A fear index to predict oil futures returns

Citations

Cited by:

1. Sévi, Benoît, 2015. "Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps," Economic Modelling, Elsevier, vol. 44(C), pages 243-251.
   • Benoît Sévi, 2014. "Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps," Working Papers 2014-602, Department of Research, Ipag Business School.
2. Da Fonseca, José & Ignatieva, Katja, 2019. "Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 45-62.
3. repec:ipg:wpaper:2014-546 is not listed on IDEAS
4. repec:ipg:wpaper:2014-565 is not listed on IDEAS
5. Sun, Hang & Bos, Jaap W.B. & Li, Zhuo, 2017. "In the Nick of Time: A Heteroskedastic SVAR Model and Its Application to the Crude Oil Futures Market," Research Memorandum 019, Maastricht University, Graduate School of Business and Economics (GSBE).
6. Zied Ftiti & Aviral Tiwari & Amél Belanès, 2014. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis V.S. Wavelet Analysis," Working Papers 2014-62, Department of Research, Ipag Business School.
   • Zied Ftiti & Aviral Tiwari & Amél Belanès & Khaled Guesmi, 2014. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis V.S. Wavelet Analysis," Working Papers 2014-577, Department of Research, Ipag Business School.
7. repec:ipg:wpaper:2014-442 is not listed on IDEAS
8. repec:ipg:wpaper:2014-421 is not listed on IDEAS
9. repec:ipg:wpaper:2014-561 is not listed on IDEAS
10. Cortazar, Gonzalo & Ortega, Hector & Rojas, Maximiliano & Schwartz, Eduardo S., 2021. "Commodity index risk premium," Journal of Commodity Markets, Elsevier, vol. 22(C).
11. repec:ipg:wpaper:2014-569 is not listed on IDEAS
12. Ornelas, José Renato Haas & Mauad, Roberto Baltieri, 2019. "Volatility risk premia and future commodity returns," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 341-360.
    • José Renato Haas Ornelas & Roberto Baltieri Mauad, 2017. "Volatility Risk Premia and Future Commodity Returns," Working Papers Series 455, Central Bank of Brazil, Research Department.
13. repec:ipg:wpaper:2014-441 is not listed on IDEAS
14. repec:ipg:wpaper:2014-481 is not listed on IDEAS
15. repec:ipg:wpaper:2014-502 is not listed on IDEAS
16. repec:ipg:wpaper:2014-456 is not listed on IDEAS
17. repec:ipg:wpaper:2014-469 is not listed on IDEAS
18. repec:ipg:wpaper:2014-486 is not listed on IDEAS
19. repec:ipg:wpaper:2014-523 is not listed on IDEAS
20. repec:ipg:wpaper:2014-443 is not listed on IDEAS
21. repec:ipg:wpaper:2014-518 is not listed on IDEAS
22. repec:ipg:wpaper:2014-535 is not listed on IDEAS
23. Lycheva, Maria & Mironenkov, Alexey & Kurbatskii, Alexey & Fantazzini, Dean, 2022. "Forecasting oil prices with penalized regressions, variance risk premia and Google data," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 68, pages 28-49.
    • Fantazzini, Dean & Kurbatskii, Alexey & Mironenkov, Alexey & Lycheva, Maria, 2022. "Forecasting oil prices with penalized regressions, variance risk premia and Google data," MPRA Paper 118239, University Library of Munich, Germany.
24. repec:ipg:wpaper:2014-586 is not listed on IDEAS
25. repec:ipg:wpaper:2014-414 is not listed on IDEAS
26. repec:ipg:wpaper:2014-547 is not listed on IDEAS
27. Da Fonseca, José & Xu, Yahua, 2017. "Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition," Energy Economics, Elsevier, vol. 67(C), pages 410-422.
28. repec:ipg:wpaper:2014-545 is not listed on IDEAS
29. Marinela Adriana Finta & José Renato Haas Ornelas, 2018. "Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia," Working Papers Series 479, Central Bank of Brazil, Research Department.
30. repec:ipg:wpaper:2014-449 is not listed on IDEAS
31. Finta, Marinela Adriana & Ornelas, José Renato Haas, 2022. "Commodity return predictability: Evidence from implied variance, skewness, and their risk premia☆☆," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
32. repec:ipg:wpaper:2014-455 is not listed on IDEAS
33. repec:ipg:wpaper:2014-495 is not listed on IDEAS
34. Da Fonseca, José & Ignatieva, Katja & Ziveyi, Jonathan, 2016. "Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market," Energy Economics, Elsevier, vol. 56(C), pages 215-228.
35. repec:ipg:wpaper:2014-583 is not listed on IDEAS
36. repec:ipg:wpaper:2014-549 is not listed on IDEAS