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~subject:"Capital income"
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ECONIS (ZBW)
629
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1
Price Dynamic, Volatility and Information Flows in the Oil Industry : A Multivariate Analysis
Mauro, Alessandro
-
2014
The relationships between crude and product prices are crucial throughout oil markets and especially so within the refining industry, where they define the refinery margin between cost of inputs (crudes) and value of outputs (products). The oil market is global but regional factors are also...
Persistent link: https://www.econbiz.de/10013067163
Saved in:
2
A Joint Affine Model of Commodity Futures and US Treasury Yields
Chin, Michael
-
2015
We derive a general joint affine term structure model of US government bond yields and the convenience yields on physical commodities. We apply this framework separately to oil and gold. Our results show clear links between bond and commodity markets, since bond factors play a significant role...
Persistent link: https://www.econbiz.de/10013026902
Saved in:
3
Impact of geo-political risk on stocks, oil, and gold returns during GFC, COVID-19, and Russian-Ukraine War
Shaik, Muneer
;
Jamil, Syed Ahsan
;
Hawaldar, Iqbal Thonse
; …
- In:
Cogent economics & finance
11
(
2023
)
1
,
pp. 1-14
-Ukraine war period compared to COVID-19 period and is shown to have least variation during the GFC period.
WTI
crude oil and DJGI … observe that GOLD offers better diversification opportunity as well as leading movement against
WTI
and DJGI during disruptive …
Persistent link: https://www.econbiz.de/10014500724
Saved in:
4
The impact of Covid-19 on oil market returns : has market efficiency being violated?
Moyo, Clement
;
Anyikwa, Izunna
;
Phiri, Andrew
- In:
International Journal of Energy Economics and Policy : IJEEP
13
(
2023
)
1
,
pp. 118-127
Persistent link: https://www.econbiz.de/10014249494
Saved in:
5
Conditional correlations in the returns on oil companies stock prices and their determinants
Giovannini, Massimo
;
Grasso, Margherita
;
Lanza, Alessandro
-
2004
Persistent link: https://www.econbiz.de/10002127359
Saved in:
6
Risk Factors in Energy Utility Returns : An Augmented-Four-Factor Model
Tulloch, Daniel J.
-
2016
In this paper we utilise the risk factors from both the finance and energy economics literatures to develop an improved asset pricing model (the Augmented-Four-Factor Model or AFFM) in the context of the European energy utility sector. In addition, we undertake inter-sectoral and inter-temporal...
Persistent link: https://www.econbiz.de/10012997935
Saved in:
7
Crude Oil Prices, Risk Preferences, and Intertemporal Variation in Market Expected Returns : Empirical Evidence from the Nigerian Stock Exchange (NSE)
Obrimah, Oghenovo A.
-
2019
This study finds crude oil prices (`oil prices') affect market or portfolio expected returns on the NSE only via inducement of changes to risk aversion parameters of the `representative agent' who has exposure to both stock market return volatility risk and oil price risk. I refer to this effect...
Persistent link: https://www.econbiz.de/10012903916
Saved in:
8
Leverage effect in energy futures
Kristoufek, Ladislav
-
2014
specific asset, focusing on energy commodities futures, namely Brent and
WTI
crude oils, natural gas and heating oil. After …
Persistent link: https://www.econbiz.de/10010407507
Saved in:
9
Conditional correlations in the returns on oil companies stock prices and their determinants
Giovannini, Massimo
;
Grasso, Margherita
;
Lanza, Alessandro
-
2004
The identification of the forces that drive stock returns and the dynamics of their associated volatilities is a major concern in empirical economics and finance. This analysis is particularly relevant for determining optimal hedging strategies based on whether shocks to the volatilities of...
Persistent link: https://www.econbiz.de/10011603089
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10
Skewness in Energy Returns : Estimation, Testing and Implications for Tail Risk
Carnero, M. Angeles
;
Leon, Angel
;
Ñíguez, Trino-Manuel
-
2022
oil (Brent and
WTI
) and Gasoline returns are negatively skewed while other energy returns such as Heating oil, Kerosene …
Persistent link: https://www.econbiz.de/10013405890
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