Brent Crude

TL;DR: In this article, the authors used the GARCH properties of oil price changes to forecast the oil price distribution over short-term horizons, based on the bootstrap approach, and the results of an out-of-sample forecasting exercise, carried out using the Brent oil price series, suggest that the forecasting approach can be used to obtain a performance measure for the forward price, in addition to compute interval forecasts for the oil prices.

TL;DR: In this article, the authors adopt a systemic time-series approach to study connectedness in both returns and volatility in the carbon-energy system, and a rolling-windows method is used to show the dynamic features.

TL;DR: The authors examined the impacts of three types of OPEC news announcements on volatility spillovers and persistence in international energy and cereal commodity markets, and showed that the persistence of volatility decreases for the crude oil and heating oil (gasoline) returns after accounting for the OPEC announcements in these multivariate GARCH models.

TL;DR: In this paper, a flexible autoregressive conditional heteroskedasticity (ARCH) model is used to take into account the stylized volatility facts such as clustering volatility, asymmetric news impact and long memory volatility among others.

TL;DR: In this article, the authors employ the time-varying copula approach to investigate the conditional dependence between the Brent crude oil price and stock markets in the Central and Eastern European (CEE) transition economies.