Zhang, Chenyao; Liu, Xiaoxing; Li, Xuemei; Tang, Chun - 2023
This article empirically investigates the impact of GPR (geopolitical risk) and its subdivided indices on the volatility of energy prices and whether they have predictive power for the volatility of energy futures prices. The single factor, double factor GJR-GARCH-MIDAS models, are applied for...