This paper introduces a VAR with stochastic volatility in mean where the residuals of the volatility equations and the … observation equations are allowed to be correlated. This implies that exogeneity of shocks to volatility is not assumed apriori …

In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018 …

This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities … functions, the response of volatility of each commodity to an oil price shock differs significantly depending on the underlying …

The presence of long memory in Realized Volatility (RV) is a widespread stylized fact. The origins of long memory in RV …

This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an … extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models … Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …

volatilities, we first discuss the evolution of the volatility of EU ETS allowances' returns from 2008 to 2021. Second, we study … the degree of co-movement and interdependence between the EU ETS returns' volatility and those of 37 large companies in … industries subject to the System; to this end, we employWavelet Coherence and Volatility Spillovers Analyses. Despite spotting …