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A fear index to predict oil futures returns

Julien Chevallier and Benoît Sévi ()

No 2014-333, Working Papers from Department of Research, Ipag Business School

Abstract: This paper evaluates the predictability of WTI light sweet crude oil futures by us- ing the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to ex

Keywords: Oil Futures; Variance Risk Premium; Forecasting (search for similar items in EconPapers)
JEL-codes: C32 G17 Q47 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene, nep-for and nep-rmg
Date: 2014-01-01
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Related works:
Working Paper: A fear index to predict oil futures returns (2014)
Working Paper: A Fear Index to Predict Oil Futures Returns (2013) Downloads
Working Paper: A Fear Index to Predict Oil Futures Returns (2013) Downloads
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