paper investigates the impact of EPU on the crude oil return volatility and which EPU index has the most forecasting power … the crude oil return volatility, but the effect is short-lived and the decay period is about one year. Particularly, our … results show that the US EPU index has the best forecasting power for crude oil return volatility over the long-term, whereas …

volatility predictor, the results of an application to tactical asset allocation are presented. -- Multivariate GARCH ; forecast …

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures …

theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On … leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The …

The volatility of equity and foreign exchange market is an important input to portfolio selection and to asset pricing … models. Many investment decisions and valuation of derivatives frequently rely on predictions of volatility. In this paper we … review the existing empirical literature in forecasting volatility of financial time series. Particularly, we decompose the …