This paper extends previous studies by investigating the relevance of structural breaks and long memory in modeling and forecasting the conditional volatility of oil spot and futures prices using a variety of GARCH-type models. Our results can be summarized as follows. First, we provide evidence...

Prior research has shown that energy sector stock prices are impacted by uncertainty. The coronavirus (COVID-19) pandemic has given rise to widespread health and economic-related uncertainty. In this study, we investigate the impact and the timing of the impact of COVID-19 related uncertainty on...

This paper examines the effect of structural breaks on the spot–futures oil prices relationship. We explore the impact of structural breaks on four critical issues, including cointegrating relationships, market efficiency under the expectation hypothesis and the no arbitrage rule, causalities,...

In this paper we model the adjustment process of European Union Allowance (EUA) prices to the releases of announcements at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that the high-frequency EUA price dynamics are very well...

We employ a set of sign restrictions on the impulse responses of a Global VAR model, estimated for 38 countries/regions over the period 1979Q2–2011Q2, as well as bounds on impact price elasticities of oil supply and oil demand to discriminate between supply-driven and demand-driven oil-price...

This paper examines the short-run and long-run dynamic relationship between the U.S. imported crude oil prices and exchange rates. The monthly data of the U.S. crude oil imports from five source countries during January 1996 and December 2009 are examined. Empirical results indicate that the...

A previous research ignores the distinction between short term and long term, and by decomposing financial variables (world general and stock market indexes) and the macroeconomic variable (oil prices) at various time scales, we study the relationship among series on a daily scale by scale...

This paper deals with the analysis of two observed features in historical oil price data; in particular, persistence and cyclicity. Using monthly data from September 1859 to October 2013, we observe that the series presents two peaks in the spectrum, one occurring at the long run or zero...

In this paper, we test whether oil price predicts economic growth for 28 developed and 17 developing countries. We use predictability tests that account for the key features of the data, namely, persistency, endogeneity, and heteroskedasticity. Our analysis considers a large number of countries,...

This paper explores the relevance of asymmetry and long memory in modeling and forecasting the conditional volatility and market risk of four widely traded commodities (crude oil, natural gas, gold, and silver). A broad set of the most popular linear and nonlinear GARCH-type models is used to...