Financial stress and oil market volatility: new evidence

Autor:	Dan Pang, Feng Ma, M. I. M. Wahab, Bo Zhu
Rok vydání:	2021
Předmět:	Economics and Econometrics Index (economics) Oil market Realized variance Econometrics Financial stress Economics Volatility (finance)
Zdroj:	Applied Economics Letters. 30:1-6
ISSN:	1466-4291 1350-4851
DOI:	10.1080/13504851.2021.1969333
Popis:	This study investigates the effect of financial stress (financial stress index; FSI) on oil market realized volatility using Markov-regime switching MIDAS models. The empirical results show that FS...
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::4ba3e4f955fe8b2ae0a93871459f9cb2 https://doi.org/10.1080/13504851.2021.1969333 Zobrazit plný text záznamu