This paper presents a high-frequency structural VAR framework for identifying oil price shocks and examining their uncertainty transmission in the U.S. macroeconomy and financial markets. Leveraging the stylized features of financial data - specifically, volatility clustering effectively...

We analyze the predictive effect of monthly global, regional, and country-level financial uncertainties on daily gold market volatility using univariate and multivariate GARCH-MIDAS models, with the latter characterized by variable selection. Based on data over the period of July 1992 to May...

We explore the application of integrated nested Laplace approximations for the Bayesian estimation of stochastic volatility models characterized by long memory. The logarithmic variance persistence in these models is represented by a Fractional Gaussian Noise process, which we approximate as a...

In this study, the volatility spillovers from the S&P 500 to the precious metals (gold, silver and platinum) are investigated. By using the TGARCH and DCC GARCH model, the evidence is found that there are spillovers between the S&P 500 and these global commodity markets. However, there are some...

This study examined the interconnectedness and volatility correlation between crypto‑ currency and traditional fnancial markets in the fve largest African countries, address‑ ing concerns about potential spillover efects, especially the high volatility and lack of regulation in the...