On the Tail Risk Premium in the Oil Market
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Citations
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Cited by:
- Wong, Patrick, 2023. "Explaining intraday crude oil returns with higher order risk-neutral moments," Journal of Commodity Markets, Elsevier, vol. 31(C).
- Remzi Uctum & Georges Prat, 2021.
"Modeling ex-ante risk premia in the oil market,"
Post-Print
hal-03513121, HAL.
- Georges Prat & Remzi Uctum, 2021. "Modeling ex-ante risk premia in the oil market," Working Papers hal-03508699, HAL.
- Remzi Uctum & Georges Prat, 2021. "Modeling ex-ante risk premia in the oil market," EconomiX Working Papers 2021-31, University of Paris Nanterre, EconomiX.
- Georges Prat & Remzi Uctum, 2021. "Modeling ex-ante risk premia in the oil market," Post-Print hal-03318785, HAL.
- Salisu, Afees A. & Pierdzioch, Christian & Gupta, Rangan, 2022.
"Oil tail risks and the forecastability of the realized variance of oil-price: Evidence from over 150 years of data,"
Finance Research Letters, Elsevier, vol. 46(PB).
- Afees A. Salisu & Christian Pierdzioch & Rangan Gupta, 2021. "Oil Tail Risks and the Forecastability of the Realized Variance of Oil-Price: Evidence from Over 150 Years of Data," Working Papers 202146, University of Pretoria, Department of Economics.
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"Forecasting oil prices over 150 years: The role of tail risks,"
Resources Policy, Elsevier, vol. 75(C).
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"Geopolitical risk and forecastability of tail risk in the oil market: Evidence from over a century of monthly data,"
Energy, Elsevier, vol. 235(C).
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More about this item
Keywords
Asset Pricing; Econometric and statistical methods; Financial markets;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2017-12-11 (Energy Economics)
- NEP-FOR-2017-12-11 (Forecasting)
- NEP-RMG-2017-12-11 (Risk Management)
- NEP-UPT-2017-12-11 (Utility Models and Prospect Theory)
Statistics
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