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A Fear Index to Predict Oil Futures Returns
Chevallier, Julien; Sévi, Benoît - Fondazione ENI Enrico Mattei (FEEM) - 2013
This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also...
Persistent link: https://www.econbiz.de/10010678658
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Dynamic spillovers between gulf cooperation council's stocks, VIX, oil and gold volatility indices
Alqahtani, Abdullah; Chevallier, Julien - In: Journal of risk and financial management : JRFM 13 (2020) 4/69, pp. 1-17
oil (OVX), gold (GVZ), and S&P500 (VIX) markets (considered in log-difference). We use weekly data and resort to DCC-GARCH …
Persistent link: https://www.econbiz.de/10012302563
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On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting
Chevallier, Julien; Sévi, Benoît - Fondazione ENI Enrico Mattei (FEEM) - 2009
. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one-step-ahead forecasts …
Persistent link: https://www.econbiz.de/10008502108