This paper employs the quantile autoregressive (QAR) model to examine the forecasting relationship between stock volatility and crude oil volatility. We firstly employ the sup-Wald test to evaluate Granger causality across various quantile levels, which provides valuable information in...

The paper aims to enhance the accuracy of realized volatility prediction by introducing a novel Dual Empirical Mode Decomposition (DEMD) method that allows for the extraction of incremental information related to volatility prediction in raw financial data. The empirical results show that using...