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The forecasting power of EPU for crude oil return volatility
Ma, Rufei
;
Zhou, Changfeng
;
Cai, Huan
;
Deng, Chengtao
- In:
Energy reports
5
(
2019
),
pp. 866-873
in crude oil market. To this end, we employ the
GARCH-MIDAS
model which can incorporate lower frequency EPU index …
Persistent link: https://www.econbiz.de/10012040309
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