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improve the forecasting accuracy of international stock market volatility, especially considering the time-varying regime …This paper constructs a global tail risk (GTR) index and examines the role of GTR in predicting the volatility of … international stock markets. Our empirical results emphasize that GTR contains valuable information to predict the stock volatility …
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alia, a useful analytical framework to explore the effects of: a change in world GDP growth; a change in the efficiency of …
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/lagging relationship between the world's major crude oils — WTI, Brent, Dubai, Tapis and Nigeria — using a time-varying average distance … being integrated. The world's crude oil market began to diverge at the end of 2010, as demonstrated by the increasing …
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The global financial crisis of 2007-2009 caused major economic disturbances in the oil market. In this paper we consider five variables describing the microeconomics of supply of, and demand for oil and evaluate their importance before, during and after the global financial crisis. We consider...
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