Déjà vol oil? Predicting S&P 500 equity premium using crude oil price volatility: Evidence from old and recent time-series data

Nima Nonejad*

*Corresponding author

Research output: Contribution to journalJournal articleResearchpeer-review

1 Citation (Scopus)
Original languageEnglish
JournalInternational Review of Financial Analysis
Volume58
Pages (from-to)260-270
Number of pages10
ISSN1057-5219
DOIs
Publication statusPublished - 1 Jul 2018

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Oil price volatility
Crude oil price
Oil
Equity premium
Time series data
Prediction
Predictive power
Oil prices
Predictors
Benchmark
Recession
Econometric analysis
Endogeneity
Conditioning
Predictive regressions
Competitors
Great Recession
Hypothesis test
Innovation
Time-varying

Keywords

  • Density predictions
  • Endogeneity
  • Equity premium
  • Realized volatility
  • Stochastic volatility

Cite this

@article{73a26969952a41a8855b46eed41f8335,
title = "D{\'e}j{\`a} vol oil? Predicting S&P 500 equity premium using crude oil price volatility: Evidence from old and recent time-series data",
keywords = "Density predictions, Endogeneity, Equity premium, Realized volatility, Stochastic volatility",
author = "Nima Nonejad",
year = "2018",
month = "7",
day = "1",
doi = "10.1016/j.irfa.2018.03.012",
language = "English",
volume = "58",
pages = "260--270",
journal = "International Review of Financial Analysis",
issn = "1057-5219",
publisher = "Elsevier",

}

Déjà vol oil? Predicting S&P 500 equity premium using crude oil price volatility : Evidence from old and recent time-series data. / Nonejad, Nima.

In: International Review of Financial Analysis, Vol. 58, 01.07.2018, p. 260-270.

Research output: Contribution to journalJournal articleResearchpeer-review

TY - JOUR

T1 - Déjà vol oil? Predicting S&P 500 equity premium using crude oil price volatility

T2 - Evidence from old and recent time-series data

AU - Nonejad, Nima

PY - 2018/7/1

Y1 - 2018/7/1

KW - Density predictions

KW - Endogeneity

KW - Equity premium

KW - Realized volatility

KW - Stochastic volatility

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U2 - 10.1016/j.irfa.2018.03.012

DO - 10.1016/j.irfa.2018.03.012

M3 - Journal article

VL - 58

SP - 260

EP - 270

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

SN - 1057-5219

ER -