bad) stock market volatility, we show that incorporating the information in lagged industry returns can help improve out …-of sample forecasts of aggregate stock market volatility. While the predictive contribution of industry level returns is not … crisis, highlighting the informational value of real economic activity on stock market volatility dynamics. Finally, we show …

of realized volatility and skewness for gold futures returns. Controlling for several widely studied market- and … sentiment-based variables, we examine the predictive value of realized moments across alternative forecast horizons and across … significantly improve the predictive value of the estimated forecasting models at intermediate forecast horizons and across …

. Our results indicate that over the period 1900:1-2014:2 the time-varying VAR model with stochastic volatility outranks all …

heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 … indicate that none of our volatility models can uniformly outperform other models across all six different loss functions …