期刊论文

Wen, Fenghua

英文

Energy Economics

0140-9883

2021

94

105069

10.1016/j.eneco.2020.105069

In reality, in-sample test may have the issue of over-fitting, thus most of investigators tend to focus on the out-of-sample forecasting performance of proposed predictors and models. All the time, they make efforts to avoid the situation in which the out-of-sample results are less than satisfactory with in-sample performance excellent (see, e.g., Rapach et al., 2010). Hence, it is necessary to further explore the out-of-sample statistical predictive results of the SOR. In our analysis, the

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We show that the three-order moment of oil price returns can predict the aggregate stock market returns. Empirical results indicate the stock market returns forecasts generated by the skewness of oil price returns are statistically and economically significant for out-of-sample performance. We add the skewness of oil price returns as an additional predictor into the univariate macro model, and obtain greater forecast gains. When using multivariate information method, this prediction improvement also exists. Strong evidence demonstrates that the...