Forecasting has always been at the forefront of decision making and planning. The
uncertainty that surrounds the future is both exciting and challenging, with individuals and …

Forecasting bioenergy feedstock commodity volatility has received significant attention due
to its importance in biofuel production and household consumption. Several extreme events …

This study investigates the predictability of sentiment measure on stock realized volatility.
We propose a new investor sentiment index (NISI) based on the partial least squares …

In this paper, we examine extreme spillovers among the realized volatility of various energy,
metals, and agricultural commodities over the period from September 23, 2008, to June 1 …

We examine the connectedness of aerospace and defense companies and their relation to
measures of geopolitical risk. With hierarchical clustering, we find stable and localized …

We analyze the role of global and regional measures of financial stress in forecasting
realized volatility of the oil market based on 5-min intraday data covering the period of 4th …

In this paper, we quantify the extreme connectedness between agricultural commodity prices
with food and beverage stock market returns. We find that the connectedness of returns …

The general consensus in the volatility forecasting literature is that high-frequency volatility
models outperform low-frequency volatility models. However, such a conclusion is reached …

Abstract We introduce Infinite Hidden Markov (IHM) models to forecasting realized volatilities
of crude oil futures markets with exogenous factors. With these IHM models, we lift the …

The objective of this study is to examine the effect of various uncertainty measures on the
realized volatility of agricultural futures markets. In doing so, we use a range of uncertainty …