dc.contributor.author | Haugom, Erik | |
dc.contributor.author | Langeland, Henrik Søyland | |
dc.contributor.author | Molnar, Peter | |
dc.contributor.author | Westgaard, Sjur | |
dc.date.accessioned | 2017-10-02T14:24:15Z | |
dc.date.available | 2017-10-02T14:24:15Z | |
dc.date.created | 2014-10-30T08:42:35Z | |
dc.date.issued | 2014 | |
dc.identifier.citation | Journal of Banking & Finance. 2014, 47 (1), 1-14. | nb_NO |
dc.identifier.issn | 0378-4266 | |
dc.identifier.uri | http://hdl.handle.net/11250/2457840 | |
dc.description.abstract | We examine the information content of the CBOE Crude Oil Volatility Index (OVX) when forecasting realized volatility in the WTI futures market. Additionally, we study whether other market variables, such as volume, open interest, daily returns, bid-ask spread and the slope of the futures curve, contain predictive power beyond what is embedded in the implied volatility. In out-of-sample forecasting we find that econometric models based on realized volatility can be improved by including implied volatility and other variables. Our results show that including implied volatility significantly improves daily and weekly volatility forecasts; however, including other market variables significantly improves daily, weekly and monthly volatility forecasts. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Elsevier | nb_NO |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no | * |
dc.title | Forecasting volatility of the U.S. oil market | nb_NO |
dc.type | Journal article | nb_NO |
dc.type | Peer reviewed | nb_NO |
dc.description.version | acceptedVersion | nb_NO |
dc.source.pagenumber | 1-14 | nb_NO |
dc.source.volume | 47 | nb_NO |
dc.source.journal | Journal of Banking & Finance | nb_NO |
dc.source.issue | 1 | nb_NO |
dc.identifier.doi | 10.1016/j.jbankfin.2014.05.026 | |
dc.identifier.cristin | 1168242 | |
dc.relation.project | Norges forskningsråd: 228811 | nb_NO |
dc.description.localcode | Post-print: © 2014. This is the authors’ accepted and refereed manuscript to the article. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ | nb_NO |
cristin.unitcode | 194,60,25,0 | |
cristin.unitname | Institutt for industriell økonomi og teknologiledelse | |
cristin.ispublished | true | |
cristin.fulltext | postprint | |
cristin.qualitycode | 1 | |