Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model

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Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks (2019, background): “Introduction Oil price uncertainty (volatility) is crucial for many economic and financial decisions, such as portfolio allocation and risk management (see, for example, Jo, 2014; Kilian and Park, 2009; Degiannakis and Filis, 2017; Pan et al., 2017; Hughen, 2010), leading to a burgeoning literature ”
Uncertainty and crude oil market volatility: new evidence (2020, background): “A large amount of literature reveals the driving forces of macroeconomic fundamentals and speculative factors on oil price volatility (see, e.g. Dees et al. 2007; Narayan and Narayan 2010; Mu and Ye 2011; Narayan and Sharma 2011; Kilian and Murphy 2014; Pan et al. 2017; Yi et al. 2018).”