Exploring the influence of the geopolitical risks on the natural resource price volatility and correlation: Evidence from DCC-MIDAS-X model
This paper uses the expanded dynamic conditional correlation mixed data sampling (DCC-MIDAS-X) model to examine the impact of low-frequency geopolitical risks (GPR) on high-frequency volatility and the correlation of natural resource prices. The empirical results show that GPR and its sub-indices ca...
| Main Authors: | , , , , |
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| Format: | Journal Article |
| Published: |
2024
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| Online Access: | http://hdl.handle.net/20.500.11937/97465 |