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

Main Authors:	Rangan Gupta, Mark Wohar
Format:	Default Article
Published:	2017
Subjects:	Other commerce, management, tourism and services not elsewhere classified Mechanical engineering not elsewhere classified Vector autoregressions Business cycle turning points Forecasting Oil and stock prices Mechanical Engineering Business and Management not elsewhere classified
Online Access:	https://hdl.handle.net/2134/26057
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