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Infectious diseases, market uncertainty and oil market volatility
Energies ; 15(13), 2020.
Article | ELSEVIER | ID: covidwho-760897
ABSTRACT
We examine the predictive power of a daily newspaper-based index of uncertainty associated with infectious diseases (EMVID) for oil-market volatility. Using the heterogeneous autoregressive realized volatility (HAR-RV) model, we document a positive effect of the EMVID index on the realized volatility of crude oil prices at the highest level of statistical significance, within-sample. Importantly, we show that incorporating EMVID into a forecasting setting significantly improves the forecast accuracy of oil realized volatility at short-, medium-, and long-run horizons. Our findings comprise important implications for investors and risk managers during the unprecedented episode of high uncertainty resulting from the COVID-19 pandemic.

Full text: Available Collection: Databases of international organizations Database: ELSEVIER Type of study: Prognostic study Journal: Energies Year: 2020 Document Type: Article

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Full text: Available Collection: Databases of international organizations Database: ELSEVIER Type of study: Prognostic study Journal: Energies Year: 2020 Document Type: Article