Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More than a Century of Data
We investigate whether oil-price uncertainty helps forecast the international stock returns of ten advanced and emerging countries. We consider an out-of-sample period of August 1925 to September 2021, with an in-sample period between August 1920 and July 1925, and employ a quantile-predictive-regre...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-11-01
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| Series: | Energies |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1996-1073/15/22/8436 |