Uncertainty and crude oil returns

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dc.contributor.author Aloui, Riadh
dc.contributor.author Gupta, Rangan
dc.contributor.author Miller, Stephen M.
dc.date.accessioned 2016-06-08T06:49:48Z
dc.date.issued 2016-03
dc.description.abstract We use a copula approach to investigate the effect of uncertainty on crude-oil returns. Using copulas to construct multivariate distributions of time-series data permit the calculation of the dependence structure between the series independently of the marginal distributions. Further, we implement the copula estimation using a rolling window method to allow for a time-varying effect of equity and economic policy uncertainty on oil returns. The results show that higher uncertainty, as measured by equity and economic policy uncertainty indices, significantly increase crude-oil returns only during certain periods of time. That is, we find a positive dependence prior to the financial crisis and Great Recession. Interestingly, estimation of the copula over the entire sample period leads to a negative dependence between the equity and economic policy indices and the crude-oil return. en_ZA
dc.description.department Economics en_ZA
dc.description.embargo 2017-03-31
dc.description.librarian hb2016 en_ZA
dc.description.uri http://www.elsevier.com/locate/eneco en_ZA
dc.identifier.citation Aloui, R, Gupta, R & Miller, SM 2016, 'Uncertainty and crude oil returns', Energy Economics, vol. 55, pp. 92-100. en_ZA
dc.identifier.issn 0140-9883 (print)
dc.identifier.issn 1873-6181 (online)
dc.identifier.other 10.1016/j.eneco.2016.01.012
dc.identifier.uri http://hdl.handle.net/2263/52903
dc.language.iso en en_ZA
dc.publisher Elsevier en_ZA
dc.rights © 2016 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Energy Economics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Energy Economics, vol. 55, pp. 92-100, 2016. en_ZA
dc.subject Uncertainty en_ZA
dc.subject Oil shocks en_ZA
dc.subject Copulas en_ZA
dc.title Uncertainty and crude oil returns en_ZA
dc.type Postprint Article en_ZA


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