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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. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
2013791551311Nota_di(71KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
2013791551404NDL2013(1001KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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