Is economic policy uncertainty important to forecast the realized volatility of crude oil futures?
Author:
Affiliation:
1. School of Economics & Management, Southwest Jiaotong University, Chengdu, China
2. Department of Mechanical and Industrial Engineering, Ryerson University, Toronto, Canada
3. School of Finance, Nanjing Audit University, Nanjing, China
Funder
Ministry of Education of the People's Republic of China
National Natural Science Foundation of China
Program for Fundamental Research Funds for the Central Universities
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/00036846.2017.1388909
Reference53 articles.
1. The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach
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3. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
4. Modeling and Forecasting Realized Volatility
5. Dynamic co-movements of stock market returns, implied volatility and policy uncertainty
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