This paper explores the role of speculation and economy fundamentals in the oil market using a two-component GARCH-MIDAS model. Specifically, the authors highlight the different roles played by the changing oil shocks with respect to the short-term and long-term components regarding oil market...

The authors investigate multiplicate relationships between investor attention and gold futures return. The Vector Auto Regression (VAR) estimates demonstrate that investor attention exhibits significant impact on gold futures returns and the effect can be positive or negative depending on how...