Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/89593
Authors: 
Chevallier, Julien
Sévi, Benoît
Year of Publication: 
2013
Series/Report no.: 
Nota di Lavoro, Fondazione Eni Enrico Mattei 62.2013
Abstract: 
This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also considered, capturing macroeconomic, financial and oil-specific influences. The results indicate that the explanatory power of the (negative) variance risk premium on oil excess returns is particularly strong (up to 25% for the adjusted Rsquared across our regressions). It complements other financial (e.g. default spread) and oil-specific (e.g. US oil stocks) factors highlighted in previous literature.
Subjects: 
Oil Futures
Variance Risk Premium
Forecasting
JEL: 
C32
G17
Q47
Document Type: 
Working Paper

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