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A Fear Index to Predict Oil Futures Returns

Chevallier, Julien - 2016

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...

Persistent link: https://www.econbiz.de/10013007386

Effects of Forecasters Disagreement on the Crude Oil Volatility : A GARCH-MIDAS Approach

Hasselgren, Anton; Hou, Ai Jun; Xu, Caihong; Ye, Xiaoxia - 2022

In this paper, we investigate whether the forecasted crude oil prices from the Survey of Professional Forecasters conducted by the European Central Bank contain information for the Brent crude oil return volatility predictions. With a variety of GARCH-Mixed Data Sampling, i.e., GARCH-MIDAS...

Persistent link: https://www.econbiz.de/10013293598

A fear index to predict oil futures returns

Chevallier, Julien; Sévi, Benoît - 2013

Persistent link: https://www.econbiz.de/10010189497

Crude oil futures trading and uncertainty

Czudaj, Robert L. - 2018

This paper examines the effect of different dimensions of uncertainty on expectations of WTI crude oil futures momentum traders at a daily level. We consider two concepts of uncertainty and two momentum trading indicators based on technical analysis. In addition, we also use wavelet techniques...

Persistent link: https://www.econbiz.de/10011979326

Matrix inequality constraints for vector (asymmetric power) GARCH/HEAVY models and MEM with spillovers: Some new (mixture) formulations

Karanasos, Menelaos; Xu, Yongdeng - 2017

In this paper we review and generalize results on the derivation of tractable non-negativity (necessary and sufficient) conditions for N-dimensional asymmetric power GARCH/HEAVY models and MEM. We show that these non-negativity constraints are translated into simple matrix inequalities, which...

Persistent link: https://www.econbiz.de/10011787158

Matrix inequality constraints for vector (asymmetric power) GARCH/HEAVY models and MEM with spillovers : some new (mixture) formulations

Karanasos, Menelaos; Xu, Yongdeng - 2017

Persistent link: https://www.econbiz.de/10011759653

Multivariate Forecast Evaluation and Rationality Testing

Komunjer, Ivana; Owyang, Michael T. - In: The Review of Economics and Statistics 94 (2012) 4, pp. 1066-1080

In this paper, we propose a new family of multivariate loss functions to test the rationality of vector forecasts without assuming independence across variables. When only one variable is of interest, the loss function reduces to the flexible asymmetric family proposed by Elliott, Komunjer, and...

Persistent link: https://www.econbiz.de/10011009963

Asymmetric Properties of Impulse Response Functions in Markov-Switching Structural Vector AutoRegressions

Karamé, Frédéric; Olmedo, Alexandra - Centre d'Études des Politiques Économiques (EPEE), … - 2010

exact IRFs and discuss their properties as regards the different types of asymmetries (sign, size, state) and assumptions on …

Persistent link: https://www.econbiz.de/10010635722

Crude Oil Price and Retail Price of Gasoline : An Empirical Analysis of Asymmetric Relationship

Gurgur, Tugrul - 2016

price of gasoline in Turkey. We disentangle the cost channel into two parts: the crude oil price in foreign currency and …

Persistent link: https://www.econbiz.de/10012977921

Rockets and feathers revisited : an international comparison on European gasoline markets

Galeotti, Marzio; Lanza, Alessandro; Manera, Matteo - 2002

asymmetries that arise from short-run deviations in input prices and from the speed at which the gasoline price reverts to its … gasoline sells for different sums of national currencies; v) bootstrapping of F tests of asymmetries, in order to overcome the …This paper re-examines the issue of asymmetries in the transmission of shocks to crude oil prices onto the retail price …

Persistent link: https://www.econbiz.de/10011596079