The literature on oil prices considers real economic factors as the main drivers of changes in
oil prices. Using parametric and nonparametric methods, this study provides evidence that …

We introduce sixteen HAR-type volatility models with structural breaks and estimate their
parameters by applying 5-min high-frequency transaction data for WTI crude oil futures. We …

We examine the information content of the CBOE Crude Oil Volatility Index (OVX) when
forecasting realized volatility in the WTI futures market. Additionally, we study whether other …

Due to the uncertainty surrounding the coupling and decoupling of natural gas, oil, and
energy commodity futures prices, the current study seeks to investigate the interactions …

In this paper, we evaluate the value-at-risk (VaR) and the expected shortfalls for some major
crude oil and gas commodities for both short and long trading positions. Classical VaR …

This paper examines whether the equity market uncertainty (EMU) index contains
incremental information for forecasting the realized volatility of crude oil futures. We use 5 …

Accurate interval forecasting of agricultural commodity futures prices over future horizons is
challenging and of great interests to governments and investors, by providing a range of …

The paper examines the volatility predictive ability of the CBOE crude oil volatility index
(OVX), GARCH and Stochastic Volatility Models in the crude oil market. Specifically, the …

GARCH-type models are frequently used to forecast crude oil price volatility, and whether
we should consider multiple regimes for the GARCH-type models is of great significance for …

This paper analyzes volatility models and their forecasting abilities in the presence of jumps
in two crude-oil markets-Brent and West Texas Intermediate (WTI)-between January 6th …