کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7373765 | 1479769 | 2018 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
OPEC news and predictability of oil futures returns and volatility: Evidence from a nonparametric causality-in-quantiles approach
ترجمه فارسی عنوان
اخبار اوپک و پیش بینی بازگشت و نوسانات آتی نفت: شواهدی از رویکرد علیه غیر عددی در کینلس
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper provides a novel perspective to the predictive ability of OPEC meeting dates and production announcements for (Brent Crude and West Texas Intermediate) oil futures market returns and GARCH-based volatility using a nonparametric quantile-based methodology. We show a nonlinear relationship between oil futures returns and OPEC-based predictors; hence, linear Granger causality tests are misspecified and the linear model results of non-predictability are unreliable. When the quantile-causality test is implemented, we observe that the impact of OPEC variables is restricted to Brent Crude futures only (with no effect observed for the WTI market). Specifically, OPEC production announcements, and meeting dates predict only lower quantiles of the conditional distribution of Brent futures market returns. While, predictability of volatility covers the majority of the quantile distribution, barring extreme ends.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The North American Journal of Economics and Finance - Volume 45, July 2018, Pages 206-214
Journal: The North American Journal of Economics and Finance - Volume 45, July 2018, Pages 206-214
نویسندگان
Rangan Gupta, Seong-Min Yoon,