Gupta, Rangan; Kanda, Patrick; Tiwari, Aviral Kumar; Wohar, Mark E.
(Elsevier, 2019-11)
In this paper we analyze whether a news-based measure of financial stress index (FSI) in the US can predict West Texas Intermediate oil returns and (realized) volatility over the monthly period of 1889:01 to 2016:12, using ...