In this study, we contribute to the rapidly growing climate-finance literature by shedding light on the question of whether climate risks have predictive value for stock market returns. We measure climate risks in terms ...

We analyze the predictive value of climate risks for state-level realized stock market volatility, computed, along with other realized moments, based on high-frequency intra-day U.S. data (September, 2011 to October, 2021). ...

We analyse the impact of oil supply, global economic activity, oil-specific consumption demand, and oil-inventory demand shocks on equity-market tail risks of a panel of 48 developed and emerging economies over the monthly ...

While much significant research has been done to study the effects of terror attacks on stock markets, less is known about the response of exchange rates to terror attacks. We suggest a non-parametric causality-in-quantiles ...

Because the U.S. is a major player in the international oil market, it is interesting to study whether aggregate and state-level economic conditions can predict the subsequent realized volatility of oil price returns. To ...

Much significant research has been done to study the links between gold returns and the returns of other asset classes in times of economic crisis and high uncertainty. We contribute to this research by using a novel ...

We extend the literature on the effect of rare disaster risks on commodities by examining the effect of the El Niño-Southern Oscillation (ENSO) on crude oil via the recently developed kth order nonparametric causality-in-quantile ...

We use intraday data to construct measures of realized volatility, realized kurtosis, and realized skewness of returns of six major exchange rates vis-à-vis the dollar. The currencies under consideration are: (i) Australian ...

We examine the forecasting power of a daily newspaper-based index of uncertainty associated with infectious diseases (EMVID) for gold market returns volatility via the heterogeneous autoregressive realized variance (HAR-RV) ...

We analyze the role of global and regional measures of financial stress in forecasting realized volatility of the oil market based on 5-min intraday data covering the period of 4th January, 2000 until 26th May, 2017. In ...