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Risk Premia in Crude Oil Futures Prices
Hamilton, James D. - 2013
structure to commodity futures prices, and develop new algorithms for estimation of such models using unbalanced data sets in …
Persistent link: https://www.econbiz.de/10012459606
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Answering the Critics : Yes, ARCH Models Do Provide Good Volatility Forecasts
Andersen, Torben G. - 1997
Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …
Persistent link: https://www.econbiz.de/10012472795
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Lags, Costs, and Shocks : An Equilibrium Model of the Oil Industry
Bornstein, Gideon - 2017
the world economy. We analyze the impact of the advent of fracking on the volatility of oil prices. Our model predicts a … large decline in this volatility …
Persistent link: https://www.econbiz.de/10012455258
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Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph - 2000
This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...
Persistent link: https://www.econbiz.de/10012471074
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Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets
Froot, Kenneth A. - 1987
Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...
Persistent link: https://www.econbiz.de/10012476706
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Financialization in Commodity Markets
Chari, V.V. - 2017
growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased …
Persistent link: https://www.econbiz.de/10012453945
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Robust Bond Risk Premia
Bauer, Michael D. - 2017
A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small-sample distortions. We propose more robust tests, including a...
Persistent link: https://www.econbiz.de/10012455201
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The Predictive Ability of Several Models of Exchange Rate Volatility
West, Kenneth D. - 1994
We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and …
Persistent link: https://www.econbiz.de/10012474328
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The Predictive Content of Energy Futures : An Update on Petroleum, Natural Gas, Heating Oil and Gasoline
Chinn, Menzie D. - 2005
This paper examines the relationship between spot and futures prices for energy commodities (crude oil, gasoline, heating oil markets and natural gas). In particular, we examine whether futures prices are (1) an unbiased and/or (2) accurate predictor of subsequent spot prices. We find that while...
Persistent link: https://www.econbiz.de/10012467654
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Long-Run Risks and Financial Markets
Bansal, Ravi - 2007
-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can …
Persistent link: https://www.econbiz.de/10012465457