This paper shows the effects of the COVID-19 pandemic on energy markets. We estimate daily volatilities and correlations among energy commodities relying on a mixed-frequency approach that exploits information from the number of weekly deaths related to COVID-19 in the United States. The...

We describe the package MSGARCH, which implements Markov-switching GARCH models in R with efficient C++ object-oriented programming. Markov-switching GARCH models have become popular methods to account for regime changes in the conditional variance dynamics of time series. The package MSGARCH...

The prediction of volatility is of primary importance for business applications in risk management, asset allocation and pricing of derivative instruments. This paper proposes a novel measurement model which takes into consideration the possibly time-varying interaction of realized volatility...