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Cryptocurrency Uncertainty and Volatility Forecasting of Precious Metal Futures Markets

Wei, Yu; Wang, Yizhi; Lucey, Brian M.; Vigne, Samuel A. - 2022

Several common properties shared by cryptocurrencies and precious metals, such as safe haven, hedge and diversification for risk assets, have been wildly discussed since the day Bitcoin was created in 2008. However, no studies have explored whether cryptocurrency market uncertainties can help to...

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Uncertainty and crude oil market volatility : new evidence

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Forecasting the VaR of crude oil market: do alternative distributions help?

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Which determinant is the most informative in forecasting crude oil market volatility : fundamental, speculation, or uncertainty?

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Forecasting crude oil market volatility : further evidence using GARCH-class models

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Can GARCH-class models capture long memory in WTI crude oil markets?

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Revisiting the role of economic uncertainty in oil price fluctuations : evidence from a new time-varying oil market model

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