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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...
Persistent link: https://www.econbiz.de/10011514262
This paper explores the role of speculation and economy fundamentals in the oil market using a two-component GARCH-MIDAS model. Particularly, the authors highlight the different role played by changing oil shocks on short-term and long-term components in terms of oil market volatility. The...
Persistent link: https://www.econbiz.de/10011413340
Persistent link: https://www.econbiz.de/10011662821
Persistent link: https://www.econbiz.de/10014464414