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Time-varying causality between bond and oil markets of the United States : evidence from over one and half centuries of data
Coronado, Semei; Gupta, Rangan; Nazlıoğlu, Şaban; … - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 2239-2247
Persistent link: https://www.econbiz.de/10014327517
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Forecasting volatility and correlation between oil and gold prices using a novel multivariate GAS model
Chen, Rongda; Xu, Jianjun - In: Energy economics 78 (2019), pp. 379-391
Persistent link: https://www.econbiz.de/10012159962
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The co-movements along the forward curve of natural gas futures: a structural view
Spargoli, Fabrizio (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003762669
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Along the forward curve for natural gas : unobservable shocks and dynamic correlations
Spargoli, Fabrizio (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003521058
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Modeling and forecasting petroleum futures volatility
Sadorsky, Perry A. - In: Energy economics 28 (2006) 4, pp. 467-488
Persistent link: https://www.econbiz.de/10003351688
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Parameter variation and the components of natural gas price volatility
Brigida, Matthew - In: The journal of energy markets 12 (2019) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10012020337
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Natural gas price, market fundamentals and hedging effectiveness
Song Zan Chiou Wei; Chen, Sheng-Hung; Zhu, Zhen - In: The quarterly review of economics and finance : journal … 78 (2020), pp. 321-337
Persistent link: https://www.econbiz.de/10012431299
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Volatility in natural gas and oil markets
Pindyck, Robert S. - In: The Journal of energy and development 30 (2004) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10002235616
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Dynamic transmissions and volatility spillovers between global price and U.S. producer price in agricultural markets
Guo, Jin; Tanaka, Tetsuji - In: Journal of risk and financial management : JRFM 13 (2020) 4/83, pp. 1-20
leading indicator of the global wheat price in volatility transmissions. … multivariate Baba-Engle-Kraft Kroner specification (VECM-GARCH-BEKK) and cross-correlation function (CCF). Our findings indicate … play a leading role in U.S. local markets in return transmissions and that U.S. wheat price can be considered to be a …
Persistent link: https://www.econbiz.de/10012302731
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Hedging investment-grade and high-yield bonds with credit VIX
Bouri, Elie; Alsagr, Naif - In: Economics letters 237 (2024), pp. 1-7
Persistent link: https://www.econbiz.de/10015073875