Exploring the asymmetric effects of economic policy uncertainty and implied volatilities on energy futures returns : novel insights from quantile-on-quantile regression
Year of publication: |
2022
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Authors: | Bossman, Ahmed ; Gherghina, Ştefan Cristian ; Asafo-Adjei, Emmanuel ; Adam, Anokye M. ; Agyei, Samuel Kwaku |
Published in: |
Journal of business economics and management. - Vilnius : VTGU Publ. House "Technika", ISSN 2029-4433, ZDB-ID 2400520-4. - Vol. 23.2022, 6, p. 1351-1376
|
Subject: | energy commodities | energy markets | uncertainty indices | volatility indices | causality-in-quantiles | quantile-on-quantile regression | Volatilität | Volatility | Energiemarkt | Energy market | Rohstoffderivat | Commodity derivative | Regressionsanalyse | Regression analysis | Risiko | Risk |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3846/jbem.2022.18282 [DOI] |
Classification: | G01 - Financial Crises ; G10 - General Financial Markets. General ; G18 - Government Policy and Regulation ; Q40 - Energy. General ; Q41 - Demand and Supply |
Source: | ECONIS - Online Catalogue of the ZBW |
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