...-term volatility component GARCH-MIDAS C32 C53 G17 Economic uncertainty is the unpredictable component of the economic system (Baker et al., 2016), which arises from the unknowability of data-generating processes that drive future performance and policies among market...

... G17 G21 C32. Over the past few years, increased financial market integration has reduced traditional diversification benefits (Markwat et al., 2009), leading investors to seek alternative assets such as commodities like crude oil and gold. These commodities are viewed as strategic...

... Licensed re-use rights only Credit default swaps Emerging countries NARDL Asymmetry F37 G15 G17 The expansion of the credit derivatives market from $40 billion in outstanding notional value in 1996 to an estimated value of $33 trillion in 2008 demonstrates that the credit...