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Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?

Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - In: International review of economics & finance : IREF 59 (2019), pp. 50-70

Persistent link: https://www.econbiz.de/10012202481

Volatility Spillovers between Returns on Crude Oil Futures and Oil Company Stocks

Chang, Chia-Lin - 2009

The purpose of this paper is to investigate the volatility spillovers between the returns on crude oil futures and oil company stocks using alternative multivariate GARCH models, namely the CCC model of Bollerslev (1990), VARMA-GARCH model of Ling and McAleer (2003), and VARMA-AGARCH model of...

Persistent link: https://www.econbiz.de/10013159693

Modeling the effect of oil price on global fertilizer prices

Chen, Ping-yu; Chang, Chia-Lin; Chen, Chi-chung; … - 2010

Persistent link: https://www.econbiz.de/10008664056

Modeling the effect of oil price on global fertilizer prices

Chen, Ping-yu; Chang, Chia-Lin; Chen, Chi-chung; … - 2010 - Rev.

Persistent link: https://www.econbiz.de/10008695601

Modeling the volatility in global fertilizer prices

Chen, Ping-yu; Chang, Chia-Lin; Chen, Chi-chung; … - 2010

Persistent link: https://www.econbiz.de/10003995695

Modeling the effects of oil prices on global fertilizer prices and volatility

Chen, Ping-Yu; Chang, Chia-Lin; Chen, Chi-chung; … - 2013

Persistent link: https://www.econbiz.de/10009701639

Modelling the effects of oil prices on global fertilizer prices and volatility

Chen, Ping-Yu; Chang, Chia-Lin; Chen, Chi-chung; … - 2013

Persistent link: https://www.econbiz.de/10010354373

Modelling the effects of oil prices on global fertilizer prices and volatility

Chen, Ping-Yu; Chang, Chia-Lin; Chen, Chi-chung; … - 2013

Persistent link: https://www.econbiz.de/10009724819

Modeling the Effect of Oil Price on Global Fertilizer Prices

Chen, Ping-Yu - 2010

The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the …, Exponential GARCH (EGARCH) model, and GJR model, are used to investigate the relationship between crude oil price and six global … fertilizer prices. Weekly data for 2003-2008 for the seven price series are analyzed. The empirical results from ARDL show that …

Persistent link: https://www.econbiz.de/10013138177

Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility

Chen, Ping-Yu; Chang, Chia-Lin; Chen, Chi-Chung; … - 2013

The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the …, including GARCH, EGARCH, and GJR models, are used to investigate the relationship between crude oil price and six global … price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in …

Persistent link: https://www.econbiz.de/10010326493