Oil tail risks and the forecastability of the realized variance of oil-price : evidence from over 150 years of data
- UPSpace Home
- →
- Workspace (UPSpace)
- →
- Postprints (Articles)
- →
- View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.
| dc.contributor.author | Salisu, Afees A.
|
|
| dc.contributor.author | Pierdzioch, Christian
|
|
| dc.contributor.author | Gupta, Rangan
|
|
| dc.date.accessioned | 2022-08-16T05:46:41Z | |
| dc.date.available | 2022-08-16T05:46:41Z | |
| dc.date.issued | 2022-05 | |
| dc.description.abstract | We examine the predictive value of tail risks of oil returns for the realized variance of oil returns using monthly data for the modern oil industry (1859:10–2020:10). The Conditional Autoregressive Value at Risk (CAViaR) framework is employed to generate the tail risks for both 1% and 5% VaRs across four variants of the CAViaR framework. We find evidence of both in-sample and out-of-sample predictability emanating from both 1% and 5% tail risks. Given the importance of real-time oil-price volatility forecasts, our results have important implications for investors and policymakers. | en_US |
| dc.description.department | Economics | en_US |
| dc.description.librarian | hj2022 | en_US |
| dc.description.uri | http://www.elsevier.com/locate/frl | en_US |
| dc.identifier.citation | Salisu, A.A., Pierdzioch, C. & Gupta, R. 2022, 'Oil tail risks and the forecastability of the realized variance of oil-price: Evidence from over 150 years of data', Finance Research Letters, vol. 46, Part B, art. 102378, pp. 1-7, doi : 10.1016/j.frl.2021.102378. | en_US |
| dc.identifier.issn | 1544-6123 (print) | |
| dc.identifier.issn | 1544-6131 (online) | |
| dc.identifier.other | 10.1016/j.frl.2021.102378 | |
| dc.identifier.uri | https://repository.up.ac.za/handle/2263/86792 | |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier | en_US |
| dc.rights | © 2021 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was submitted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms are not reflected in this document. A definitive version was subsequently published in Finance Research Letters, vol. 46, Part B, art. 102378, pp. 1-7, 2022. doi : 10.1016/j.frl.2021.102378. | en_US |
| dc.subject | Conditional autoregressive value at risk (CAViaR) | en_US |
| dc.subject | Oil tail risks | en_US |
| dc.subject | Realized variance of oil-price | en_US |
| dc.subject | Forecasting | en_US |
| dc.title | Oil tail risks and the forecastability of the realized variance of oil-price : evidence from over 150 years of data | en_US |
| dc.type | Preprint Article | en_US |
