This paper disentangles the added value of using high-frequency-based (realized) covariance measures on multivariate volatility forecasting into two pillars: the realized variances and realized correlations and quantifies the corresponding economic gains using a broad set of portfolio...

We extend recurrent neural networks to include several flexible timescales for each dimension of their output, which mechanically improves their abilities to account for processes with long memory or highly disparate timescales. We compare the ability of vanilla and extended long short-term...

This paper investigates how the introduction of foreign exchange futures has an impact on spot volatility and considers the contemporaneous and dynamic relationship between spot volatility and foreign exchange futures trading activity, including trading volume and open interest in the Thailand...

In Iran, barley is considered the second-largest cultivated crop. However, more than 40% of Iran's requirements are imported from the international market. Due to the importance of barley in providing livestock feed and food security, its price variation is a critical issue for Iranian...

This paper investigates the occurrence of common price shocks (co-exceedance) across different commodities. IMF monthly price series of 11 commodities are considered over the 1980-2021 period. The analysis considers two alternative stochastic processes. The first looks for common volatility...

The aim of this study is to enhance the understanding of volatility dynamics in commodity returns, such as gold and cocoa, as well as the financial market index S&P500. It provides a comprehensive overview of each model's efficacy in capturing volatility clustering, asymmetry, and long-term...