the effect of return dispersion on price return volatility and to
analyze the moderator role of book-to-market that can weaken the causal effect based on …

Our study investigates the informative role of climate risk in improving the predictability of
global stock market volatility. By extracting the composite component from the four individual …