futures volatility under high-frequency Heterogeneous Autoregressive (HAR) model specifications. Moreover, considering … structural breaks in crude oil volatility, we extend the HAR-type models with regime switching considerations. We find that … geopolitical risks provides additional information for forecasting the realized volatility of crude oil futures. Further analysis …

We analyze empirically what drives market expectations of crude oil price volatility. Between 2000 and 2014, we … outperforms a benchmark ARIMA specification both in and out of sample, suggests an approach for studying volatility in asset …

We analyze empirically what drives market expectations of crude oil price volatility. Between 2000 and 2014, we … outperforms a benchmark ARIMA specification both in and out of sample, suggests an approach for studying volatility in asset …