Short-horizon return predictability and oil prices

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dc.catalogadoryvc
dc.contributor.authorCasassus Vargas, Jaime Enrique
dc.contributor.authorHiguera, Freddy
dc.date.accessioned2024-01-19T14:14:31Z
dc.date.available2024-01-19T14:14:31Z
dc.date.issued2015
dc.description.abstractWe nd that, at horizons of one to three quarters, the oil price shocks exhibit predictive performance which is both statistically and economically signicant. Obtaining signicant results in a sample period aer the oil crisis in the 1970s is not an easy task since most variables lose their forecasting power within this period (Welch and Goyal 2008). In terms of global performance, our variable is better than all other variables considered (consumption-wealth ratio, price-dividend ratio, output gap and risk-free rate) with an 2R of 6%. is meaningful in-sample result was also detected in out-of-sample tests. Our variable exhibited the best out-of-sample 2R, which was close to 1.2% at one quarter. For longer time horizons, however, no variable showed a signicant predictive performance.
dc.fechaingreso.objetodigital2024-02-28
dc.fuente.origenORCID-ene24
dc.identifier.doi10.1201/b19020
dc.identifier.eisbn9780429075940
dc.identifier.urihttps://doi.org/10.1201/b19020
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/80662
dc.information.autorucEscuela de Ingeniería; Casassus Vargas, Jaime Enrique ; 0000-0002-5049-522X; 72872
dc.language.isoen
dc.nota.accesoContenido parcial
dc.publisherCRC Press
dc.relation.ispartofCommodities. Edited By M. A. H. Dempster, Ke Tang. 1st Edition, New York, Chapman and Hall/CRC, 2015
dc.rightsacceso restringido
dc.subjectEconomics
dc.subjectFinance
dc.subjectBusiness & Industry
dc.subjectMathematics & Statistics
dc.subject.ddc620
dc.subject.deweyIngenieríaes_ES
dc.titleShort-horizon return predictability and oil prices
dc.typecapítulo de libro
sipa.codpersvinculados72872
sipa.trazabilidadORCID;2024-01-08
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