We analyze the predictive power of time-varying risk aversion for the realized volatility of crude oil returns based on high-frequency data. Using random forests, and their extensions to quantile random forests and extreme ...
We extend existing studies by considering the higher-order moments relationships among crude oil, gold, and Bitcoin markets. Using high-frequency data from December 2, 2014 to June 10, 2018, we analyze spillovers in jumps ...
