Oil financialisation and volatility forecast: Evidence from multidimensional predictors
Abstract
Using the generalized dynamic factor model, this study constructs three predictors of crude oil price volatility: a fundamental (physical) predictor, a financial predictor, and a macroeconomic uncertainty predictor. Moreover, an event‐triggered predictor is constructed using data extracted from Google Trends. We construct GARCH‐MIDAS (generalized autoregressive conditional heteroskedasticity–mixed‐data sampling) models combining realized...
Paper Details
Title
Oil financialisation and volatility forecast: Evidence from multidimensional predictors
Published Date
Feb 6, 2019
Journal
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