Risks, Journal Year: 2025, Volume and Issue: 13(3), P. 49 - 49
Published: March 6, 2025
This study examines the out-of-sample predictability of expected skewness oil price returns, which serves as a metric for global future risks, we show statistically through association with crises different nature, stock returns 10 (8 advanced plus two emerging) countries using long-range monthly data over century each country. Using distributed lag predictive econometric model, controls endogeneity, persistence, and conditional heteroscedasticity, provide evidence strong statistical significance impact third moment equity all across various forecast horizons length periods. These findings also hold shorter sample periods 3 other emerging markets: Brazil, China, Russia. Our have important implications academics, investors, policymakers.
Language: Английский