Predicting the VIX and the Volatility Risk Premium: What's Credit and Commodity Volatility Risk Got To Do With It?
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- Michel A. Robe & Jonathan Wallen, 2016. "Fundamentals, Derivatives Market Information and Oil Price Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(4), pages 317-344, April.
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Keywords
Factor asset pricing models; Arch filters;JEL classification:
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G1 - Financial Economics - - General Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FOR-2014-12-24 (Forecasting)
- NEP-RMG-2014-12-24 (Risk Management)
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