fnancial institutions. We show that the 10-year Treasury yield's forward-looking volatility, a VIX-style measure that is a … volatility of crude oil prices over the near term. Using monthly data from 2003 to 2020, we document that higher implied … volatility in the 10-year U.S. Treasury derivatives market predicts declining oil prices and higher forward-looking volatility in …

interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return … qualitatively replicates the predictability pattern of IRVRP for bond returns. …

This paper provides empirical evidence that volatility markets are integrated through the time-varying term structure … of variance risk premia. These risk premia predict the returns from selling volatility for different horizons, maturities …

of GARCH-X models improves the accuracy of their volatility forecasts for spot and 1-year time-charter tanker freight … of the volatility forecasts drawn …

The role of public sentiment in stock market volatility has recently become increasingly relevant. Twitter, in theory … potential improvement that social media adds to forecast performance of ARIMA and ARFIMA models of realized volatility using E … sentiment strengthens out-of-sample volatility forecasts across all time periods. While statistical significance exists …

We evaluate the importance of nonlinear interactions in volatility forecasting by comparing the predictive power of … decision tree ensemble models relative to classical ones for normalized at-the-money implied volatility innovations. We measure … delta-hedged option portfolio sorts on volatility innovation forecast data, while regression tree ensembles outperform OLS …

option implied volatility models. A significant part of the literature related to this topic shows that volatility forecast … accuracy is not easy to estimate regardless of the forecasting model applied. This paper examines the volatility accuracy of … volatility forecast models for the case of corn and wheat futures price returns. The models applied here are a univariate GARCH …