forest. In contrast to conventional random forests that approximate the volatility nonparametrically using local averaging … significantly higher utility for volatility managed portfolios. Superior forecast performance is especially pronounced for firms …

Expected Shortfall, for a given volatility model. We obtain precise forecasts of the tail of the distribution of returns not …

Expected Shortfall, for a given volatility model. We obtain precise forecasts of the tail of the distribution of returns not …

factor are typically small, with the annualized unconditional volatility estimated at 0.06%, but highly persistent, with … estimated persistence at 0.98. Evidence of time variation in the volatility of the global factor is overwhelming as there are … times in which volatility could be several times larger than its unconditional level (about ten times in the aftermath of …

silent on the impact of macroeconomic uncertainty on oil and commodity prices and, especially, on their volatility. This … prices. Interestingly, our analysis further reveals that volatility and uncertainty in prices can be disconnected. This is … volatility do not generate price uncertainty, highlighting the relevance of our uncertainty measure in linking uncertainty to …