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Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - In: International review of economics & finance : IREF 59 (2019), pp. 50-70
Persistent link: https://www.econbiz.de/10012202481
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Linear-rational term structure models
Filipović, Damir; Larsson, Martin; Trolle, Anders B. - 2014
advantages: i) ensures nonnegative interest rates, ii) easily accommodates unspanned factors affecting volatility and risk …, volatility, and risk premium dynamics — including when interest rates are close to the zero lower bound …
Persistent link: https://www.econbiz.de/10010338764
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Linear-rational term structure models
Filipović, Damir; Larsson, Martin; Trolle, Anders B. - In: The journal of finance : the journal of the American … 72 (2017) 2, pp. 655-704
Persistent link: https://www.econbiz.de/10011738502
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Volatility risk premia and future commodity returns
Ornelas, José Renato Haas; Mauad, Roberto Baltieri - In: Journal of international money and finance 96 (2019), pp. 341-360
Persistent link: https://www.econbiz.de/10012139839
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Volatility risk premia and future commodities returns
Ornelas, José Renato Haas; Mauad, Roberto Baltieri - 2017 - Revised July 2017
Persistent link: https://www.econbiz.de/10011752576
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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
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It's not that important : the negligible effect of oil market uncertainty
Yin, Libo; Feng, Jiabao; Liu, Li; Wang, Yudong - In: International review of economics & finance : IREF 60 (2019), pp. 62-84
Persistent link: https://www.econbiz.de/10012203810
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Modeling non-normal corporate bond yield spreads by copula
Kim, Jong-Min; Kim, Dong H.; Jung, Hojin - In: The North American journal of economics and finance : a … 53 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012642431
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Carry
Koijen, Ralph S. J.; Moskowitz, Tobias J.; Pedersen, … - In: Journal of financial economics 127 (2018) 2, pp. 197-225
Persistent link: https://www.econbiz.de/10011968803
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Comovement of fear index, stock returns, brent oil prices in BRIC countries : the case of COVID-19
Sharma, Sakshi; Malik, Kunjana - In: The Indian economic journal 70 (2022) 4, pp. 559-576
Persistent link: https://www.econbiz.de/10013475299