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
URLhttps://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.
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