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Forecasting volatility in oil returns using asymmetric GARCH models : evidence from Tanzania
Letema, Laban Gaspe; Mbwambo, Haika Andrew - 2023
Persistent link: https://www.econbiz.de/10014281963
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The effects of oil price volatility on South African stock market returns
Musampa, Kongolo; Eita, Joel Hinaunye; Meniago, Christelle - In: Economies : open access journal 12 (2024) 1, pp. 1-20
The aim of this study is to assess the response of the South African stock market returns to oil price volatility … show evidence of an asymmetric impact of fluctuations in oil prices on South African stock market returns, using a copula … EGARCH process is the best univariate model to capture oil price volatility. Interestingly, this study also revealed that the …
Persistent link: https://www.econbiz.de/10014480171
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An examination of the flow characteristics of crude oil : evidence from risk-neutral moments
Chatrath, Arjun; Miao, Hong; Ramchander, Sanjay; Wang, … - In: Energy economics 54 (2016), pp. 213-223
Persistent link: https://www.econbiz.de/10011662818
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Contemporaneous dependence between euro, crude oil, and gold returns and their respective implied volatility changes : evidence from the local Gaussian correlation approach
Fousekis, Panajiotis - In: Studies in economics and finance 40 (2023) 5, pp. 795-813
Persistent link: https://www.econbiz.de/10014467157
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How did the oil price affect Japanese yen and other currencies? : fresh insights from the COVID-19 pandemic
Li, Kaifeng; Devpura, Neluka; Cheng, Sijia - In: Pacific-Basin finance journal 75 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013552650
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Multifractal models, intertrade durations and return volatility
Segnon, Mawuli - 2015
Persistent link: https://www.econbiz.de/10011299266
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Analysis and Bayes statistical probability inference of crude oil price change point
Chai, Jian; Lu, Quanying; Hu, Yi; Wang, Shouyang; Lai, … - In: Technological forecasting & social change : an … 126 (2018), pp. 271-283
Persistent link: https://www.econbiz.de/10011952358
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Oil price effects over individual Portuguese stock returns
Teixeira, Rui F.; Madaleno, Mara; Vieira, Elisabete F. … - In: Empirical economics : a journal of the Institute for … 53 (2017) 3, pp. 891-926
Persistent link: https://www.econbiz.de/10011892906
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Non-linear relationship between oil and cryptocurrencies : evidence from returns and shocks
Naeem, Muhammad Abubakr; Sitara Karim; Abrar, Afsheen; … - In: International review of financial analysis 89 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014465059
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Volatility and the hedging effectiveness of China fuel oil futures
Chen, Wei; Ford, James L. - 2010
Persistent link: https://www.econbiz.de/10009374212