This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an … extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models … Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …

This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We … risk-neutral distributions as well as the term structure of volatility smiles and of variance risk premia. We find that the …

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 …

The presence of long memory in Realized Volatility (RV) is a widespread stylized fact. The origins of long memory in RV …

We study the impact of oil price shocks on US stock market volatility. We derive three different structural oil shock … variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate … structural VAR models, one for each oil price shock. Identification is achieved by assuming that the price of crude oil reacts to …

We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a … oil demand innovations have on financial volatility. We show that stock market volatility does not respond to oil supply …