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The relationship between spot and futures oil prices : do structural breaks matter?

Chen, Pei-fen; Lee, Chien-chiang; Zeng, Jhih-hong - In: Energy economics 43 (2014), pp. 206-217

Persistent link: https://www.econbiz.de/10010504823

Volatility and the hedging effectiveness of China fuel oil futures

Chen, Wei; Ford, James L. - 2010

Persistent link: https://www.econbiz.de/10009374212

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

A bitter brew? : futures speculation and commodity prices

Bos, Jaap W. B.; Molen, Maarten van der - 2012

Persistent link: https://www.econbiz.de/10009630385

A Bitter Brew? Futures Speculation and Commodity Prices

Bos, Jaap W.B. - 2015

We introduce a new approach to measuring the possible impact of futures speculation on spot commodity prices. We advocate the use of a non-parametric, highly flexible empirical model for measuring this impact, in order to account for possible non-linearity in the transmission from futures to...

Persistent link: https://www.econbiz.de/10013036025

The time-varying and asymmetric dependence between crude oil spot and futures markets : evidence from the mixture copula-based ARJI-GARCH model

Chang, Kuang-liang - In: Economic modelling 29 (2012) 6, pp. 2298-2309

Persistent link: https://www.econbiz.de/10009673749

Testing for adjustment costs and regime shifts in BRENT crude futures market

Mamatzakis, Emmanuel C.; Remoundos, P. - In: Economic modelling 28 (2011) 3, pp. 1000-1008

Persistent link: https://www.econbiz.de/10009271301

Impact of COVID-19 on the dependence structure of WTI crude oil spot and future price

Lee, Wo-Chiang; Lee, Jhuo-Ying - In: The empirical economics letters : a monthly … 19 (2020) 11, pp. 1299-1312

Persistent link: https://www.econbiz.de/10012599720

Forecasting volatility returns of oil price using gene expression programming approach

Amo Baffour, Alexander; Jingchun, Feng; Fan, Liwei; … - In: Journal of time series econometrics 11 (2019) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10012022879

Impact of futures trading on volatility of spot market-a case of guar seed

Dinesh Kumar Sharma; Malhotra, Meenakshi - In: Agricultural finance review 75 (2015) 3, pp. 416-431

Persistent link: https://www.econbiz.de/10011341934

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