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Keywords: GARCH-MIDAS
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Journal Articles
Volatility dynamics in energy and agriculture markets: An analysis of domestic and global uncertainty factors
Available to Purchase
Journal:
Journal of Financial Economic Policy
Journal of Financial Economic Policy (2024) 16 (5): 580–600.
Published: 21 August 2024
... and energy futures using the GARCH-MIDAS model, taking into account different types of uncertainty factors. The evaluation of out-sample predictive capability involves the application of out-sample R-squared test and computation of various loss functions. Findings The research outcomes...
