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A Fear Index to Predict Oil Futures Returns

Citations

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Cited by:

  1. repec:ipg:wpaper:2014-481 is not listed on IDEAS
  2. Sun, Hang & Bos, Jaap W.B. & Li, Zhuo, 2017. "In the Nick of Time: A Heteroskedastic SVAR Model and Its Application to the Crude Oil Futures Market," Research Memorandum 019, Maastricht University, Graduate School of Business and Economics (GSBE).
  3. Ornelas, José Renato Haas & Mauad, Roberto Baltieri, 2019. "Volatility risk premia and future commodity returns," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 341-360.
  4. repec:ipg:wpaper:2014-502 is not listed on IDEAS
  5. repec:ipg:wpaper:2014-443 is not listed on IDEAS
  6. repec:ipg:wpaper:2014-455 is not listed on IDEAS
  7. repec:ipg:wpaper:2014-449 is not listed on IDEAS
  8. repec:ipg:wpaper:2014-495 is not listed on IDEAS
  9. Da Fonseca, José & Ignatieva, Katja, 2019. "Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 45-62.
  10. Zied Ftiti & Aviral Tiwari & Amél Belanès, 2014. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis V.S. Wavelet Analysis," Working Papers 2014-62, Department of Research, Ipag Business School.
  11. repec:ipg:wpaper:2014-469 is not listed on IDEAS
  12. Da Fonseca, José & Xu, Yahua, 2017. "Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition," Energy Economics, Elsevier, vol. 67(C), pages 410-422.
  13. repec:ipg:wpaper:2014-518 is not listed on IDEAS
  14. repec:ipg:wpaper:2014-583 is not listed on IDEAS
  15. repec:ipg:wpaper:2014-486 is not listed on IDEAS
  16. repec:ipg:wpaper:2014-414 is not listed on IDEAS
  17. Finta, Marinela Adriana & Ornelas, José Renato Haas, 2022. "Commodity return predictability: Evidence from implied variance, skewness, and their risk premia☆☆," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  18. repec:ipg:wpaper:2014-442 is not listed on IDEAS
  19. repec:ipg:wpaper:2014-545 is not listed on IDEAS
  20. repec:ipg:wpaper:2014-535 is not listed on IDEAS
  21. repec:ipg:wpaper:2014-441 is not listed on IDEAS
  22. repec:ipg:wpaper:2014-421 is not listed on IDEAS
  23. repec:ipg:wpaper:2014-569 is not listed on IDEAS
  24. repec:ipg:wpaper:2014-561 is not listed on IDEAS
  25. Maria Lycheva & Alexey Mironenkov & Alexey Kurbatskii & Dean Fantazzini, 2022. "Forecasting oil prices with penalized regressions, variance risk premia and Google data," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 68, pages 28-49.
  26. Cortazar, Gonzalo & Ortega, Hector & Rojas, Maximiliano & Schwartz, Eduardo S., 2021. "Commodity index risk premium," Journal of Commodity Markets, Elsevier, vol. 22(C).
  27. repec:ipg:wpaper:2014-546 is not listed on IDEAS
  28. repec:ipg:wpaper:2014-565 is not listed on IDEAS
  29. repec:ipg:wpaper:2014-456 is not listed on IDEAS
  30. repec:ipg:wpaper:2014-549 is not listed on IDEAS
  31. repec:ipg:wpaper:2014-523 is not listed on IDEAS
  32. repec:ipg:wpaper:2014-547 is not listed on IDEAS
  33. Da Fonseca, José & Ignatieva, Katja & Ziveyi, Jonathan, 2016. "Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market," Energy Economics, Elsevier, vol. 56(C), pages 215-228.
  34. repec:ipg:wpaper:2014-586 is not listed on IDEAS
  35. Sévi, Benoît, 2015. "Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps," Economic Modelling, Elsevier, vol. 44(C), pages 243-251.
  36. Marinela Adriana Finta & José Renato Haas Ornelas, 2018. "Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia," Working Papers Series 479, Central Bank of Brazil, Research Department.
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