Information on economic policy uncertainty (EPU) does matter in predicting oil returns especially when accounting for …. Our results indicate that over the period 1900:1-2014:2 the time-varying VAR model with stochastic volatility outranks all …

This paper evaluates the effect of energy trade networks on the price volatility of coal, oil, natural gas, and … dynamic trade network. It uses the component causality index as a leading indicator of the price volatility of the energy … with coal volatility and, to a lesser degree, with natural gas and electricity volatility for the period 1998--2014. The …

significantly, when an inter-temporal risk parity strategy is applied. Volatility clustering and fat tails are behind this … strongest volatility clustering and fat tails. For government bond factors, with little volatility clustering, the benefits of …

In the past twenty years, measures of economic uncertainty have been developed that are either purely market price … of these uncertainty measures in forecasting three real variables with irreversibilities: investment, hiring, and credit … creation, as well as in explaining fluctuations in stock-market and Treasury bond market volatility. In general, we find that …

forest. In contrast to conventional random forests that approximate the volatility nonparametrically using local averaging … significantly higher utility for volatility managed portfolios. Superior forecast performance is especially pronounced for firms …

during last fifteen years have led the unstable path and the volatility persistence in the international oil market. We …

The shapes of forward curves of energy commodities are believed to contain information on the volatility of futures … to capture the dynamics of the volatility of the futures prices of these commodities. The aim of this study is to … other models in predicting the volatility of energy futures prices over the period January 2007 to December 2008. The …