Bonaccolto, GiovanniCaporin, MassimilianoGupta, Rangan2018-07-262018-10Bonaccolto, G., Caporin, M. & Gupta, R. 2018, 'The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk', Physica A : Statistical Mechanics and its Applications, vol. 507, pp. 446-469.0378-4371 (print)1873-2119 (online)10.1016/j.physa.2018.05.061http://hdl.handle.net/2263/65998The aim of this study is to analyze the relevance of recently developed news-based measures of economic policy and equity market uncertainty in causing and predicting the conditional quantiles of crude oil returns and risk. For this purpose, we studied both the causality relationships in quantiles through a non-parametric testing method and, building on a collection of quantiles forecasts, we estimated the conditional density of oil returns and volatility, the out-of-sample performance of which was evaluated by using suitable tests. A dynamic analysis shows that the uncertainty indexes are not always relevant in causing and forecasting oil movements. Nevertheless, the informative content of the uncertainty indexes turns out to be relevant during periods of market distress, when the role of oil risk is the predominant interest, with heterogeneous effects over the different quantiles levels.en© 2018 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Physica A: Statistical Mechanics and its Applications. 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. A definitive version was subsequently published in Physica A: Statistical Mechanics and its Applications, vol. 507, pp. 446-469, 2018. doi : 10.1016/j.physa.2018.05.061.Granger causality in quantilesQuantile regressionForecast of oil distributionForecast evaluationEconomic policy uncertainty (EPU)Equity market uncertainty (EMU)Consistent nonparametric testTime series regressionCausality-in-quantiles testDensity forecastsGeneralized autoregressive conditional heteroskedasticity (GARCH)Unit rootVolatilityPricePostprint Article