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An empirical analysis of the WTI oil price returns and volatility spillover in the USA
Wei, Ching Chun; Chen, Chung-Hsuan - In: The empirical economics letters : a monthly … 13 (2014) 6, pp. 663-674
Persistent link: https://www.econbiz.de/10010520049
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Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China
Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong - 2016 - Revised: June, 2016
, namely North Sea, USA, Middle East, and South-East Asia. Associated with these regions are two major financial centers …, namely UK and USA. For these reasons, the data to be used are the returns on alternative crude oil markets, returns on crude … oil derivatives, specifically futures, and stock index returns in UK and USA. The paper will also analyze the Chinese …
Persistent link: https://www.econbiz.de/10011520514
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Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China
Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong - 2016 - Revised: June, 2016
Persistent link: https://www.econbiz.de/10011541151
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Forecasting volatility of the US oil market
Haugom, Erik; Langeland, Henrik; Molnár, Peter; … - In: Journal of banking & finance 47 (2014), pp. 1-14
Persistent link: https://www.econbiz.de/10010506517
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The impact of gold, bond, currency, metals and oil markets on the USA stock market
Partalidou, Xanthi; Kiohos, Apostolos; Giannarakis, Grigoris - In: International Journal of Energy Economics and Policy : IJEEP 6 (2016) 1, pp. 76-81
Persistent link: https://www.econbiz.de/10011448224
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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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An empirical examination of the relation between futures spreads volatility, volume, and open interest
Girma, Paul Berhanu; Mougoué, Mbodja - In: The journal of futures markets 22 (2002) 11, pp. 1083-11102
Persistent link: https://www.econbiz.de/10001713578
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On the Macroeconomic Determinants of Long-Term Volatilities and Correlations in U.S. Stock and Crude Oil Markets
Conrad, Christian - 2014
Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price returns with respect to the stance of the U.S. macroeconomy. We find that variables that contain information on current and future economic activity are helpful predictors of...
Persistent link: https://www.econbiz.de/10013066427
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Asymmetric Price Volatility Transmission between U.S. Biofuel, Corn, and Oil Markets
Saghaian, Sayed - 2018
Linkages between agricultural commodity and energy prices have become more complex with increased ethanol production. The concern is whether the new corn–ethanol links lead to volatility spillover transmission between food and energy prices. We investigate asymmetric volatility spillovers...
Persistent link: https://www.econbiz.de/10012934818
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On the risk comovements between the crude oil market and U.S. dollar exchange rates
Truchis, Gilles de; Keddad, Benjamin - In: Economic modelling 52 (2016), pp. 206-215
Persistent link: https://www.econbiz.de/10011645629