The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method
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DOI: 10.1007/s00181-016-1150-0
Abstract: A recent strand in the literature emphasizes the role of news-based economic policy uncertainty (EPU) and equity market uncertainty (EMU) as drivers of oil price movements. Against this backdrop, this paper uses a kth-order nonparametric… read more here.
Keywords: quantile causality; uncertainty; news based; nonparametric quantile ... See more keywords