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Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps
Sévi, Benoît - In: Economic modelling 44 (2015), pp. 243-251
Persistent link: https://www.econbiz.de/10011326237
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Convenience yield, realised volatility and jumps : evidence from non-ferrous metals
Omura, Akihiro; Li, Bin; Chung, Richard; Todorova, Neda - In: Economic modelling 70 (2018), pp. 496-510
Persistent link: https://www.econbiz.de/10012027980
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Commodity and equity markets : some stylized facts from a copula approach
Delatte, Anne-Laure; Lopez, Claude - 2013
Persistent link: https://www.econbiz.de/10009784712
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Modeling the volatility of futures return in rubber and oil : a Copula-based GARCH model approach
Li, Meng; Yang, Liang - In: Economic modelling 35 (2013), pp. 576-581
Persistent link: https://www.econbiz.de/10010336750
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Covariance estimation using high-frequency data: Sensitivities of estimation methods
Haugom, Erik; Lien, Gudbrand; Veka, Steinar; Westgaard, Sjur - In: Economic modelling 43 (2014), pp. 416-425
Persistent link: https://www.econbiz.de/10010503037
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Intraday return predictability in China's crude oil futures market : new evidence from a unique trading mechanism
Wen, Danyan; Wang, Yudong; Zhang, Yaojie - In: Economic modelling 96 (2021), pp. 209-219
Persistent link: https://www.econbiz.de/10012745351
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Intraday momentum and return predictability : evidence from the crude oil market
Wen, Zhuzhu; Gong, Xu; Ma, Diandian; Xu, Yahua - In: Economic modelling 95 (2021), pp. 374-384
Persistent link: https://www.econbiz.de/10012696009
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Return transmission and asymmetric volatility spillovers between oil futures and oil equities : new DCC-MEGARCH analyses
Tsuji, Chikashi - In: Economic modelling 74 (2018), pp. 167-185
Persistent link: https://www.econbiz.de/10012101322
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Hedging pressure momentum and the predictability of oil futures returns
Yu, Dan; Chen, Chuang; Wang, Yudong; Zhang, Yaojie - In: Economic modelling 121 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014384325
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Revisiting time series momentum in China's commodity futures market : evidence on sources of momentum profits
Ming, Lei; Song, Wuqi; Dong, Minyi - In: Economic modelling 128 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014464418