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The role of coronavirus news in the volatility forecasting of crude oil futures markets: Evidence from China()
Based on the high-frequency heterogeneous autoregressive (HAR) model, this paper investigates whether coronavirus news (in China and globally) contains incremental information to predict the volatility of China's crude oil, and studies which types of coronavirus news can better forecast China&#...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier Ltd.
2021
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9758279/ https://www.ncbi.nlm.nih.gov/pubmed/36567728 http://dx.doi.org/10.1016/j.resourpol.2021.102173 |