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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...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier Ltd.
2020
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| Materias: | |
| 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 |