Geopolitical events are widely reported in the press and may influence the risk premium demanded by investors in addition to demand and supply of energy resources. Using the daily geopolitical risk index of Caldara and Iacoviello (2018), we demonstrate that geopolitical risk plays an important...

This study examined the asymmetric effects of major uncertainty and volatility indices (economic policy uncertainty, Chicago Board Options Exchange crude oil volatility, CBOE volatility index, CBOE VIX volatility, and NASDAQ 100 volatility target) on the returns of global energy and its...

In this paper we estimate the skewness of the unconditional distribution of energy returns and test its statistical significance. We compare the performance of traditional and robust tests for symmetry with those based on the implied unconditional skewness in a TGARCH model with Gram-Charlier...

We estimate the response of domestic oil drilling to uncertainty about oil prices. We measure domestic drilling activity by the weekly number of rigs drilling for oil, and we measure oil uncertainty by implied volatility from options on oil futures. We find that oil uncertainty has a negative...

We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread decomposition and dynamic duration modeling. Previous studies which have addressed the issue in a vector-autoregressive framework conclude that times when markets are most active...

We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread decomposition and dynamic duration modeling. Previous studies which have addressed the issue in a vector-autoregressive framework conclude that times when markets are most active...

We propose and backtest a multivariate Value-at-Risk model for financial returns based on Tukey's g-and-h distribution. This distributional assumption is especially useful if (conditional) asymmetries as well as heavy tails have to be considered and fast random sampling is of importance. To...

We examine the relative risk performance of the Dow Jones Islamic Index (DJIS) and finds that the index outperforms the Dow Jones (DJIM) WORLD Index in terms of risk. Using the most recent Value-at-Risk (VaR) methodologies (RiskMetrics, Student-t APARCH, and skewed Student-t APARCH) on the 1996...

We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our findings suggest that correlations are indeed time-varying and sensitive to oil demand shocks and US recessions

The link between systemic risk and economic growth is hard to study because the relationship is believed to be nonlinear and systemic risk is unobservable. The myriad of measures proposed in the literature add model uncertainty as an additional difficulty. I use a Bayesian quantile regression to...