Narayan, Paresh K.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014
regression model that accommodates three salient features of the data, namely, a persistent and endogenous oil price, and model … heteroskedasticity. Three key findings are unraveled: First, oil price predicts US stock returns. Second, in-sample evidence is … corroborated by out-sample evidence of predictability. Third, both positive and negative oil price changes are important predictors …