demonstrate that geopolitical risk plays an important role in determining both oil price volatility and (to a lesser extent) stock … market volatility. An increase in geopolitical risk is associated with positive (negative) oil (stock) returns and is … correlation. This model shows short- and long-term volatility persistence for oil and stock prices, together with spillover …

This paper studies how volatility affects the risk premium in crude oil futures through a discrete-time term structure … model with long-run and short-run GARCH-type volatility components. Estimated using WTI crude oil futures data from January … document a significant positive relation between volatility and futures risk premia before May 2005, but a significant negative …

This paper documents law of one price violations in equity volatility markets. While tightly linked by no …

A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish … display a negative, tight contemporaneous relationship with IBEX daily returns, contrary to other common volatility indicators …, as an implied volatility indicator or a GARCH(1,1) conditional volatility model. This relationship is approximately …

In this paper, we study the role of the volatility risk premium for the forecasting performance of implied volatility …. We introduce a non-parametric and parsimonious approach to adjust the model-free implied volatility for the volatility … adjusted implied volatility significantly outperforms other models, including its unadjusted counterpart. Our main finding …

calculate implied volatility and analyze if volatility forecasts can be improved using such information. Implied volatility is … less accurate than ARMA or HAR model forecasts in predicting short-term future bitcoin volatility (1 day ahead), but … superior in predicting long-term volatility (7, 10, 15 days ahead). Further, a combination of implied volatility and model …

We evaluate the importance of nonlinear interactions in volatility forecasting by comparing the predictive power of … decision tree ensemble models relative to classical ones for normalized at-the-money implied volatility innovations. We measure … delta-hedged option portfolio sorts on volatility innovation forecast data, while regression tree ensembles outperform OLS …