Forecasting crude oil volatility with geopolitical risk: Do time-varying switching probabilities play a role?

Author:

Wang Lu,Ma Feng,Hao Jianyang,Gao Xinxin

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference93 articles.

1. Oil price drivers, geopolitical uncertainty and oil exporters’ currencies;Akram;Energy Economics,2020

2. On the asymmetric impact of macro–variables on volatility;Amendola;Economic Modelling,2019

3. The use of GARCH models in VaR estimation;Angelidis;Statistical methodology,2004

4. Geopolitical risks and the oil-stock nexus over 1899–2016;Antonakakis;Finance Research Letters,2017

5. Food price volatility and macroeconomic factors: Evidence from GARCH and GARCH-X estimates;Apergis;Journal of Agricultural and Applied Economics,2011

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