Attention to oil prices and its impact on the oil, gold and stock markets and their covariance
提出一种基于开盘价、最高价、最低价和收盘价的新多变量波动率模型，将投资者对油价的关注（以谷歌搜索量衡量）作为外生变量，发现该模型能更好地解释和预测石油、黄金和股票市场收益之间的协方差。
This paper studies the impact of investor attention to oil prices on returns, volatility, and covariances of three exchange traded funds representing oil, gold, and the stock market. For this purpose, we suggest a new multivariate volatility model based on open, high, low, and closing prices that incorporates the impact of investor attention on returns, volatility, and covariances. We find that this model, which incorporates Google searches for “oil prices” as an exogeneous variable, outperforms other considered multivariate volatility models, and demonstrates that Google searches for “oil prices” can explain and forecast covariances between returns of oil, gold, and the stock market.