The roles of global supply chain pressure and economic conditions in forecasting the VaR of commodity markets : a quantile GARCH-MIDAS approach

Li, Zhangying; Chuang, O-Chia; Gupta, Rangan; Bouri, Elie

Please use this identifier to cite or link to this item: https://hdl.handle.net/11159/1105651

Title:

The roles of global supply chain pressure and economic conditions in forecasting the VaR of commodity markets : a quantile GARCH-MIDAS approach

Series title:

Department of Economics working paper series / Department of Economics, University of Pretoria

Authors:

Li, Zhangying
Chuang, O-Chia
Gupta, Rangan
Bouri, Elie

Document Type:

Book

Place of Publication and Publisher:

Pretoria, South Africa : Department of Economics, University of Pretoria

Year of Publication:

2025

Language:

English (eng)

Citation:

Li, Zhangying/Chuang, O-Chia et. al. (2025). The roles of global supply chain pressure and economic conditions in forecasting the VaR of commodity markets : a quantile GARCH-MIDAS approach. Pretoria, South Africa : Department of Economics, University of Pretoria.

Appears in Collections:

Department of Economics working paper series

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