Exploring the influence of the geopolitical risks on the natural resource price volatility and correlation: Evidence from DCC-MIDAS-X model

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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...

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Bibliographic Details
Main Authors:	Liu, H., Yang, P., He, Y., Oxley, Leslie, Guo, P.
Format:	Journal Article
Published:	2024
Online Access:	http://hdl.handle.net/20.500.11937/97465

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