Many recent papers have investigated the role played by volatility in determining the cross-section of currency returns … returns from the currency carry trade. We show that the importance of volatility depends on whether the currency markets are … unexpectedly volatile. Volatility innovations during relatively tranquil periods are largely unrewarded in the market, whereas …

volatility. We extend a reduced form Structural Break Threshold Vector Autoregressive (SBT-VAR) model to a structural SBT … geopolitical risk shock, the other with a simultaneous shale production shock and a geopolitical risk shock. The volatility … volatility response of oil prices to a geopolitical risk shock is higher, but the response is less correlated with the …

also volatility spillovers, that is, the phenomenon of high uncertainty in one market spreading to other markets. Our key …) at the mean level. Stock market volatility has a positive spillover effect on both conventional and renewable energies in …

effects of policy shocks on the price volatility of various asset classes. The results indicate that pandemic-induced economic … volatility of stocks, commodities, oil, gold, and cryptocurrencies. Variance impulse response functions using GARCH structural … errors reveal a regime shift in volatility linkages with varying responses across assets. Bitcoin was the most reactive to …

This paper explores the predictive ability of volatility in the crude oil market. A comparison in the CBOE crude oil … volatility index (OVX), GARCH and Stochastic Volatility Models are employed to investigate the forecasting performance. The daily … effect in crude oil, while stochastic volatility models examine the series dependence and heavy-tailed distribution. The …

This study uses the Multiplicative Error Model (MEM) to explore asymmetric volatility spillovers between crude oil and … other major asset markets. We have extended the MEM of Engle et al. (2012) and ddd to include asymmetric volatility … vary over time. Our results reveal that the stock market is the dominant contributor to volatility spillover, while the …