The relevance of oil in the world economy explains why considerable effort has been devoted to the development of … different types of econometric models for oil price forecasting. Several specifications have been proposed in the economic …). The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should …

dispersion in beliefs influences both crude oil prices and price volatility. …

mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models … price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular …-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular …-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …

on some high frequency basis has spurred the research in the field of volatility modeling and forecasting into new … directions. First, the realized variance is a much better estimate of the latent volatility than the sum of the weighted daily … squared returns. As such it is better suited for comparing the out-of-sample performances of competing volatility models …

-, three-, six-, and twelve-month futures prices, using recently developed multivariate conditional volatility models. The … shocks have a greater impact on volatility than positive shocks. In all cases, both the short- and long-run persistence of …

of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting … errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation measures are … of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized volatility …