Existing studies rely on exogenous drivers to improve the accuracy of the volatility
forecasting of the least polluting fossil fuels, natural gas. However, the academic literature …

Motivated by recent investigations on the connections between geopolitical risk and crude
oil prices, we implement a moving average strategy using the geopolitical risk index to …

In this paper, we review studies of oil volatility prediction from a new perspective: that of
investors who require economic evaluations of forecasting performance. Our results indicate …

The relationship between conventional and digital assets has become a prominent research
topic, a focus partially emerging from the establishment of some large cryptocurrencies as …

In this paper, we investigate the predictive ability of three sentiment indices constructed by
social media, newspaper, and Internet media news to forecast the realized volatility (RV) of …

This paper investigates the relationship between geopolitical risk (GPR) and stock market
volatility from a global perspective. We use dynamic panel data including 32 countries and …

This study mainly investigates which predictors (VIX or EPU index) are useful to forecast
future volatility for 19 equity indices based on HAR framework during coronavirus pandemic …

This paper aims to improve the predictability of aggregate oil market volatility with a
substantially large macroeconomic database, including 127 macro variables. To this end …

In this study, we examine the long-term predictive role of the global financial stress index
(GFSI) on equity market volatility and provide a comprehensive analysis using GFSI for the …

This paper introduces a combination of asymmetry and extreme volatility effects in order to
build superior extensions of the GARCH-MIDAS model for modeling and forecasting the …