We forecast the realized and median realized volatility of agricultural commodities using variants of the Heterogeneous AutoRegressive (HAR) model. We obtain tick-by-tick data for five widely traded agricultural commodities (Corn, Rough Rice, Soybeans, Sugar, and Wheat) from the CME/ICE. Real...

This paper aims at investigating the dynamic dependence and extreme risk comovement of oil price and exchange rates in seven oil-importing and seven oil-exporting countries. For this purpose, we use six representative time- varying copula models and four types of tail dependences to assess the...