Which determinant is the most informative in forecasting crude oil market volatility: Fundamental, speculation, or uncertainty?
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DOI: 10.1016/j.eneco.2017.09.016
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Keywords
Crude oil market; Volatility forecasting; GARCH-MIDAS; Dynamic model averaging method;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
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