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 …

it is easy to implement and does not require cross-validation. The MT estimator of the sample correlation matrix is shown …

maturities and investment horizons and they are economically significant. Volatility trading strategies which condition on the …

specifiy the conditional variances of VECM residuals with the Constant Conditional Correlation (CCC) multivariate GARCH model … of Bollerslev (1990) and the Dynamic Conditional Correlation (DCC) multivariate GARCH model of Engle (2002). The within …

This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We … risk-neutral distributions as well as the term structure of volatility smiles and of variance risk premia. We find that the …

We study the impact of oil price shocks on US stock market volatility. We derive three different structural oil shock … variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate … stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous …