Abstract
Motivated by the COVID-19 pandemic, we examine the role of uncertainty due to infectious diseases in predicting energy market volatility using the new dataset on Equity Market Volatility-Infectious Diseases (EMV-ID). We find that the new measure of market uncertainty is a good predictor of energy market volatility in both in-sample and out-of-sample tests. These results have implications for portfolio diversification strategies, which we set aside for future research.
| Original language | English |
|---|---|
| Journal | Energy Research Letters |
| Volume | 1 |
| Issue number | 2 |
| DOIs | |
| State | Published - 2020 |
Bibliographical note
Publisher Copyright:© 2020, Asia-Pacific Applied Economics Association. All rights reserved.
Keywords
- energy markets
- pandemics
- predictability
- volatility
ASJC Scopus subject areas
- Energy (miscellaneous)
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