A fear index to predict oil futures returns

Citations

Cited by:

1. 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.
   • Benoît Sévi, 2014. "Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps," Working Papers 2014-602, Department of Research, Ipag Business School.
2. 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.
3. repec:ipg:wpaper:2014-546 is not listed on IDEAS
4. repec:ipg:wpaper:2014-565 is not listed on IDEAS
5. 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).
6. 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.
   • Zied Ftiti & Aviral Tiwari & Amél Belanès & Khaled Guesmi, 2014. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis V.S. Wavelet Analysis," Working Papers 2014-577, Department of Research, Ipag Business School.
7. repec:ipg:wpaper:2014-442 is not listed on IDEAS
8. repec:ipg:wpaper:2014-421 is not listed on IDEAS
9. repec:ipg:wpaper:2014-561 is not listed on IDEAS
10. Cortazar, Gonzalo & Ortega, Hector & Rojas, Maximiliano & Schwartz, Eduardo S., 2021. "Commodity index risk premium," Journal of Commodity Markets, Elsevier, vol. 22(C).
11. repec:ipg:wpaper:2014-569 is not listed on IDEAS
12. 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.
    • José Renato Haas Ornelas & Roberto Baltieri Mauad, 2017. "Volatility Risk Premia and Future Commodity Returns," Working Papers Series 455, Central Bank of Brazil, Research Department.
13. repec:ipg:wpaper:2014-441 is not listed on IDEAS
14. repec:ipg:wpaper:2014-481 is not listed on IDEAS
15. repec:ipg:wpaper:2014-502 is not listed on IDEAS
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17. repec:ipg:wpaper:2014-469 is not listed on IDEAS
18. repec:ipg:wpaper:2014-486 is not listed on IDEAS
19. repec:ipg:wpaper:2014-523 is not listed on IDEAS
20. repec:ipg:wpaper:2014-443 is not listed on IDEAS
21. repec:ipg:wpaper:2014-518 is not listed on IDEAS
22. repec:ipg:wpaper:2014-535 is not listed on IDEAS
23. 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.
    • Fantazzini, Dean & Kurbatskii, Alexey & Mironenkov, Alexey & Lycheva, Maria, 2022. "Forecasting oil prices with penalized regressions, variance risk premia and Google data," MPRA Paper 118239, University Library of Munich, Germany.
24. repec:ipg:wpaper:2014-586 is not listed on IDEAS
25. repec:ipg:wpaper:2014-414 is not listed on IDEAS
26. repec:ipg:wpaper:2014-547 is not listed on IDEAS
27. 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.
28. repec:ipg:wpaper:2014-545 is not listed on IDEAS
29. 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.
30. repec:ipg:wpaper:2014-449 is not listed on IDEAS
31. 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).
32. repec:ipg:wpaper:2014-455 is not listed on IDEAS
33. repec:ipg:wpaper:2014-495 is not listed on IDEAS
34. 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.
35. repec:ipg:wpaper:2014-583 is not listed on IDEAS
36. repec:ipg:wpaper:2014-549 is not listed on IDEAS