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Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility
Tabak, Benjamin Miranda; Cajueiro, Daniel Oliveira - In: Energy economics 29 (2007) 1, pp. 28-36
Persistent link: https://www.econbiz.de/10003413296
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A characterization of oil price behavior : evidence from jump models
Gronwald, Marc - In: Energy economics 34 (2012) 5, pp. 1310-1317
Persistent link: https://www.econbiz.de/10009688098
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Volatility transmission and volatility impulse response functions in crude oil markets
Jin, Xiaoye; Lin, Sharon X. W.; Tamvakis, Michael - In: Energy economics 34 (2012) 6, pp. 2125-2134
Persistent link: https://www.econbiz.de/10009688822
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A nonparametric GARCH model of crude oil price return volatility
Hou, Aijun; Suardi, Sandy - In: Energy economics 34 (2012) 2, pp. 618-626
Persistent link: https://www.econbiz.de/10009618668
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Forecasting excess stock returns with crude oil market data
Liu, Li; Ma, Feng; Wang, Yudong - In: Energy economics 48 (2015), pp. 316-324
Persistent link: https://www.econbiz.de/10011533825
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Daily seasonality in crude oil returns and volatilities
Auer, Benjamin R. - In: Energy economics 43 (2014), pp. 82-88
Persistent link: https://www.econbiz.de/10010504173
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Is WTI crude oil market becoming weakly efficient over time? : new evidence from multiscale analysis based on detrended fluctuation analysis
Wang, Yudong; Liu, Li - In: Energy economics 32 (2010) 5, pp. 987-992
Persistent link: https://www.econbiz.de/10008934354
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Time-varying persistence in real oil prices and its determinant
Kruse, Robinson; Wegener, Christoph - In: Energy economics 85 (2020), pp. 1-10
Persistent link: https://www.econbiz.de/10012510274
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Gold-oil dependence dynamics and the role of geopolitical risks : evidence from a Markov-switching time-varying copula model
Tiwari, Aviral Kumar; Aye, Goodness C.; Gupta, Rangan; … - In: Energy economics 88 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012516211
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On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes
Berger, Theo; Uddin, Mohammed Gazi Salah - In: Energy economics 56 (2016), pp. 374-383
Persistent link: https://www.econbiz.de/10011664267