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- W4311463359 abstract "By disentangling the effects of the oil-importing and oil-exporting countries, this paper sheds new light on the relationship between crude oil volatility and country specific geopolitical risks using the popular generalized autoregressive conditional heteroskedasticity with mixed data sampling model(GARCH-MIDAS, hereafter) of Engle et al. (2013). We show that crude oil future volatility is more strongly related to the geopolitical risks of oil-importing countries than to that of oil-exporting countries, especially China. The models exploiting this finding lead to significantly better out-of-sample forecast performance and thus have more economic benefit." @default.
- W4311463359 created "2022-12-26" @default.
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- W4311463359 date "2023-03-01" @default.
- W4311463359 modified "2023-10-16" @default.
- W4311463359 title "Geopolitical uncertainty and crude oil volatility: Evidence from oil-importing and oil-exporting countries" @default.
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- W4311463359 doi "https://doi.org/10.1016/j.frl.2022.103565" @default.
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