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The day-of-the-Week effects of stock markets in different countries

Zhang, Jilin; Lai, Yongzeng; Lin, Jianghong - In: Finance research letters 20 (2017), pp. 47-62

Persistent link: https://www.econbiz.de/10011806760

A profit model for spread trading with an application to energy futures

Kanamura, Takashi; Rachev, Svetlozar T.; Fabozzi, Frank J. - 2011

This paper proposes a profit model for spread trading by focusing on the stochastic movement of the price spread and its first hitting time probability density. The model is general in that it can be used for any financial instrument. The advantage of the model is that the profit from the trades...

Persistent link: https://www.econbiz.de/10010304718

OPEC news and predictability of energy futures returns and volatility: Evidence from a conditional quantile regression

Derbali, Abdelkader; Wu, Shan; Jamel, Lamia - In: Journal of Economics, Finance and Administrative Science 25 (2020) 50, pp. 239-259

Purpose - This paper aims to provide an important perspective to the predictive capacity of Organization of the Petroleum Exporting Countries (OPEC) meeting dates and production announcements for energy futures (crude oil West Texas Intermediate (WTI), gasoline reformulated gasoline blendstock...

Persistent link: https://www.econbiz.de/10013192179

A profit model for spread trading with an application to energy futures

Kanamura, Takashi; Rachev, Svetlozar T.; Fabozzi, Frank J. - Fakultät für Wirtschaftswissenschaften, Karlsruhe … - 2011

Persistent link: https://www.econbiz.de/10009024644

The risk premia of energy futures

Fernandez-Perez, Adrian; Fuertes, Ana María; Miffre, … - In: Energy economics 102 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013162273

Tail events : a new approach to understanding extreme energy commodity prices

Koch, Nicolas - In: Energy economics 43 (2014), pp. 195-205

Persistent link: https://www.econbiz.de/10010504824

Are oil and gas futures markets efficient? : a multifractal analysis

Ftiti, Zied; Jawadi, Fredj; Louhichi, Wael; Madani, … - In: Applied economics 53 (2021) 2, pp. 164-184

Persistent link: https://www.econbiz.de/10012416030

OPEC news and predictability of energy futures returns and volatility : evidence from a conditional quantile regression

Derbali, Abdelkader; Wu, Shan; Jamel, Lamia - In: Journal of economics, finance & administrative science 25 (2020) 50, pp. 239-259

Persistent link: https://www.econbiz.de/10012433917

Returns and volatilities of energy futures markets : roles of speculative and hedging sentiments

Chen, Rongda; Wei, Bo; Jin, Chenglu; Liu, Jia - In: International review of financial analysis 76 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012805056

The relationship between the Nasdaq Composite Index and energy futures markets

Gurrib, Ikhlaas - In: Investment management and financial innovations 15 (2018) 4, pp. 1-16

Persistent link: https://www.econbiz.de/10012055641