Bouri, Elie; Gupta, Rangan; Pierdzioch, Christian; Polat, Onur
(Elsevier, 2024-11)
Using monthly data from 1871 to 2024 and logistic models with shrinkage estimators, we compare the contribution of stock and oil-market moments (returns, volatility, skewness, and kurtosis) to the accuracy of out-of-sample ...