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An empirical investigation of volatility of Indian spot and future prices of crude oil

Chhatwal, Hartika; Puri, Himanshu; Purohit, Harsh - In: Metamorphosis : a journal of management research 12 (2013) 2, pp. 54-66

Persistent link: https://www.econbiz.de/10010370462

Oil volatility shocks and the stock markets of oil-importing MENA economies : a tale from the financial crisis

Bouri, Elie - In: Energy economics 51 (2015), pp. 590-598

Persistent link: https://www.econbiz.de/10011565043

Daily seasonality in crude oil returns and volatilities

Auer, Benjamin R. - In: Energy economics 43 (2014), pp. 82-88

Persistent link: https://www.econbiz.de/10010504173

Jumps in the convenience yield of crude oil

Mason, Charles F.; Wilmot, Neil A. - In: Resource and energy economics 60 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012515262

What the investors need to know about forecasting oil futures return volatility

Wang, Yudong; Liu, Li; Ma, Feng; Wu, Chongfeng - In: Energy economics 57 (2016), pp. 128-139

Persistent link: https://www.econbiz.de/10011698302

Event study of the crude oil futures market : a mixed event response model

Karali, Berna; Ye, Shiyu; Ramírez, Octavio A. - In: American journal of agricultural economics 101 (2019) 3, pp. 960-985

Persistent link: https://www.econbiz.de/10012114862

International Linkages of Agri-Processed and Energy commodities traded in India

Sinha, Pankaj; Mathur, Kritika - Volkswirtschaftliche Fakultät, … - 2013

) Price – Co-integration methodology and Error Correction Mechanism Model (b) Return and Volatility – Modified GARCH model (c …) Return and Volatility – ARMA-GARCH in mean model (Innovations Model). The study indicates that there are strong linkages in …

Persistent link: https://www.econbiz.de/10011261007

A discussion on the robustness of conditional heteroskedasticity models : simulation evidence and applications of the crude oil returns

Shi, Yanlin - In: Finance research letters 44 (2022), pp. 1-8

Persistent link: https://www.econbiz.de/10014494772

Daily seasonality in crude oil returns and volatilities

Auer, Benjamin R. - In: Energy Economics 43 (2014) C, pp. 82-88

choice of other frequently used GARCH model variants, like GARCH-M, TGARCH and CGARCH. …-augmented GARCH specification for the period from May 1987 to October 2013, our key findings are as follows: (i) Volatilities on …

Persistent link: https://www.econbiz.de/10011100130

Volatility Persistence in Crude Oil Markets

Charles, Amélie; Darné, Olivier - HAL - 2012

Financial market participants and policy-makers can benefit from a better understanding of how shocks can affect volatility over time. This study assesses the impact of structural changes and outliers on volatility persistence of three crude oil markets - Brent, West Texas Intermediate (WTI) and...

Persistent link: https://www.econbiz.de/10010558719