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Oil price and its impact on firms' return volatility
Rajvanshi, Vivek - 2020
Persistent link: https://www.econbiz.de/10012226244
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Interdependence among agricultural commodity markets, macroeconomic factors, crude oil and commodity index
Fernandez, Jose M. - 2015
Persistent link: https://www.econbiz.de/10011409070
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Volatility and the hedging effectiveness of China fuel oil futures
Chen, Wei; Ford, James L. - 2010
Persistent link: https://www.econbiz.de/10009374212
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Crude oil futures trading and uncertainty
Czudaj, Robert L. - 2018
This paper examines the effect of different dimensions of uncertainty on expectations of WTI crude oil futures momentum traders at a daily level. We consider two concepts of uncertainty and two momentum trading indicators based on technical analysis. In addition, we also use wavelet techniques...
Persistent link: https://www.econbiz.de/10011979326
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Time-Varying spot and futures oil prices dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
Persistent link: https://www.econbiz.de/10003963295
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Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...
Persistent link: https://www.econbiz.de/10003965099
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Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...
Persistent link: https://www.econbiz.de/10003949493
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What drives long-term oil market volatility? : fundamentals versus Speculation
Yin, Libo; Zhou, Yimin - 2016
-term components in terms of oil market volatility. The results show that the global demand shock is the only one factor found to be … positive and significantly increasing long- or short-term oil volatility in the full sample. This is consistent with a classic …-term oil volatility during the post-2004 period. The results also suggest the existence of asymmetric impacts on the short …
Persistent link: https://www.econbiz.de/10011413340
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Interpreting the oil risk premium : do oil price shocks matter?
Valenti, Daniele; Manera, Matteo; Sbuelz, Alessandro - 2018
This paper provides an analysis of the link between the global market for crude oil and oil futures risk premium at the aggregate level. It off ers empirical evidence on whether the compensation for risk required by the speculators depends on the type of the structural shock of interest....
Persistent link: https://www.econbiz.de/10011794500
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Modelling the global price of oil : is there any role for the oil futures-spot spread?
Valenti, Daniele - 2018
In this work, we propose an analysis of the global market for crude oil based on a revised version of the Structural Vector Autoregressive (SVAR) model introduced by Kilian and Murphy (2014). On this respect, we replace the global proxy for above-ground crude oil inventories with the oil...
Persistent link: https://www.econbiz.de/10011794647