Volumes of oil reserves are important indicators of energy availability in the future since it is still the world’s main source of energy. In this paper, we estimate the oil reserve volume under oil price uncertainty using the traditional discounted cash flow (DCF) and the real options theory...

This study investigates the asymmetric effects of oil price shocks on income in a a cointegration framework. Employing the nonlinear auto-regressive distributed lag (NARDL) approach, we show the asymmetric responses of income to changes (shocks) in oil prices in the long-run. More specifically,...

This paper investigates whether augmenting models with the variance risk premium (VRP) and Google search data improves the quality of the forecasts for real oil prices. We considered a time sample of monthly data from 2007 to 2019 that includes several episodes of high volatility in the oil...

This paper explores the possibility of the potential usage of machine learning models in the field of realized volatility forecasting of crude oil with a vast variety of empirical analyses and robustness checks. Although the conventional heterogeneous autoregressive (HAR) model is widely...

We show that the ability of oil price changes to predict stock returns is largely limited to five extreme geopolitical events: the 2022 invasion of Ukraine, the 2003 invasion of Iraq, the 1990/91 Persian gulf war, the 1986 OPEC collapse, and the 1973 Arab-Israel war. In the counterfactual...

We study the effect of oil price shocks on bond risk premia. Based on Baumeister and Hamilton (2019), we identify the different sources of oil price shocks using a structural vector autoregressive (SVAR) model of the global market for crude oil. These structural factors are then used as...

Gold and Crude oil are very vital global Variables and they are ruling the market. An increase in the worldwide oil prices and gold prices hurts the Indian economy. To know whether there is any dependency of gold and crude oil price fluctuations with respect to Indian market. The interdependence...

This paper examines the effect of oil price volatility on inflation, economic growth and the stock market in India using a vector error correction model (VECM) in India. Estimated results suggest that the overall price level, the real effective exchange rate, and oil prices are negatively...

Measuring the value at risk(VaR) of crude oil futures poses a challenge for investors due to the high volatility of these prices. Describing the return in the tail distribution is crucial because these extreme values can trigger larger price fluctuations and market risks. Based on the...