Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? A quantile machine-learning approach
Abstract Because the U.S. is a major player in the international oil market, it is interesting to study whether aggregate and state-level economic conditions can predict the subsequent realized volatility of oil price returns. To address this research question, we frame our analysis in terms of vari...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2023-01-01
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| Series: | Financial Innovation |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s40854-022-00435-5 |