Which determinant is the most informative in forecasting crude oil market volatility: Fundamental, speculation, or uncertainty?

By Yu Wei, Jing Liu, Xiaodong Lai, Yang Hu. 2017

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Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks (2019, methodology): “Furthermore, the MCS pvalues of the Model 6 are higher than other models, and following Wei et al. (2017), we find that the Model 6 can gain higher accuracy forecasts.”
Uncertainty Due to Infectious Diseases and Energy Market Volatility (2020, background): “…predictor of energy market volatility in a horserace between the economic policy uncertainty (EPU) and the equity market uncertainty (EMU); see Wei et al. (2017), Hailemariam et al. (2019), Liang et al. (2019), and Mei et al. (2019) for studies on EPU and Aloui et al. (2016), Baker et al.…”
Uncertainty and crude oil market volatility: new evidence (2020, methodology): “For example, some recent papers focus on the impacts of economic policy uncertainty (EPU) on oil market (see, e.g. Antonakakis, Chatziantoniou, and Filis 2014; Aloui, Gupta, and Miller 2016; Wei et al. 2017) based on the work of Baker, Bloom, and Davis (2016).”