Forecasting oil and stock returns with a Qual VAR using over 150 years off data

The extant literature suggests that oil price, stock price and economic activity are all endogenous and the linkages between these variables are nonlinear. Against this backdrop, the objective of this paper is to use a Qualitative Vector Autoregressive (Qual VAR) to forecast (West Texas Intermediate...

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Bibliographic Details
Published in:Energy economics 2017-02, Vol.62, p.181-186
Main Authors: Gupta, Rangan, Wohar, Mark
Format: Article
Language:English
Subjects:
Autoregressive processes
Business cycles
Dummies
Economic activity
Economic conditions
Economics
Endogenous
Energy economics
Forecasting
Gasoline prices
Linear functions
Mathematical models
Nonlinear analysis
Nonlinear equations
Oil
Petroleum
Prices
Qualitative research
Random walk
Rates of return
Recession
Recessions
Regression analysis
Return on investment
Statistical analysis
Statistical significance
Stock prices
Studies
Turning points
Values
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