volatility and Student-t disturbances outperforms restricted alternatives that feature either attributes. The VAR model with …

In this paper, we extend the standard Gaussian stochastic-volatility Bayesian VAR by employing the generalized …

Energy market volatility affects macroeconomic conditions and can unduly affect the economies of energy …-producing countries. Large price swings can be detrimental to both producers and consumers. Market volatility can cause infrastructure and … benefit of consumers and producers alike. Therefore, modeling and forecasting crude oil price volatility is critical in many …

We propose a methodology to include night volatility estimates in the day volatility modeling problem with high … the natural relationship between the realized measure and the conditional variance. This improves volatility modeling by … leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that …