This paper provides further evidence of the co-movements and dynamic volatility spillovers between stock markets and …

This article uses the DCC-FIAPARCH model to examine the time-varying properties of conditional return and volatility of … both the long memory and asymmetric behavior characterize the conditional volatility of oil and stock market returns. On … of the DCC-FIAPARCH model that explicitly accounts for long memory and asymmetric volatility effects enables the …

observes the implied volatility under the form of an index, namely the recent OVX, to forecast the density of oil futures … predictions, we compare the performance of time series models using implied volatility and either daily or intra-daily futures … prices. Our results indicate that models based on implied volatility deliver significantly better density forecasts at all …