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Determinants of the crude oil futures curve : inventory, consumption and volatility
Nikitopoulos, Christina Sklibosios; Squires, Matthew; … - In: Journal of banking & finance 84 (2017), pp. 53-67
Persistent link: https://www.econbiz.de/10011816836
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Do VaR exceptions have seasonality? : an empirical study on Indian commodity spot prices
Gupta, Apoorv; Rajib, Prabina - In: IIMB management review 30 (2018) 4, pp. 369-384
Persistent link: https://www.econbiz.de/10012042010
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Less disagreement, better forecasts : adjusted risk measures in the energy futures market
Zhang, Ning; Gong, Yujing; Xue, Xiaohan - In: The journal of futures markets 43 (2023) 10, pp. 1332-1372
Persistent link: https://www.econbiz.de/10014339438
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Volatility equicorrelation : a cross-market perspective
Aboura, Sofiane; Chevallier, Julien - In: Economics letters 122 (2014) 2, pp. 289-295
Persistent link: https://www.econbiz.de/10010395117
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Intraday trading invariancein the E-mini S&P 500 futures market
Andersen, Torben; Bondarenko, Oleg; Kyle, Albert S.; … - 2020
Persistent link: https://www.econbiz.de/10012494219
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Industrial organization, order Internalization, and invariance
Bondarenko, Oleg; Obižaeva, Anna; Wang, Yajun - 2020
Persistent link: https://www.econbiz.de/10012494238
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Concentration and liquidity costs in emerging commodity exchanges
Costa Jr, Geraldo; Trujillo-Barrera, Andres; Pennings, … - In: Journal of agricultural and resource economics : JARE ; … 43 (2018) 3, pp. 441-456
Persistent link: https://www.econbiz.de/10011960984
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Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
Lux, Thomas; Kaizoji, Taisei - 2006
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …
Persistent link: https://www.econbiz.de/10010294979
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Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models
Lux, Thomas; Kaizoji, Taisei - 2004
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …
Persistent link: https://www.econbiz.de/10010295136
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Nonlinear ACD model and informed trading: Evidence from Shanghai Stock Exchange
Wong, Woon K.; Tan, Dijun; Tian, Yixiang - 2008
Dufour and Engle (J. Finance (2000) 2467) find evidence of an increased presence of informed traders when the NYSE … trading volume is high, empirical findings suggest presence of informed trading in both liquid and illiquid stocks. When … volume is low, market activity is likely due to liquidity trading. Finally, for the actively traded stocks, our results …
Persistent link: https://www.econbiz.de/10010288824