This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also...

Using the capital asset pricing model, this article critically assesses the relative importance of computing 'realized' betas from high-frequency returns for Bitcoin and Ethereum-the two major cryptocurrencies-against their classic counterparts using the 1-day and 5-day return-based betas. The...

This paper analyzes the conditional correlations between the stock market returns of countries that are members of the Gulf Cooperation Council (GCC). The innovative aspects of the paper consist of focusing on three volatility indices: the oil (OVX), gold (GVZ), and S&P500 (VIX) markets...