Generalized Modeling of Oil Futures Volatility Through Uncertainty Indicator Selection: A GARCH–MIDAS–AES Framework
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DOI: 10.1002/fut.22605
Abstract: Building on prior literature that has demonstrated the effectiveness of various uncertainty‐related indicators in enhancing the accuracy of crude oil volatility forecasting, this paper first investigates the type and persistence of the impact of changes… read more here.
Keywords: midas aes; uncertainty indicator; volatility; uncertainty ... See more keywords