futures and options to hedge their exposure to commodity price and volatility risk; speculators provide liquidity and ask for …

jump component is persistent when forecasting the oil futures market volatility. Specifically, we propose a strategy that … according to their recent past forecasting performance. The volatility data are based on the intraday prices of West Texas … price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the …