the world economy. We analyze the impact of the advent of fracking on the volatility of oil prices. Our model predicts a … large decline in this volatility …

shocks are driven by a stochastic volatility model. We show that our nonparametric approach improves in terms of tail … stochastic volatility, and the simple random walk. We illustrate the practical relevance of our new approach by tracking the …

Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …

-of-sample forecasting of oil spot, futures, and energy company stock returns, and changes in oil volatility, production, and inventories …

misspecification so small that it is difficult to detect statistically and cannot be ruled out based on economic theory. This is …

theory and previous findings …