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Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence

Wang, Jiqian; Huang, Yisu; Ma, Feng; Chevallier, Julien - In: Energy economics 91 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012518664

China's crude oil futures : introduction and some stylized facts

Ji, Qiang; Zhang, Dayong - In: Finance research letters 28 (2019), pp. 376-380

Persistent link: https://www.econbiz.de/10012388348

Causal flows between oil and forex markets using high-frequency data : asymmetries from good and bad volatility

Alam, Md. Samsul; Shahzad, Syed Jawad Hussain; Ferrer, … - In: Energy economics 84 (2019), pp. 1-21

Persistent link: https://www.econbiz.de/10012183298

Attention to oil prices and its impact on the oil, gold and stock markets and their covariance

Fiszeder, Piotr; Fałdziński, Marcin; Molnár, Peter - In: Energy economics 120 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014285888

Nonlinear dynamics of realized minimum-variance hedge ratios : a two-regime self-exciting threshold autoregressive approach

Lai, Yu-Sheng - In: The empirical economics letters : a monthly … 14 (2015) 9, pp. 899-905

Persistent link: https://www.econbiz.de/10011459137

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

Chen, Ping-yu; Chang, Chia-ling; Chen, Chi-chung; … - In: Journal of risk and financial management : JRFM 5 (2012) 1, pp. 78-114

The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH, EGARCH, and GJR models, are used to...

Persistent link: https://www.econbiz.de/10011555888