Spillover-based information set selection: evidence from oil spot price forecasting

Spillover-Informed Network Architecture for Global Volatility Forecasting

Spillover of volatility shocks across borders during turbulent periods makes accurate equity market volatility forecasts especially critical for risk management, derivatives pricing, and regulatory capital. In this paper, we examine whether volatility forecasts improve when models incorporate information on how markets...

Working Paper Series

A Structural Matrix Autoregression Framework for International Spillovers

Understanding how macroeconomic shocks propagate across countries requires structural models that can jointly identify country-specific shocks and their international transmission. Yet extending structural vector autoregressions (SVARs) to large multi-country systems is challenging due to rapidly increasing dimensional...

Asymetric Shocks and Long-Memory Volatility: An Egarch Approach to Global Oil and Local Import Dynamics

This study investigates the volatility dynamics of commodity import prices in Republic of Moldova and global Brent crude oil prices, employing advanced econometric models to enhance understanding of risk in small open economies and energy markets. Utilizing monthly data from 1992 to 2025 for Republic of Moldova's Commo...

Let the Tree Decide: FABART. A Non-Parametric Factor Model for Nonlinear Oil Shock Transmission

The question of how oil supply news shocks transmit to real activity, financial conditions and regional labor markets is back at the center of the macroeconomic research agenda. To answer this question, we introduce the Factor Bayesian Additive Regression Tree (FABART) model, a nonlinear factor-augmented vector autoreg...

Global Dollar Shocks and Spillovers into EMDEs: The Channels of Commodity Prices and Country Risk