Financial market volatility is an important input for investment, option pricing, and financial
market regulation. The emphasis of this review article is on forecasting instead of modelling; …

This paper provides a selected review of the research literature on commodity futures and
options markets, focusing primarily on empirical studies. The topics featured include the …

This paper estimates the response of investment to changes in uncertainty using data on oil
drilling in Texas and the expected volatility of the future price of oil. Using a dynamic model …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

Market Risk Analysis is the most comprehensive, rigorous and detailed resource available
on market risk analysis. Written as a series of four interlinked volumes each title is self …

One of the most used methods to forecast price volatility is the generalized autoregressive
conditional heteroskedasticity (GARCH) model. Nonetheless, the errors in prediction using …

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 …

Financial market volatility forecasting is one of today's most important areas of expertise for
professionals and academics in investment, option pricing, and financial market regulation …

In this study, we investigate the presence of asymmetric interactions between oil prices, oil
price uncertainty, interest rates, and unemployment in a cointegration framework. Utilizing …

We develop a model in which limit order traders possess volatility information. We show that
in this case the size of the bid–ask spread is informative about future volatility. Moreover, if …