The predictive power of oil price shocks on realized volatility of oil: A note()

This paper examines the predictive power of oil supply, demand and risk shocks over the realized volatility of intraday oil returns. Utilizing the heterogeneous autoregressive realized volatility (HAR-RV) framework, we show that all shock terms on their own, and particularly financial market driven...

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Detalles Bibliográficos
Autores principales: Demirer, Riza, Gupta, Rangan, Pierdzioch, Christian, Shahzad, Syed Jawad Hussain
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Ltd. 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7509536/
https://www.ncbi.nlm.nih.gov/pubmed/34173422
http://dx.doi.org/10.1016/j.resourpol.2020.101856

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7509536/
https://www.ncbi.nlm.nih.gov/pubmed/34173422
http://dx.doi.org/10.1016/j.resourpol.2020.101856

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