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 book shows how current and recent market prices convey information about the
probability distributions that govern future prices. Moving beyond purely theoretical models …

This monograph puts together results from several lines of research that I have pursued over
a period of years, on the general topic of volatility forecasting for option pricing applications …

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 …

Abstract In 1993, the Chicago Board of Options Exchange (CBOE) introduced the CBOE
Volatility Index. This index has become the de facto benchmark for stock market volatility. On …

The WTI future contract quoted at the NYMEX is the most actively traded instrument in the
energy sector. This paper compares the predictive ability of two approaches which can be …

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 …

We use the information in intraday data to forecast the volatility of crude oil at a horizon of 1–
66 days using a variety of models relying on the decomposition of realized variance in its …

In this paper, we examine the relative out of sample predictive ability of different GARCH
models, with particular emphasis on the predictive content of the asymmetric component …

In this paper, we provide two main innovations:(i) we analyze oil prices of two prominent
markets namely West Texas Intermediate (WTI) and Brent using the two recently developed …