Arbeitspapier
A Fear Index to Predict Oil Futures Returns
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Nota di Lavoro ; No. 62.2013
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financial Forecasting and Simulation
Energy Forecasting
- Thema
-
Oil Futures
Variance Risk Premium
Forecasting
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chevallier, Julien
Sévi, Benoît
- Ereignis
-
Veröffentlichung
- (wer)
-
Fondazione Eni Enrico Mattei (FEEM)
- (wo)
-
Milano
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Chevallier, Julien
- Sévi, Benoît
- Fondazione Eni Enrico Mattei (FEEM)
Entstanden
- 2013
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