Estimation of oil firm's systematic risk via composite time-varying models

Jin-Ray Lu, Pei-Hsuan Lee and I-Yuan Chuang

Mathematics and Computers in Simulation (MATCOM), 2011, vol. 81, issue 11, 2389-2399

Abstract: This paper examines the performance of alternative models in estimating systematic risk in the oil industry, considering the traditional market model, three time-varying models, and some combination methods of individual models. This study uses the world's top 10 oil firms’ data series to find that the combination method outperforms other individual models in out-of-sample forecasting of returns. The results indicate that the forecasting performance of the regression method is superior to individual and simple average models.

Keywords: Systematic risk; Composite forecasts; Time-varying beta; Oil industry (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:81:y:2011:i:11:p:2389-2399

DOI: 10.1016/j.matcom.2011.03.002

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