Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks

2020/02/11 by Manabu Asai, Rangan Gupta, Michael McAleer
Economics, Econometrics and Finance · Energy · #Energy, Environment, Economic Growth #Global Energy and Sustainability Research #Market Dynamics and Volatility

paper · doi:10.1016/j.ijforecast.2019.10.003

openalex publication_date 2020/02/11 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/01

Citations

• Online Prediction Under Model Uncertainty via Dynamic Model Averaging: Application to a Cold Rolling Mill
• Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility
• Covariance regularization by thresholding
• On loss functions and ranking forecasting performances of multivariate volatility models
• FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING*