Despite the dominant role of hydropower in the global power generation mix and the popularity of studying the productivity impact of infrastructure investment, there is a lack of research regarding the impact of hydropower projects on firm productivity. Such a positive impact could promote a...

We construct a set of HAR models with three types of infinite Hidden Markov regime switching structures. Particularly, jumps, leverage effects, and speculation effects are taken into account in realized volatility modeling. We forecast five agricultural commodity futures (Corn, Cotton, Indica...

Extending the popular HAR model with additional information channels to forecast realized volatility of WTI futures prices, we show that machine learning generated forecasts provide better forecasting quality and that portfolios which are constructed with these forecasts outperform their...

We apply pair vine copulas, specifically the C-vine and R-vine copulas, to examine the conditional multivariate dependence pattern/structure and R-vine copula-based value-at-risk (VaR) to assess financial portfolio risk. We examine the co-dependencies of 13 major commodity markets (which include...

This study explores the dynamic effects of different oil shocks on real exchange rates in net oil importers and exporters. Specifically, the connectedness measures are combined with the structural vector autoregressive model. The findings show that oil supply shocks have a larger depreciating...

Policies to address climate change have been implemented worldwide in recent years. The core of these policies is to control greenhouse gas (GHG) emissions, which primarily stem from the consumption of fossil fuels. Consequently, the implementation of climate policies can affect other...