全球智库信息集成服务系统(G2TT): A Fear Index to Predict Oil Futures Returns

G2TT

来源类型	FEEM working papers "Note di lavoro" series
规范类型	论文
	A Fear Index to Predict Oil Futures Returns
	Julien Chevallier; Benoît Sévi
发表日期	2013
出处	Energy: Resources and Markets
出版年	2013
语种	英语
摘要	This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also considered, capturing macroeconomic, financial and oil-specific influences. The results indicate that the explanatory power of the (negative) variance risk premium on oil excess returns is particularly strong (up to 25% for the adjusted Rsquared across our regressions). It complements other financial (e.g. default spread) and oil-specific (e.g. US oil stocks) factors highlighted in previous literature.
特色分类	C32;G17;Q47
关键词	Oil Futures Variance Risk Premium Forecasting
URL	https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/a-fear-index-to-predict-oil-futures-returns/
来源智库	Fondazione Eni Enrico Mattei (Italy)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/118200
推荐引用方式 GB/T 7714	Julien Chevallier,Benoît Sévi. A Fear Index to Predict Oil Futures Returns. 2013.