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In existing literature, economic uncertainty may have positive, negative, or insignificant effect on crude oil prices. Based on our newly proposed two-stage tests and empirical analysis, we show that such disagreement is often caused by the conventional assumption on time-invariant market...
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We test the value at risk (VaR) forecasting accuracy of seven generalised autoregressive condition heteroskedasticity (GARCH)-mixed data sampling (MIDAS) models, which potentially provide superior forecast accuracy than traditional GARCH models by capturing different forms of mixed frequency...
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price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the … jump component is persistent when forecasting the oil futures market volatility. Specifically, we propose a strategy that … according to their recent past forecasting performance. The volatility data are based on the intraday prices of West Texas …
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