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

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Cited by:

  1. Ahdi Noomen Ajmi & Roula Inglesi-Lotz, 2021. "Revisiting the Kuznets Curve Hypothesis for Tunisia: Carbon Dioxide vs. Ecological Footprint," Working Papers 202171, University of Pretoria, Department of Economics.
  2. Wang, Xiao-Qing & Wu, Tong & Zhong, Huaming & Su, Chi-Wei, 2023. "Bubble behaviors in nickel price: What roles do geopolitical risk and speculation play?," Resources Policy, Elsevier, vol. 83(C).
  3. Bonato, Matteo & Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2021. "A note on investor happiness and the predictability of realized volatility of gold," Finance Research Letters, Elsevier, vol. 39(C).
  4. Assaf, Ata & Charif, Husni & Mokni, Khaled, 2021. "Dynamic connectedness between uncertainty and energy markets: Do investor sentiments matter?," Resources Policy, Elsevier, vol. 72(C).
  5. Tamilselvan, M. & Halder, Abhishek & Kannadhasan, M., 2024. "Exploring the ingredients, mixtures, and inclinations of geopolitical risk," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 187-206.
  6. Matteo Bonato & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2020. "Investor Happiness and Predictability of the Realized Volatility of Oil Price," Sustainability, MDPI, vol. 12(10), pages 1-11, May.
  7. Sheng, Xin & Kim, Won Joong & Gupta, Rangan & Ji, Qiang, 2023. "The impacts of oil price volatility on financial stress: Is the COVID-19 period different?," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 520-532.
  8. Li, Xiaoqian & Ma, Xiaoqi, 2023. "Jumps and gold futures volatility prediction," Finance Research Letters, Elsevier, vol. 58(PC).
  9. Ignatieva, Katja & Wong, Patrick, 2024. "Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models," Journal of Empirical Finance, Elsevier, vol. 78(C).
  10. Riza Demirer & Rangan Gupta & Jacobus Nel & Christian Pierdzioch, 2020. "Effect of Rare Disaster Risks on Crude Oil: Evidence from El Nino from Over 140 Years of Data," Working Papers 2020104, University of Pretoria, Department of Economics.
  11. Bouri, Elie & Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2021. "Forecasting power of infectious diseases-related uncertainty for gold realized variance," Finance Research Letters, Elsevier, vol. 42(C).
  12. Chatziantoniou, Ioannis & Gabauer, David & Perez de Gracia, Fernando, 2022. "Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic," Energy Economics, Elsevier, vol. 111(C).
  13. Salisu, Afees A. & Pierdzioch, Christian & Gupta, Rangan, 2022. "Oil tail risks and the forecastability of the realized variance of oil-price: Evidence from over 150 years of data," Finance Research Letters, Elsevier, vol. 46(PB).
  14. Zheng, Jinlin & Wen, Baoyu & Jiang, Yaohui & Wang, Xiaohan & Shen, Yue, 2023. "Risk spillovers across geopolitical risk and global financial markets," Energy Economics, Elsevier, vol. 127(PA).
  15. Mengxi He & Yaojie Zhang & Yudong Wang & Danyan Wen, 2024. "Modelling and forecasting crude oil price volatility with climate policy uncertainty," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-10, December.
  16. Ding, Qian & Huang, Jianbai & Zhang, Hongwei, 2021. "The time-varying effects of financial and geopolitical uncertainties on commodity market dynamics: A TVP-SVAR-SV analysis," Resources Policy, Elsevier, vol. 72(C).
  17. Du, Pei & Guo, Ju’e & Sun, Shaolong & Wang, Shouyang & Wu, Jing, 2021. "Multi-step metal prices forecasting based on a data preprocessing method and an optimized extreme learning machine by marine predators algorithm," Resources Policy, Elsevier, vol. 74(C).
  18. Xiafei Li & Dongxin Li & Xuhui Zhang & Guiwu Wei & Lan Bai & Yu Wei, 2021. "Forecasting regular and extreme gold price volatility: The roles of asymmetry, extreme event, and jump," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1501-1523, December.
  19. Asai Manabu & So Mike K. P., 2023. "Realized BEKK-CAW Models," Journal of Time Series Econometrics, De Gruyter, vol. 15(1), pages 49-77, January.
  20. Le, Thanh Ha, 2023. "Quantile time-frequency connectedness between cryptocurrency volatility and renewable energy volatility during the COVID-19 pandemic and Ukraine-Russia conflicts," Renewable Energy, Elsevier, vol. 202(C), pages 613-625.
