volatility. We extend a reduced form Structural Break Threshold Vector Autoregressive (SBT-VAR) model to a structural SBT … geopolitical risk shock, the other with a simultaneous shale production shock and a geopolitical risk shock. The volatility … volatility response of oil prices to a geopolitical risk shock is higher, but the response is less correlated with the …

stochastic volatility in mean. Stochastic volatility allows oil price uncertainty to vary separately from changes in the level of … uncertainty indicator, i.e., a realized volatility series from daily oil price data, into the estimation process. The estimation …