a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the …Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over …-Pacific), which are likely to be highly correlated. This paper analyses the volatility spillover effects across and within the four …

This paper estimates univariate and multivariate conditional volatility and conditional correlation models of spot … aid in risk diversification. Conditional correlations are estimated using the CCC model of Bollerslev (1990), VARMA … volatilities across returns for each market. The estimates of volatility spillovers and asymmetric effects for negative and …

price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the … jump component is persistent when forecasting the oil futures market volatility. Specifically, we propose a strategy that … according to their recent past forecasting performance. The volatility data are based on the intraday prices of West Texas …