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Fundamental and financial influences on the co-movement of oil and gas prices

Bunn, Derek W.; Chevallier, Julien; LePen, Yannick; … - In: The energy journal 38 (2017) 2, pp. 201-228

Persistent link: https://www.econbiz.de/10011661711

On the volatility-volume relationship in energy futures markets using intraday data

Chevallier, Julien; Sévi, Benoît - In: Energy economics 34 (2012) 6, pp. 1896-1909

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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

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What drives long-term oil market volatility? : fundamentals versus speculation

Yin, Libo; Zhou, Yimin - 2016

This paper explores the role of speculation and economy fundamentals in the oil market using a two-component GARCH-MIDAS model. Specifically, the authors highlight the different roles played by the changing oil shocks with respect to the short-term and long-term components regarding oil market...

Persistent link: https://www.econbiz.de/10011514262

What drives long-term oil market volatility? : fundamentals versus Speculation

Yin, Libo; Zhou, Yimin - 2016

This paper explores the role of speculation and economy fundamentals in the oil market using a two-component GARCH-MIDAS model. Particularly, the authors highlight the different role played by changing oil shocks on short-term and long-term components in terms of oil market volatility. The...

Persistent link: https://www.econbiz.de/10011413340

Leverage vs. feedback : which Effect drives the oil market?

Aboura, Sofiane; Chevallier, Julien - In: Finance research letters 10 (2013) 3, pp. 131-141

Persistent link: https://www.econbiz.de/10010222896

The importance of extreme shock : examining the effect of investor sentiment on the crude oil futures market

Wang, Lu; Ma, Feng; Niu, Tianjiao; Liang, Chao - In: Energy economics 99 (2021), pp. 1-14

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Asymmetric volatility spillover between oil-importing and oil-exporting countries' economic policy uncertainty and China's energy sector

He, Feng; Ma, Feng; Wang, Ziwei; Yang, Bohan - In: International review of financial analysis 75 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012804048

Forecasting crude oil volatility with geopolitical risk : do time-varying switching probabilities play a role?

Wang, Lu; Ma, Feng; Hao, Jianyang; Gao, Xinxin - In: International review of financial analysis 76 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012804675

Understanding cryptocurrency volatility : the role of oil market shocks

Yin, Libo; Nie, Jing; Han, Liyan - In: International review of economics & finance : IREF 72 (2021), pp. 233-253

Persistent link: https://www.econbiz.de/10012671902