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Persistent link: https://www.econbiz.de/10014526335

The cross-sector risk contagion among Chinese financial institutions : evidence from the extreme volatility spillover perspective

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Pricing CBOE VIX in non-affine GARCH models with variance risk premium

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The effect of market shocks on the volatility of corn price

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BRIC's risk management based on an innovative VaR

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Oil price volatility shocks and the macroeconomic indicators : evidence from Saudi Arabia

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Price and volatility spillovers across North American, European and Asian stock markets : with special focus on Indian stock market

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Frequency volatility connectedness and portfolio hedging of U.S. energy commodities

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We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show that the total connectedness increased over time, likely due to the increasing financialization of energy commodities. It fluctuates with respect to (i) different investment...

Persistent link: https://www.econbiz.de/10014456134

Forecasting realized volatility of Chinese crude oil futures with a new secondary decomposition ensemble learning approach

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