Ma, Rufei; Zhou, Changfeng; Cai, Huan; Deng, Chengtao - In: Energy Reports 5 (2019), pp. 866-873
paper investigates the impact of EPU on the crude oil return volatility and which EPU index has the most forecasting power … in crude oil market. To this end, we employ the GARCH-MIDAS model which can incorporate lower frequency EPU index … results show that the US EPU index has the best forecasting power for crude oil return volatility over the long-term, whereas …