We investigate the effects of economic uncertainty on the return volatility of financial assets, including equities, bonds, foreign exchange and commodities. We use several popular measures of economic uncertainty, and find the uncertainty displays significant but heterogeneous effect on...

The complexity of the world oil market has increased dramatically in recent years and new approaches are needed to understand, model, and forecast oil prices today. In addition to the commencement of the financialization era in oil markets, there have been structural changes in the global oil...

We introduce a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the realized measure to the conditional variance of returns. The measurement equation facilitates a simple modeling of the...

During the 1970s, oil market models offered a framework for understanding the growing market power being exercised by major oil producing countries. Few such models have been developed in recent years. Moreover, most large institutions do not use models directly for explaining recent oil price...

We proposed a method to estimate extreme conditional quantiles by combining quantile GARCH model of Xiao and Koenker (2009) and extreme value theory (EVT) approach. We first estimate the latent volatility process using the information of intermediate quantiles. We then apply EVT to the tail...

In this paper, the microstructure, thermal and mechanical properties of Mg-Al-Ca-Mn-Cu magnesium alloys by Cu alloying and extrusion deformation was studied with the aim of investigating high heat conduction Mg alloys. The microstructure, mechanical properties and thermal conductivity of the...

Reasonable assessments of the impact of information infrastructure construction on entrepreneurship will support the development of the digital economy in China. Using nationwide data from 2005 to 2017, this paper analyzes the causal effect of the “Broadband China” pilot policy on...

This study investigates the role of probability distribution in forecasting volatility and Value-at-Risk (VaR). We use the Realized GARCH model and high-frequency data from the cryptocurrency market and show that the role of probability distribution varies across different situations. A skewed-t...