Forecasting the good and bad uncertainties of crude oil prices using a HAR framework

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Oil Price News and COVID-19—Is There Any Connection? (2020, background): “I. INTRODUCTION While for over a decade the focus was on how effective oil prices were in predicting stock market returns (D. Zhang & Cao, 2013), recently focus has shifted to forecasting/predicting oil prices itself (see Gong & Lin, 2017; Yi et al., 2018; Y.-J. Zhang & Wang, 2019).”
The pass-through effects of oil price shocks on China's inflation: A time-varying analysis (2020, background): “Therefore, China’s sustainable economic development is highly dependent on oil (Wen et al., 2016; Gong and Lin, 2017; Zhang et al., 2017; Gong and Lin, 2018a).”