Forecasting oil price volatility using spillover effects from uncertainty indices

Autor:	Panagiotis Delis, Stavros Degiannakis, George Filis, Ioannis Chatziantoniou
Rok vydání:	2021
Předmět:	050208 finance Spillover effect 0502 economics and business 05 social sciences Econometrics Economics Inference 050207 economics Oil price Volatility (finance) Finance
Zdroj:	Finance Research Letters. 42:101885
ISSN:	1544-6123
Popis:	We consider spillovers between oil price volatility and key uncertainty indicators and we extend the applicability of the spillover index beyond economic inference, by generating forecasts of oil price volatility. The paper shows that spillovers do not contain significant predictive information, raising critical questions regarding the usefulness of the spillover index for forecasting exercises at low sampling frequency.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::1e7000a6c5840b89607f85cf6b06671d https://doi.org/10.1016/j.frl.2020.101885 Zobrazit plný text záznamu Full Text from ScienceDirect