Abstract
This paper employs the approach prompted by Kelly and Jiang (2014) to calculate a tail risk index for the global stock market. Our empirical results demonstrate that tail risk of the international stock market is statistically and economically informative about oil volatility. After controlling for EMV and VIX variables, tail risk of international stock market is still useful for predicting oil volatility. Our results prove that tail risk could provide incremental information for the connection between stock market and oil volatility.
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