Bouri, Elie; Gupta, Rangan; Kyei, Clement Kweku; Subramaniam, Sowmya
(Infopro Digital Services, 2022)
Using daily data from January 3, 2001 to July 17, 2020 we analyze the impact of oil market uncertainty (computed based on the realized volatility of five-minute intraday oil returns) on the level, slope and curvature factors ...