1. % Note: The figures in each cell are the modified Diebold-Mariano test statistics (Harvey et al., 1997) with ***, and **, indicating statistical significance at 1%, and 5%, respectively. The significant negative test statistics (Sig. Neg. DM*) imply the outperformance of the country-specific energy uncertainty-based GARCH-MIDAS model over the RV-variant, while significant positive test statistics (Sig. Pos. DM*) denote the outperformance of the latter over the former;Sig;Financial Innovation,2017
2. The macroeconomic effects of oil price uncertainty;A Abiad;Energy Economics,2023
3. Measuring Economic Policy Uncertainty;S Baker;Quarterly Journal of Economics,2016
4. Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test;M Balcilar;Open Economies Review,2016
5. Volatility spillover between oil prices and main exchange rates: Evidence from a DCC-GARCH-connectedness approach?;G Benigno;Risk, Monetary Policy, and the Exchange Rate,2011