Endogenous Uncertainty in the Oil Market: A Bayesian Stochastic Volatility-in-Mean Analysis
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More about this item
Keywords
Oil Prices; Endogenous Uncertainty; Bayesian VAR; Stochastic Volatility-in-Mean.;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2020-12-14 (Energy Economics)
- NEP-MAC-2020-12-14 (Macroeconomics)
- NEP-ORE-2020-12-14 (Operations Research)
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