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Forecasting oil price volatility using spillover effects from uncertainty indices

Research output: Contribution to journalArticlepeer-review

  • Ioannis Chatziantoniou
  • Stavros Degiannakis
  • Panagiotis Delis
  • George Filis
We consider spillovers between oil price volatility and key uncertainty indicators and we extend the applicability of the spillover index beyond economic inference, by generating forecasts of oil price volatility. The paper shows that spillovers do not contain significant predictive information, raising critical questions regarding the usefulness of the spillover index for forecasting exercises at low sampling frequency.
Original languageEnglish
Article number101885
JournalFinance Research Letters
Early online date18 Dec 2020
DOIs
Publication statusEarly online - 18 Dec 2020

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  • CHATZIANTONIOU_2020_cright_Forecasting oil price volatility using spillover effects from uncertainty indices

    Accepted author manuscript (Post-print), 638 KB, PDF document

    Due to publisher’s copyright restrictions, this document is not freely available to download from this website until: 18/12/21

    Licence: CC BY-NC-ND

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