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 …

then show that these jumps, in conjunction with realized volatility measures, are important in modeling the convenience …

We develop a VAR-GRACH approach to invesigate shock and volatility transmissions between bank stock returns in Romania … during the 2007-2009 international financial crisis.Our findings provide eveidence of significant shock and volatility …