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Dynamic spillovers among major energy and cereal commodity prices

Mensi, Walid; Hammoudeh, Shawkat; Nguyen, Duc Khuong; … - In: Energy economics 43 (2014), pp. 225-243

Persistent link: https://www.econbiz.de/10010504821

Metal volatility in presence of oil and interest rate shocks

Hammoudeh, Shawkat; Yuan, Yuan - In: Energy economics 30 (2008) 2, pp. 606-620

Persistent link: https://www.econbiz.de/10003711342

Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment

Choi, Kyongwook; Hammoudeh, Shawkat - In: Energy policy 38 (2010) 8, pp. 4388-4399

Persistent link: https://www.econbiz.de/10008655098

Asymmetric adjustments in oil and metals markets

Hammoudeh, Shawkat; Chen, Li-Hsueh; Fattouh, Bassam - In: The energy journal 31 (2010) 4, pp. 183-203

Persistent link: https://www.econbiz.de/10008736249

Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management

Aloui, Riadh; Ben Aïssa, Mohamed Safouane; Hammoudeh, … - In: Energy economics 42 (2014), pp. 332-342

Persistent link: https://www.econbiz.de/10010503584

Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management

Aloui, Riadh; Ben Aïssa, Mohamed Safouane; Hammoudeh, … - 2014

Persistent link: https://www.econbiz.de/10010432170

Long memory in oil and refined products markets

Choi, Kyongwook; Hammoudeh, Shawkat - In: The energy journal 30 (2009) 2, pp. 97-116

Persistent link: https://www.econbiz.de/10003842673

Causality and volatility spillovers among petroleum prices of WTI, gasoline and heating oil in different locations

Hammoudeh, Shawkat; Li, Huimin; Jeon, Bang-nam - In: The North American journal of economics and finance : a … 14 (2003) 1, pp. 89-114

Persistent link: https://www.econbiz.de/10001763330

Dynamic relationship among GCC stock markets and nymex oil futures

Hammoudeh, Shawkat; Aleisa, Eisa - In: Contemporary economic policy : a journal of Western … 22 (2004) 2, pp. 250-269

Persistent link: https://www.econbiz.de/10002020788

Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Markets

Christoffersen, Peter - 2020

Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data to investigate the economic importance of jumps and...

Persistent link: https://www.econbiz.de/10012850215