A Fear Index to Predict Oil Futures Returns
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- Julien Chevallier & Benoit Sevi, 2014. "A fear index to predict oil futures returns," Working Papers 2014-333, Department of Research, Ipag Business School.
- Julien Chevallier & Benoît Sévi, 2014. "A fear index to predict oil futures returns," Post-Print hal-01463111, HAL.
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More about this item
Keywords
Oil Futures; Variance Risk Premium; Forecasting;JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2013-07-28 (All new papers)
- NEP-ENE-2013-07-28 (Energy Economics)
- NEP-FOR-2013-07-28 (Forecasting)
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