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dc.contributor.authorSévi, Benoît
HAL ID: 3591
dc.contributor.authorChevallier, Julien
HAL ID: 7536
dc.date.accessioned2013-09-25T13:29:53Z
dc.date.available2013-09-25T13:29:53Z
dc.date.issued2013-05
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/11714
dc.language.isoenen
dc.subjectOil Futuresen
dc.subjectVariance Risk Premiumen
dc.subjectForecastingen
dc.subject.ddc332en
dc.subject.classificationjelC32en
dc.subject.classificationjelG17en
dc.subject.classificationjelQ47en
dc.titleA Fear Index to Predict Oil Futures Returnsen
dc.typeDocument de travail / Working paper
dc.contributor.editoruniversityotherUniversité Paris 8 (LED);France
dc.contributor.editoruniversityotherAix-Marseille Université;France
dc.description.abstractenThis 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.en
dc.publisher.nameFondazione Eni Enrico Matteien
dc.publisher.cityMilanen
dc.identifier.citationpages26en
dc.relation.ispartofseriestitleNote di lavoroen
dc.relation.ispartofseriesnumber2013.062en
dc.subject.ddclabelEconomie financièreen
dc.description.submittednonen


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