Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model

Journal of Empirical Finance - Tập 43 - Trang 130-142 - 2017
Zhiyuan Pan1,2, Yudong Wang3, Chongfeng Wu4, Libo Yin5
1Collaborative Innovation Center of Financial Security, China
2Institute of Chinese Financial Studies, Southwestern University of Finance and Economics, China
3School of Economics and Management, Nanjing University of Science and Technology, 200 Xiaolingwei Street, Xuanwu District, Nanjing 210094, China
4Antai College of Economics & Management, Shanghai Jiao Tong University, China
5School of Finance, Central University of Finance and Economics, China

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