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- W2916811123 abstract "Crude oil is crucial to the operation and economic well-being of the modern society. Huge changes of crude oil price always cause panics to the global economy. This paper aims to investigate the predictability of the skewness risk of oil to directly forecast oil prices. We find that the skewness risk of oil does exhibit statistically and economically significant in-sample and out-of-sample forecasting power under OLS regressions. Moreover, the strength of the predictive evidence is substantial during recessions, and robust when controlling for a set of variables. Furthermore, the skewness risk of oil reveals substantial economic value for investors, in terms of superior oil risk premium forecasts and sizable utility gains." @default.
- W2916811123 created "2019-03-02" @default.
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- W2916811123 date "2019-11-01" @default.
- W2916811123 modified "2023-10-17" @default.
- W2916811123 title "Forecasting the oil prices: What is the role of skewness risk?" @default.
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- W2916811123 doi "https://doi.org/10.1016/j.physa.2019.02.022" @default.
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