The nexus between extreme events and energy price risk is of great importance in energy
finance analysis due to the fact that those events generally exert strong impacts on energy …

This study investigates the nonlinear dynamic correlations between geopolitical risk (GPR)
and oil prices using nonlinear Granger causality and DCC-MVGARCH methods based on …

This paper comprehensively examines the connection between oil futures volatility and the
financial market based on a model-rich environment, which contains traditional predicting …

This paper provides a novel perspective to the predictive ability of rare disaster risks for West
Texas Intermediate (WTI) oil market returns and volatility using a nonparametric quantile …

The aim of this study is to analyze the relevance of recently developed news-based
measures of economic policy and equity market uncertainty in causing and predicting the …

Basing on the features of emerging Chinese stock market, this article discusses whether
sharply deteriorating liquidity propels the stock market into a “crisis” state and investigates …

Growth in the natural gas market is pronounced since the shale gas boom. Natural gas has
become increasingly important in international trade, especially after the recent …

Volatility Index (VIX) futures are among the most actively traded contracts at the Chicago
Board Options Exchange, in response to the growing need for protection against volatility …

Using option market data we derive naturally forward‐looking, nonparametric and model‐
free risk estimates, three desired characteristics hardly obtainable using historical returns …

Forecasting the value at risk (VaR) of crude oil futures can be a challenging task for
investors due to the high volatility of these prices. It is crucial to describe the return in the tail …