A Fear Index to Predict Oil Futures Returns
| dc.creator | Julien, Chevallier | |
| dc.creator | Sévi, Benoît | |
| dc.date | 2017-04-01T19:00:18Z | |
| dc.date.accessioned | 2026-07-09T07:24:47Z | |
| dc.description | 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 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. | |
| dc.identifier | doi:10.22004/ag.econ.156489 | |
| dc.identifier | https://ageconsearch.umn.edu/record/156489/files/NDL2013-062.pdf | |
| dc.identifier | http://ageconsearch.umn.edu/record/156489 | |
| dc.identifier.uri | http://hdl.handle.net/123456789/587994 | |
| dc.language | eng | |
| dc.publisher | ||
| dc.source | http://ageconsearch.umn.edu/record/156489 | |
| dc.title | A Fear Index to Predict Oil Futures Returns | |
| dc.type | Text |