Exploring the asymmetric effects of economic policy uncertainty and implied volatilities on energy futures returns: novel insights from quantile-on-quantile regression

Exploring the asymmetric effects of economic policy uncertainty and implied volatilities on energy futures returns: novel insights from quantile-on-quantile regression

This study examined the asymmetric effects of major uncertainty and volatility indices (economic policy uncertainty, Chicago Board Options Exchange crude oil volatility, CBOE volatility index, CBOE VIX volatility, and NASDAQ 100 volatility target) on the returns of global energy and its constituent...

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Bibliographic Details
Main Authors: Ahmed Bossman, Ştefan Cristian Gherghina, Emmanuel Asafo-Adjei, Anokye Mohammed Adam, Samuel Kwaku Agyei
Format: Article
Language:English
Published: Vilnius Gediminas Technical University 2022-12-01
Series:Journal of Business Economics and Management
Subjects:
energy commodities
energy markets
uncertainty indices
volatility indices
causality-in-quantiles
quantile-on-quantile regression
Online Access:https://gc.vgtu.lt/index.php/JBEM/article/view/18282

Internet

https://gc.vgtu.lt/index.php/JBEM/article/view/18282

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