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 …

This study examines the relationship of extreme downside risk in various energy markets,
including electricity, clean/conventional energy, and carbon markets during several …

Ensuring the natural gas market's sound and ordered progress is crucial to Europe's
sustainable development. This investigation employs the Generalized Supremum …

This study combined time-varying parameter vector autoregression (TVP-VAR) and a
spillover index model to analyze the static, total, and net spillover effects of energy and stock …

This paper inspects volatility connectedness across crude oil, natural gas, coal, stock, and
currency markets in the US and China. To accomplish this objective, we deploy …

This paper examines the time-varying effect of oil price on geopolitical risk. Using monthly
panel data of 16 countries for the period 1997: M01–2020: M02 and employing a varying …

This study aims to analyzes the predictability of the natural gas volatility by considering
extreme weather information. Based on extended GARCH-MIDAS models, empirical results …

We investigate the information content of five uncertainty indices for the US natural gas
futures volatility forecasting. Our investigation is based on the GARCH‐MIDAS framework …

Shale gas, a new kind of energy, receives widespread attention worldwide, especially after
America's unprecedented success. It has become a hot issue to discuss shale gas pricing in …

In order to improve the accuracy of natural gas price forecasting, this study proposes a
secondary decomposition-ensemble methodology using multiple helpful predictors, namely …