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A Fear Index to Predict Oil Futures Returns

Chevallier, Julien - 2016

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/10013007386

Forecasting the Forecaster : Relationship between VIX Futures and Spot VIX Indexes

Narayanasamy, Arun; Panta, Humnath; Agarwal, Rohit - 2023

short-term between the VIX futures and the VIX spot index, suggesting that they are informationally efficient. On the …

Persistent link: https://www.econbiz.de/10014355125

Skew index : descriptive analysis, predictive power, and short-term forecast

Mora-Valencia, Andrés; Rodríguez-Raga, Santiago; … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012821304

Skew Index : a machine learning forecasting approach

Vanegas, Esteban; Mora-Valencia, Andrés - 2024

Persistent link: https://www.econbiz.de/10015193201

Can an energy futures index predict US stock market index movements?

Gurrib, Ikhlaas - In: International Journal of Energy Economics and Policy : IJEEP 8 (2018) 5, pp. 230-240

Persistent link: https://www.econbiz.de/10011951858

Forecasting stock index price using the CEEMDAN-LSTM model

Lin, Yu; Yan, Yan; Xu, Jiali; Liao, Ying; Ma, Feng - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012822188

The role of categorical EPU indices in predicting stock-market returns

Chen, Juan; Ma, Feng; Qiu, Xuemei; Li, Tao - In: International review of economics & finance : IREF 87 (2023), pp. 365-378

Persistent link: https://www.econbiz.de/10014472350

Financial volatility forecasting by nonlinear support vector machine heterogeneous autoregressive model : evidence from Nikkei 225 Stock Index

Khan, Md. Ashraful Islam - In: International journal of economics and finance 3 (2011) 4, pp. 138-150

Persistent link: https://www.econbiz.de/10009311494

Do managers really disclose bad news early? : examination of management forecast in Japan’s effectively mandated disclosure

Iwasaki, Takuya; Otomasa, Shota; Shiiba, Atsushi; … - 2024 - This version: November 2024

Persistent link: https://www.econbiz.de/10015164445

Market overreaction to bad news and share repurchase : evidence from Japan

Shirabe, Yuji - 2017

Persistent link: https://www.econbiz.de/10012417839