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Co-movements in commodity markets andimplications in diversification benefits

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Persistent link: https://www.econbiz.de/10012219019

Market efficiency among futures with different maturities : evidence from the crude oil futures market

Kawamoto, Kaoru; Hamori, Shigeyuki - In: The journal of futures markets 31 (2011) 5, pp. 487-501

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Price relationships in crude oil futures : new evidence from CFTC disaggregated data

Chevallier, Julien - In: Environmental economics and policy studies 15 (2013) 2, pp. 133-170

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On the volatility-volume relationship in energy futures markets using intraday data

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Persistent link: https://www.econbiz.de/10009688936

Modelling the dynamics of European carbon futures price : a Zipf analysis

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Causality in variance and the type of traders in crude oil futures

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A Fear Index to Predict Oil Futures Returns

Chevallier, Julien - 2016

This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also...

Persistent link: https://www.econbiz.de/10013007386

Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence

Wang, Jiqian; Huang, Yisu; Ma, Feng; Chevallier, Julien - In: Energy economics 91 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012518664

Can BRICS's currency be a hedge or a safe haven for energy portfolio? : an evidence from vine copula approach

He, Yijin; Nakajima, Tadahiro; Hamori, Shigeyuki - In: The Singapore economic review : journal of the Economic … 65 (2020) 4, pp. 805-836

Persistent link: https://www.econbiz.de/10012509267

A fear index to predict oil futures returns

Chevallier, Julien; Sévi, Benoît - 2013

Persistent link: https://www.econbiz.de/10010189497