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Navigating the oil bubble : a non-linear heterogeneous-agent dynamic model of futures oil pricing

Cifarelli, Giulio; Paesani, Paolo - In: The energy journal 42 (2021) 5, pp. 101-122

Persistent link: https://www.econbiz.de/10013170656

The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market

Chang, Kuang-Liang; Lee, Chingnun - In: International review of economics & finance : IREF 69 (2020), pp. 374-388

Persistent link: https://www.econbiz.de/10012486979

Oil price volatility and macroeconomic fundamentals : a regime switching GARCH-MIDAS model

Pan, Zhiyuan; Wang, Yudong; Wu, Chongfeng; Yin, Libo - In: Journal of empirical finance 43 (2017), pp. 130-142

Persistent link: https://www.econbiz.de/10011817944

A general approach to recovering market expectations from futures prices with an application to crude oil

Baumeister, Christiane; Kilian, Lutz - 2016

has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting, and for …

Persistent link: https://www.econbiz.de/10011434566

A general approach to recovering market expectations from futures prices with an application to crude oil

Baumeister, Christiane; Kilian, Lutz - 2014

alternatives and more economically plausible. We discuss implications of our analysis for the estimation of economic models of … energy-intensive durables, for the debate on speculation in oil markets, and for oil price forecasting. …

Persistent link: https://www.econbiz.de/10010409922

Estimating multi-period value at risk of oil futures prices

Zhou, Chunyang; Qin, Xiao; Diao, Xundi; He, Yingchen - In: Applied economics 48 (2016) 31/33, pp. 2994-3004

Persistent link: https://www.econbiz.de/10011615344

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

Robust information share measures with an application on the international crude oil markets

Li, Hong; Shi, Yanlin - In: The journal of futures markets 42 (2022) 4, pp. 555-579

Persistent link: https://www.econbiz.de/10013187561

Forecasting crude oil market volatility : a Markov switching multifractal volatility approach

Wang, Yudong; Wu, Chongfeng; Li, Yang - In: International journal of forecasting 32 (2016) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10011596312

Predicting daily oil prices : linear and non-linear models

Dbouk, Wassim; Jamali, Ibrahim - In: Research in international business and finance 46 (2018), pp. 149-165

Persistent link: https://www.econbiz.de/10011983600

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