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- W4313335952 abstract "This paper employs the Cross-Quantilogram methodology proposed by Han et al. (2016) to investigate whether the implied volatility of crude oil (OVX) ameliorates the directional predictability of the oil price returns. Our main result documents the existence of a quantile predictability from OVX to WTI returns when the crude oil implied volatility is in the upper conditional quantile. On the other hand, no sufficient evidence in directional predictability is found when the OVX is at the lower to intermediate level. As a part of robustness check, the same analysis was conducted to the Brent returns. The pattern of directional predictability (similar signs) broadly corresponds with those observed on the WTI returns, however, it seems that OVX is more predictive for Brent than WTI. Particularly, the predictive power of OVX is found to be significant during periods of moderate to high OVX and mainly concentrated on lower to intermediate variations in Brent returns. As a result, implied volatility can be considered as a driver with respect to the forthcoming variations of the returns in the spot oil market. Insights gleaned from this study could have important implications for investors and policymakers in terms of portfolio and risk management decisions." @default.
- W4313335952 created "2023-01-06" @default.
- W4313335952 creator A5073930578 @default.
- W4313335952 date "2023-01-01" @default.
- W4313335952 modified "2023-09-26" @default.
- W4313335952 title "Can implied volatility predict returns on oil market? Evidence from Cross-Quantilogram Approach" @default.
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- W4313335952 doi "https://doi.org/10.1016/j.resourpol.2022.103277" @default.
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