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Spillover and quantile linkage between oil price shocks and stock returns : new evidence from G7 countries

Jiang, Yonghong; Tian, Gengyu; Mo, Bin - In: Financial innovation : FIN 6 (2020) 42, pp. 1-26

autoregression framework to decompose crude oil price shocks into oil supply shock, oil aggregate demand shock, and oil …-specific demand shock. We then explore the distinct effects of different kinds of oil price shocks from various sources.Based on the … appear to be heterogeneous. Oil supply shock appears to be a net transmitter of spillover effects for all G7 countries within …

Persistent link: https://www.econbiz.de/10012418406

Has There Been Excessive Speculation in the U.S. Oil Futures Markets? What Can We (Carefully) Conclude from New CFTC Data?

Till, Hilary - 2015

Even though there were numerous plausible explanations for the oil-price rally that culminated in July of 2008, there remains much uncertainty on how much to ascribe this rally to speculation, given the lack of transparency in the global oil markets. Was there excessive speculation in the oil...

Persistent link: https://www.econbiz.de/10013022469

Cost of Carry on Steroids : Application to Oil Futures Pricing

Girard, Eric - 2010

This paper develops an empirical cost of carry model with endogenously conditioned convenience yield. The approach is implemented using monthly prices of all futures contracts traded at the New York Mercantile Exchange between 1985 and 2006. Tests indicate that the model fits the data extremely...

Persistent link: https://www.econbiz.de/10013138779

Demand shocks vs. supply shocks : which shocks matter more in income and price inequality?

Hwang, Seolwoong; Lee, Kwangwon; Yim, Geunhyung - 2022

demand shocks significantly worsen the income distribution. It is estimated that the effect of the demand shock is long …-lasting. In contrast to this, a supply shock worsens the index in the short-term and has a short duration. In addition, negative … of shock …

Persistent link: https://www.econbiz.de/10013198179

Forecasting the term structure of crude oil futures prices with neural networks

Baruník, Jozef; Malinská, Barbora - 2015

The paper contributes to the rare literature modeling term structure of crude oil markets. We explain term structure of crude oil prices using dynamic Nelson-Siegel model, and propose to forecast them with the generalized regression framework based on neural networks. The newly proposed...

Persistent link: https://www.econbiz.de/10011378719

Commodity forward curve dynamics with inventory information

Vicedom, Sebastian - In: Essays in finance : commodity derivatives, volatility …, (pp. 8-49). 2016

Persistent link: https://www.econbiz.de/10011646898

The relative pricing of WTI and Brent crude oil futures : expectations or risk premia?

Gao, Xin; Li, Bingxin; Liu, Rui - In: Journal of commodity markets 30 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014426797

Forecasting WTI crude oil futures returns : does the term structure help?

Bredin, Donal; O'Sullivan, Conall; Spencer, Simon - In: Energy economics 100 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10012990233

Economic determinants of oil futures volatility : term structure perspective

Kang, Boda; Nikitopoulos, Christina Sklibosios; … - In: Energy economics 88 (2020), pp. 1-27

Persistent link: https://www.econbiz.de/10012515144

Time-varying term structure of oil risk premia

Cortazar, Gonzalo; Liedtke, Philip; Ortega, Hector; … - In: The energy journal 43 (2022) 5, pp. 71-91

Persistent link: https://www.econbiz.de/10013412820

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