  21. Demirer, Riza & Gupta, Rangan & Pierdzioch, Christian & Shahzad, Syed Jawad Hussain, 2020. "The predictive power of oil price shocks on realized volatility of oil: A note," Resources Policy, Elsevier, vol. 69(C).
  22. Salisu, Afees A. & Gupta, Rangan & Karmakar, Sayar & Das, Sonali, 2022. "Forecasting output growth of advanced economies over eight centuries: The role of gold market volatility as a proxy of global uncertainty," Resources Policy, Elsevier, vol. 75(C).
  23. Mo, Bin & Nie, He & Zhao, Rongjie, 2024. "Dynamic nonlinear effects of geopolitical risks on commodities: Fresh evidence from quantile methods," Energy, Elsevier, vol. 288(C).
  24. Mehmet Balcilar & Elie Bouri & Rangan Gupta & Christian Pierdzioch, 2021. "El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements," Sustainability, MDPI, vol. 13(14), pages 1-23, July.
  25. Abid, Ilyes & Dhaoui, Abderrazak & Kaabia, Olfa & Tarchella, Salma, 2023. "Geopolitical risk on energy, agriculture, livestock, precious and industrial metals: New insights from a Markov Switching model," Resources Policy, Elsevier, vol. 85(PA).
  26. Nonejad, Nima, 2022. "Forecasting crude oil price volatility out-of-sample using news-based geopolitical risk index: What forms of nonlinearity help improve forecast accuracy the most?," Finance Research Letters, Elsevier, vol. 46(PA).
  27. Li, Yingli & Huang, Jianbai & Chen, Jinyu, 2021. "Dynamic spillovers of geopolitical risks and gold prices: New evidence from 18 emerging economies," Resources Policy, Elsevier, vol. 70(C).
  28. Cheng, Sheng & Deng, MingJie & Liang, Ruibin & Cao, Yan, 2023. "Asymmetric volatility spillover among global oil, gold, and Chinese sectors in the presence of major emergencies," Resources Policy, Elsevier, vol. 82(C).
  29. Syed Kumail Abbas Rizvi & Bushra Naqvi & Nawazish Mirza, 2022. "Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs," Annals of Operations Research, Springer, vol. 313(1), pages 495-524, June.
  30. Gupta, Rangan & Nielsen, Joshua & Pierdzioch, Christian, 2024. "Stock market bubbles and the realized volatility of oil price returns," Energy Economics, Elsevier, vol. 132(C).
  31. Luo, Jiawen & Demirer, Riza & Gupta, Rangan & Ji, Qiang, 2022. "Forecasting oil and gold volatilities with sentiment indicators under structural breaks," Energy Economics, Elsevier, vol. 105(C).
  32. Song, Yixuan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market volatility: A newspaper-based predictor regarding petroleum market volatility," Resources Policy, Elsevier, vol. 79(C).
  33. Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian & Yoon, Seong-Min, 2021. "OPEC news and jumps in the oil market," Energy Economics, Elsevier, vol. 96(C).
  34. Yaojie Zhang & Mengxi He & Danyan Wen & Yudong Wang, 2022. "Forecasting Bitcoin volatility: A new insight from the threshold regression model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 633-652, April.
  35. Gupta, Rangan & Pierdzioch, Christian, 2022. "Climate risks and forecastability of the realized volatility of gold and other metal prices," Resources Policy, Elsevier, vol. 77(C).
  36. Shahbaz, Muhammad & Khan, Asad ul Islam & Mubarak, Muhammad Shujaat, 2023. "Roling-window bounds testing approach to analyze the relationship between oil prices and metal prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 388-395.
  37. Yan Ding & Yue Liu & Pierre Failler, 2022. "The Impact of Uncertainties on Crude Oil Prices: Based on a Quantile-on-Quantile Method," Energies, MDPI, vol. 15(10), pages 1-35, May.
  38. Çepni, Oğuzhan & Gupta, Rangan & Pienaar, Daniel & Pierdzioch, Christian, 2022. "Forecasting the realized variance of oil-price returns using machine learning: Is there a role for U.S. state-level uncertainty?," Energy Economics, Elsevier, vol. 114(C).
  39. Long, Shaobo & Guo, Jiaqi, 2022. "Infectious disease equity market volatility, geopolitical risk, speculation, and commodity returns: Comparative analysis of five epidemic outbreaks," Research in International Business and Finance, Elsevier, vol. 62(C).
  40. Ngo, Vu Minh & Nguyen, Phuc Van & Hoang, Yen Hai, 2024. "The impacts of geopolitical risks on gold, oil and financial reserve management," Resources Policy, Elsevier, vol. 90(C).
