Le, Thai-Ha; Sabri, Boubaker; Bui, Manh-Tien; Park, Donghyun - 2022
This study investigates the impacts of crude oil-market-specific fundamental factors and financial indicators on the realized volatility of West Texas Intermediate (WTI) crude oil price. A time-varying parameter vector autoregression model with stochastic volatility (TVP-VAR-SV) is applied to...