Short-horizon return predictability and oil prices

DOI10.1080/14697688.2012.751122zbMATH Open1280.91196OpenAlexW2049909390MaRDI QIDQ5745653FDOQ5745653

Authors: Jaime Casassus, Freddy Higuera 

Publication date: 30 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10533/133296

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zbMATH Keywords

financial econometricscommodity pricescommodity marketsempirical asset pricingforecasting applications

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Asymptotics for out of sample tests of Granger causality
• Common risk factors in the returns on stocks and bonds
• Automatic Lag Selection in Covariance Matrix Estimation
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
• Tests of equal forecast accuracy and encompassing for nested models
• What is an oil shock?
• Energy shocks and financial markets: nonlinear linkages
• Recent developments in bootstrapping time series
• Evaluating Direct Multistep Forecasts

Cited In (3)

• Jumps and oil futures volatility forecasting: a new insight
• Stock prices-inflation puzzle and the predictability of stock market returns
• Forecasting volatility returns of oil price using gene expression programming approach.

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