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Global financial cycle and the predictability of oil market volatility : evidence from a GARCH-MIDAS model

Salisu, Afees A.; Gupta, Rangan; Demirer, Riza (Elsevier, 2022-04)

This study examines the predictive power of the global financial cycle (GFCy) over oil market volatility using the GARCH-MIDAS framework. The GARCH-MIDAS model provides an appropriate setting to forecast high frequency oil ...

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