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Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility
Tabak, Benjamin Miranda; Cajueiro, Daniel Oliveira - In: Energy economics 29 (2007) 1, pp. 28-36
Persistent link: https://www.econbiz.de/10003413296
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Oil commodity returns and macroeconomic factors : a time-varying approach
Schalck, Christophe; Chenavaz, Régis - In: Research in international business and finance 33 (2015), pp. 290-303
Persistent link: https://www.econbiz.de/10011325859
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Volatility transmission and volatility impulse response functions in crude oil markets
Jin, Xiaoye; Lin, Sharon X. W.; Tamvakis, Michael - In: Energy economics 34 (2012) 6, pp. 2125-2134
Persistent link: https://www.econbiz.de/10009688822
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Forecasting excess stock returns with crude oil market data
Liu, Li; Ma, Feng; Wang, Yudong - In: Energy economics 48 (2015), pp. 316-324
Persistent link: https://www.econbiz.de/10011533825
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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
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Is WTI crude oil market becoming weakly efficient over time? : new evidence from multiscale analysis based on detrended fluctuation analysis
Wang, Yudong; Liu, Li - In: Energy economics 32 (2010) 5, pp. 987-992
Persistent link: https://www.econbiz.de/10008934354
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Time-varying persistence in real oil prices and its determinant
Kruse, Robinson; Wegener, Christoph - In: Energy economics 85 (2020), pp. 1-10
Persistent link: https://www.econbiz.de/10012510274
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Predicting oil prices : an analysis of oil price volatility cycle and financial markets
Zhao, Lu-Tao; Wang, Zi-Jie; Wang, Shu-Ping; He, Ling-yun - In: Emerging markets, finance & trade : a journal of the … 57 (2021) 4, pp. 1068-1087
Persistent link: https://www.econbiz.de/10012483300
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Nonlinear common trends for the global crude oil market : Markov-switching score-driven models of the multivariate t-distribution
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2020
Persistent link: https://www.econbiz.de/10012221928
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The time-varying causality between spot and futures crude oil prices : a regime switching approach
Balcilar, Mehmet; Gungor, Hasan; Hammoudeh, Shawkat - In: International review of economics & finance : IREF 40 (2015), pp. 51-71
Persistent link: https://www.econbiz.de/10011571896