Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2011
We investigate the macro factors that can explain the monthly oil futures return for the NYMEX WTI futures contract for the time period 1993:11 to 2010:03. We build a new database of 187 real and nominal macroeconomic variables from developed and emerging countries and resort to the large factor...