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Dynamic jump intensities and risk premiums in crude oil futures and options markets

Christoffersen, Peter F.; Jacobs, Kris; Li, Bingxin - In: The journal of derivatives : the official publication … 24 (2016) 2, pp. 8-30

Persistent link: https://www.econbiz.de/10011687332

Speculation, risk aversion, and risk premiums in the crude oil market

Li, Bingxin - In: Journal of banking & finance 95 (2018), pp. 64-81

Persistent link: https://www.econbiz.de/10011966710

Newspaper-based equity uncertainty or implied volatility index : new evidence from oil market volatility predictability

Lu, Xinjie; Ma, Feng; Li, Pan; Li, Tao - In: Applied economics letters 30 (2023) 7, pp. 960-964

Persistent link: https://www.econbiz.de/10014303607

INE oil futures volatility prediction : exchange rates or international oil futures volatility?

Lu, Xinjie; Ma, Feng; Li, Haibo; Wang, Jianqiong - In: Energy economics 126 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014483407

The Relative Pricing of WTI and Brent Crude Oil Futures : Expectations or Risk Premia?

Gao, Xin (Shane); Li, Bingxin; Liu, Rui - 2022

This paper studies the spread of Brent-WTI futures prices using a no-arbitrage term structure model with one common and two latent idiosyncratic risk factors. We document more negative risk premia for WTI than for Brent, and the differences are more pronounced at longer maturities. The...

Persistent link: https://www.econbiz.de/10014078682

Forecasting oil futures realized range-based volatility with jumps, leverage effect, and regime switching : new evidence from MIDAS models

Lu, Xinjie; Ma, Feng; Wang, Jiqian; Liu, Jing - In: Journal of forecasting 41 (2022) 4, pp. 853-868

Persistent link: https://www.econbiz.de/10013287870

Oil futures volatility predictability : evidence based on Twitter-based uncertainty

Lang, Qiaoqi; Lu, Xinjie; Ma, Feng; Huang, Dengshi - In: Finance research letters 47 (2022) 1, pp. 1

Persistent link: https://www.econbiz.de/10013457290

Oil futures volatility predictability : new evidence based on machine learning models

Lu, Xinjie; Ma, Feng; Xu, Jin; Zhang, Zehui - In: International review of financial analysis 83 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013460875

The relative pricing of WTI and Brent crude oil futures : expectations or risk premia?

Gao, Xin; Li, Bingxin; Liu, Rui - In: Journal of commodity markets 30 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014426797

An oil futures volatility forecast perspective on the selection of high-frequency jump tests

Li, Xiafei; Liao, Yin; Lu, Xinjie; Ma, Feng - In: Energy economics 116 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013542124