  41. Li, Yingli & Huang, Jianbai & Gao, Wang & Zhang, Hongwei, 2021. "Analyzing the time-frequency connectedness among oil, gold prices and BRICS geopolitical risks," Resources Policy, Elsevier, vol. 73(C).
  42. Balcilar, Mehmet & Gupta, Rangan & Nel, Jacobus, 2022. "Rare disaster risks and gold over 700 years: Evidence from nonparametric quantile regressions," Resources Policy, Elsevier, vol. 79(C).
  43. Wang, Zhe & Teng, Yin-Pei & Wu, Shuzhao & Liu, Yuxiang & Liu, Xianchang, 2023. "Geopolitical risk, financial system and natural resources extraction: Evidence from China," Resources Policy, Elsevier, vol. 82(C).
  44. Zixin Liu & Shuguang Zhang, 2024. "RETRACTED ARTICLE: How does environmental performance ensured energy transition? Impact of ecological change," Economic Change and Restructuring, Springer, vol. 57(2), pages 1-27, April.
  45. Niu, Zibo & Ma, Feng & Zhang, Hongwei, 2022. "The role of uncertainty measures in volatility forecasting of the crude oil futures market before and during the COVID-19 pandemic," Energy Economics, Elsevier, vol. 112(C).
  46. Choi, Sun-Yong, 2022. "Evidence from a multiple and partial wavelet analysis on the impact of geopolitical concerns on stock markets in North-East Asian countries," Finance Research Letters, Elsevier, vol. 46(PB).
  47. Yanqiong Liu & Zhenghui Li & Yanyan Yao & Hao Dong, 2021. "Asymmetry of Risk Evolution in Crude Oil Market: From the Perspective of Dual Attributes of Oil," Energies, MDPI, vol. 14(13), pages 1-22, July.
  48. Sun, Guanglin & Li, Jianfeng & Shang, Zezhong, 2022. "Return and volatility linkages between international energy markets and Chinese commodity market," Technological Forecasting and Social Change, Elsevier, vol. 179(C).
  49. Elie Bouri & Riza Demirer & Rangan Gupta & Christian Pierdzioch, 2020. "Infectious Diseases, Market Uncertainty and Oil Market Volatility," Energies, MDPI, vol. 13(16), pages 1-8, August.
  50. Salisu, Afees A. & Gupta, Rangan & Bouri, Elie & Ji, Qiang, 2020. "The role of global economic conditions in forecasting gold market volatility: Evidence from a GARCH-MIDAS approach," Research in International Business and Finance, Elsevier, vol. 54(C).
  51. Gupta, Rangan & Ji, Qiang & Pierdzioch, Christian & Plakandaras, Vasilios, 2023. "Forecasting the conditional distribution of realized volatility of oil price returns: The role of skewness over 1859 to 2023," Finance Research Letters, Elsevier, vol. 58(PC).
  52. Văn, Lê & Bảo, Nguyễn Khắc Quốc, 2022. "The relationship between global stock and precious metals under Covid-19 and happiness perspectives," Resources Policy, Elsevier, vol. 77(C).
  53. Rangan Gupta & Christian Pierdzioch, 2021. "Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment," Energies, MDPI, vol. 14(23), pages 1-18, December.
  54. Rangan Gupta & Sayar Karmakar & Christian Pierdzioch, 2024. "Safe Havens, Machine Learning, and the Sources of Geopolitical Risk: A Forecasting Analysis Using Over a Century of Data," Computational Economics, Springer;Society for Computational Economics, vol. 64(1), pages 487-513, July.
  55. Rangan Gupta & Christian Pierdzioch, 2021. "Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers," Energies, MDPI, vol. 14(14), pages 1-15, July.
  56. Bouri, Elie & Gupta, Rangan & Nel, Jacobus & Shiba, Sisa, 2022. "Contagious diseases and gold: Over 700 years of evidence from quantile regressions," Finance Research Letters, Elsevier, vol. 50(C).
  57. Zhang, Jialin & Shi, Shaodong, 2023. "Extraction of natural resources and geopolitical risk revisited: A novel perspective of research and development with financial development," Resources Policy, Elsevier, vol. 85(PA).
  58. Vo, Duc Hong & Tran, Minh Phuoc-Bao, 2024. "Volatility spillovers between energy and agriculture markets during the ongoing food & energy crisis: Does uncertainty from the Russo-Ukrainian conflict matter?," Technological Forecasting and Social Change, Elsevier, vol. 208(C).
  59. Zhang, Jilu & Guxue, Kaicheng, 2024. "Fostering sustainability: Exploring natural resources, mineral resources, and their impact on carbon reduction, economic growth," Resources Policy, Elsevier, vol. 92(C).
