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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
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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
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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
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Tail events : a new approach to understanding extreme energy commodity prices
Koch, Nikolas - In: Energy economics 43 (2014), pp. 195-205
Persistent link: https://www.econbiz.de/10010504824
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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
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The dynamic volatility connectedness structure of energy futures and global financial markets : evidence from a novel time-frequency domain approach
Bagheri, Ehsan; Ebrahimi, Seyed Babak; Mohammadi, Arman; … - In: Computational economics 59 (2022) 3, pp. 1087-1111
Persistent link: https://www.econbiz.de/10013169223
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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
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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
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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
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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
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/10012433917