Stock Return Predictability and Oil Prices
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Cited by:
- Marco J. Lombardi & Francesco Ravazzolo, 2012. "Oil price density forecasts: exploring the linkages with stock markets," Working Paper 2012/24, Norges Bank.
- Lombardi, Marco J. & Ravazzolo, Francesco, 2016.
"On the correlation between commodity and equity returns: Implications for portfolio allocation,"
Journal of Commodity Markets, Elsevier, vol. 2(1), pages 45-57.
- Marco Jacopo Lombardi, 2013. "On the correlation between commodity and equity returns: implications for portfolio allocation," BIS Working Papers 420, Bank for International Settlements.
- Jaime Casassus & Freddy Higuera, 2013. "The Economic Impact of Oil on Industry Portfolios," Documentos de Trabajo 433, Instituto de Economia. Pontificia Universidad Católica de Chile..
- Thomadakis, Apostolos, 2016. "Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence," MPRA Paper 71589, University Library of Munich, Germany.
- repec:bny:wpaper:0008 is not listed on IDEAS
- Sohag, Kazi & Shams, S.M. Riad & Gainetdinova, Anna & Nappo, Fabio, 2023. "Frequency connectedness and cross-quantile dependence among medicare, medicine prices and health-tech equity," Technovation, Elsevier, vol. 120(C).
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More about this item
Keywords
Return predictability; business cycle; crude oil; futures prices; asset pricing; conditional CAPM;All these keywords.
JEL classification:
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2012-01-10 (Energy Economics)
- NEP-FMK-2012-01-10 (Financial Markets)
- NEP-FOR-2012-01-10 (Forecasting)
Statistics
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