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Modeling and forecasting crude oil price volatility : evidence from historical and recent data

Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - 2015

ability (SPA) test, we evaluate and compare their forecasting performance at short and long horizons. The empirical results …. However, the new MSM model comes out as the model that most often across forecasting horizons and subsamples cannot be …

Persistent link: https://www.econbiz.de/10010488966

Causal Link between Oil Price and Uncertainty in India

Montasser, Ghassen El; Aggad, Kenza; Clark, Louise; … - Department of Economics, Faculty of Economic and … - 2014

This paper investigates the causality between oil price and economic uncertainty in India. In order to test for this relationship, we collect data on the Brent crude oil price as well as the crude oil ETF volatility index. We also use the policy-related economic uncertainty index as well as the...

Persistent link: https://www.econbiz.de/10011095474

Has Oil Pirce Predicted Stock Returns for Over a Century?

Narayan, Paresh K.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014

This paper contributes to the debate on the role of oil prices in predicting stock returns. The novelty of the paper is that it considers monthly time-series historical data that span over 150 years (1859:10-2013:12) and applies a predictive regression model that accommodates three salient...

Persistent link: https://www.econbiz.de/10010960357

Has oil price predicted stock returns for over a century?

Narayan, Paresh Kumar; Gupta, Rangan - In: Energy Economics 48 (2015) C, pp. 18-23

This paper contributes to the debate on the role of oil prices in predicting stock returns. The novelty of the paper is that it considers monthly time-series historical data that span over 150years (1859:10–2013:12) and applies a predictive regression model that accommodates three salient...

Persistent link: https://www.econbiz.de/10011208301

Uncertainty and Crude Oil Returns

Aloui, Riadh - 2016

We use a copula approach to investigate the effect of uncertainty on crude-oil returns. Using copulas to construct multivariate distributions of time-series data permit the calculation of the dependence structure between the series independently of the marginal distributions. Further, we...

Persistent link: https://www.econbiz.de/10013004425

Forecasting Key Macroeconomic Variables of the South African Economy Using Bayesian Variable Selection

Chama-Chiliba, Mirriam Chitalu; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2011

We compare the forecasting performances of the classical and the Minnesota-type Bayesian vector autoregressive (VAR … algorithm for variable selection, estimated using Markov Chain Monte Carlo methods. In this regard, we analyze the forecasting … the linear fixed coefficients classical VAR. However, we do not observe marked gains in forecasting power across the …

Persistent link: https://www.econbiz.de/10009369165