volatility and Student-t disturbances outperforms restricted alternatives that feature either attributes. The VAR model with …

electrification of global economies. However, their markets are characterized by high price volatility due to supply concentration …, low substitutability, and limited price elasticity. This paper provides a comprehensive analysis of the price volatility … visualization methods, we identify key features for accurate point and density forecasts. We evaluate various volatility models …

volatility and economic activity assuming that both variables are driven by the same set of unobserved common factors and that … these factors affect volatility and economic activity with a time lag of at least a quarter. Under these assumptions, the … paper analytically shows that volatility is forward looking and that the output equation of a typical VAR estimated in the …