most citedThe role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model

3 citations · 3 across the 1 of their papers we have counts for

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q-fin.ST2020★ 3 cited

The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model

Peng-Fei Dai, Xiong Xiong, Wei-Xing Zhou

This paper aims to examine whether the global economic policy uncertainty (GEPU) and uncertainty changes have different impacts on crude oil futures volatility. We establish single…