  60. Thanoj K. Muddana & Komal S.R. Bhimireddy & Anandamayee Majumdar & Rangan Gupta, 2024. "Forecasting Gold Returns Volatility Over 1258-2023: The Role of Moments," Working Papers 202421, University of Pretoria, Department of Economics.
  61. Riza Demirer & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2022. "Risk aversion and the predictability of crude oil market volatility: A forecasting experiment with random forests," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 73(8), pages 1755-1767, August.
  62. Zhang, Li & Wang, Lu & Peng, Lijuan & Luo, Keyu, 2023. "Measuring the response of clean energy stock price volatility to extreme shocks," Renewable Energy, Elsevier, vol. 206(C), pages 1289-1300.
  63. Berlinger, Edina & Bihary, Zsolt & Dömötör, Barbara, 2024. "Dynamic margin optimization," Finance Research Letters, Elsevier, vol. 68(C).
  64. Yang, Cai & Niu, Zibo & Gao, Wang, 2022. "The time-varying effects of trade policy uncertainty and geopolitical risks shocks on the commodity market prices: Evidence from the TVP-VAR-SV approach," Resources Policy, Elsevier, vol. 76(C).
  65. Wang, Lu & Ma, Feng & Hao, Jianyang & Gao, Xinxin, 2021. "Forecasting crude oil volatility with geopolitical risk: Do time-varying switching probabilities play a role?," International Review of Financial Analysis, Elsevier, vol. 76(C).
  66. Salisu, Afees A. & Pierdzioch, Christian & Gupta, Rangan, 2021. "Geopolitical risk and forecastability of tail risk in the oil market: Evidence from over a century of monthly data," Energy, Elsevier, vol. 235(C).
  67. Song, Yuping & Huang, Jiefei & Zhang, Qichao & Xu, Yang, 2024. "Heterogeneity effect of positive and negative jumps on the realized volatility: Evidence from China," Economic Modelling, Elsevier, vol. 136(C).
  68. Danyan Wen & Mengxi He & Yaojie Zhang & Yudong Wang, 2022. "Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 230-251, March.
  69. Foglia, Matteo & Palomba, Giulio & Tedeschi, Marco, 2023. "Disentangling the geopolitical risk and its effects on commodities. Evidence from a panel of G8 countries," Resources Policy, Elsevier, vol. 85(PB).
  70. Rangan Gupta & Christian Pierdzioch, 2023. "Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? A quantile machine-learning approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-22, December.
  71. Usha Rekha Chinthapalli, 2021. "A Comparative Analysis on Probability of Volatility Clusters on Cryptocurrencies, and FOREX Currencies," JRFM, MDPI, vol. 14(7), pages 1-23, July.
  72. Zhao, Jing, 2023. "Time-varying impact of geopolitical risk on natural resources prices: Evidence from the hybrid TVP-VAR model with large system," Resources Policy, Elsevier, vol. 82(C).
  73. Borg, Elin & Kits, Ilya & Junttila, Juha & Uddin, Gazi Salah, 2022. "Dependence between renewable energy related critical metal futures and producer equity markets across varying market conditions," Renewable Energy, Elsevier, vol. 190(C), pages 879-892.
  74. O-Chia Chuang & Rangan Gupta & Christian Pierdzioch & Buliao Shu, 2024. "Financial Uncertainty and Gold Market Volatility: Evidence from a GARCH-MIDAS Approach with Variable Selection," Working Papers 202441, University of Pretoria, Department of Economics.
  75. Nikitopoulos, Christina Sklibosios & Thomas, Alice Carole & Wang, Jianxin, 2023. "The economic impact of daily volatility persistence on energy markets," Journal of Commodity Markets, Elsevier, vol. 30(C).
  76. Evrim Mandaci, Pınar & Azimli, Asil & Mandaci, Nazif, 2023. "The impact of geopolitical risks on connectedness among natural resource commodities: A quantile vector autoregressive approach," Resources Policy, Elsevier, vol. 85(PA).
  77. Gong, Xu & Xu, Jun, 2022. "Geopolitical risk and dynamic connectedness between commodity markets," Energy Economics, Elsevier, vol. 110(C).
  78. Luo, Keyu & Guo, Qiang & Li, Xiafei, 2022. "Can the return connectedness indices from grey energy to natural gas help to forecast the natural gas returns?," Energy Economics, Elsevier, vol. 109(C).
  79. Qin, Yun & Hong, Kairong & Chen, Jinyu & Zhang, Zitao, 2020. "Asymmetric effects of geopolitical risks on energy returns and volatility under different market conditions," Energy Economics, Elsevier, vol. 90(C).
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