I test for the presence of asymmetric volatility in the Brent and Light crude oil futures markets. My investigation is … based on a variant of the heterogeneous autoregressive volatility model, using daily realized variance and return series … from 2004 through 2009. I find that a decline in oil futures leads to significantly higher volatility in Brent and Light …

of GARCH-X models improves the accuracy of their volatility forecasts for spot and 1-year time-charter tanker freight … of the volatility forecasts drawn …

In this paper we propose a stochastic volatility model for crude oil markets that has the particularity to feature a … OVX volatility data. The model characterizes two states: a normal state with low volatility and negative variance premium … and acrisis state with high volatility and positive variance risk premium. The estimated states are consistent with GDP …

In this paper we propose a simple one-factor quantile regression model based on realized volatility to forecast Value …-at-Risk (VaR). The model only uses daily realized volatility as input and thus simplifies estimation substantially compared with … across various sampling frequencies used to calculate realized volatility using formal coverage tests for out …

Crude Oil futures and options contracts, such as the Samuelson volatility effect and the volatility smile. We calculate the …