is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the …-realized variance. We find strong robust evidence of volatility feedback in monthly data. Once volatility feedback is accounted for … relationship is nonlinear. Volatility feedback impacts the whole distribution and not just the conditional mean …

This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an … extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models … Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …

. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … volatility spillover effect. Empirical results show that the NFNE futures exhibit superior effectiveness as an instrument for …