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Frequency dynamics of volatility spillovers among crude oil and international stock markets : the role of the interest rate
Wang, Xunxiao - In: Energy economics 91 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012518567
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Arbitrage and beliefs
Khorrami, Paymon; Zentefis, Alexander K. - 2020
exists, arbitrage opportunities must also exist. Conversely, at times when arbitrage profits exist, asset markets are … susceptible to self-fulfilling fluctuations. The tight theoretical connection between price volatility and arbitrage is detectable …
Persistent link: https://www.econbiz.de/10012260973
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International Volatility Arbitrage
Tosi, Adriano - 2018
exposed towards domestic option products, they neglect the possibility of engaging in foreign volatility arbitrage. These …
Persistent link: https://www.econbiz.de/10012915950
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Volatilitätsarbitrage und ein Markoff-Modell für CDOs : eine finanzmathematische Untersuchung
Kock, Johan de - 2010
Persistent link: https://www.econbiz.de/10003934849
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Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps
Sévi, Benoît - In: Economic modelling 44 (2015), pp. 243-251
Persistent link: https://www.econbiz.de/10011326237
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Speculative behaviour and oil price predictability
Panopulu, Aikaterinē; Pantelidis, Theologos - In: Economic modelling 47 (2015), pp. 128-136
Persistent link: https://www.econbiz.de/10011438977
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Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps
Sévi, Benoît - 2014
Persistent link: https://www.econbiz.de/10010432120
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Crude oil price fluctuations and Saudi Arabian behaviour
De Santis, Roberto A. - 2000
This study seeks to explain why crude oil prices fluctuate, the main cause being the quota regime, which characterises the OPEC agreements. Given that the Saudi oil supply is inelastic in the short term, a shock in the oil market is accommodated by an immediate price change. In contrast, a...
Persistent link: https://www.econbiz.de/10011473806
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Crude oil price fluctuations and Saudi Arabia's behaviour
De Santis, Roberto A. - In: Energy economics 25 (2003) 2, pp. 155-173
Persistent link: https://www.econbiz.de/10001756358
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A Short Note on Manipulation, Speculation and Crude Oil Prices
Abrantes-Metz, Rosa M. - 2012
Measures have recently been proposed to restrict trading in crude oil and gasoline. This proposal is based on the presumption that market speculators are artificially raising the prices of these products; in other words, that the market is being manipulated. In this short note I will review the...
Persistent link: https://www.econbiz.de/10013107036