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Sources of Volatility During Four Oil Price Crashes

Baffes, John - 2015

Previous sharp oil price declines have been accompanied by elevated ex-post volatility. In contrast, volatility was … declines. This finding is robust to using both descriptive and GARCH measures of volatility. Further, the U.S. dollar … appreciation exerted a strong influence on volatility during the recent crash; in contrast, the impact of equity market shocks was …

Persistent link: https://www.econbiz.de/10013024078

An Analysis of Implied Volatility Jump Dynamics : Novel Functional Data Representation in Crude Oil Markets

Kearney, Fearghal - 2015

both upward and down jumps, this results in implied volatility curves displaying distinct shapes when compared to equity … volatility, jump risk, and pricing dynamics within crude oil markets. Examining a WTI crude oil sample for the 2007-2013 period …

Persistent link: https://www.econbiz.de/10013024229

The macro effects of GPR and EPU indexes over the global oil market : are the two types of uncertainty shock alike?

Gu, Xin; Zhu, Zixiang; Yu, Minli - In: Energy economics 100 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012990250

When Pep comes calling, the oil market answers : the effect of football player transfer movements on abnormal fluctuations in oil price futures

Do, Hung Xuan; Nguyen, Quan M. P.; Nepal, Rabindra; … - In: Energy economics 100 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012990255

Nonlinear Oil Price Dynamics : A Tale of Heterogeneous Speculators?

Reitz, Stefan - 2016

While some of the recent surge of oil prices can be attributed to robust global demand at a time of tight production capacities, commentators occasionally also blame the impact of speculators for part of the price pressure. We propose an empirical oil market model with heterogeneous speculators....

Persistent link: https://www.econbiz.de/10012991116

Crude oil market and stock markets during the COVID-19 pandemic : evidence from the US, Japan, and Germany

Zhang, Wenting; Hamori, Shigeyuki - In: International review of financial analysis 74 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012803936

Forecasting crude oil volatility with geopolitical risk : do time-varying switching probabilities play a role?

Wang, Lu; Ma, Feng; Hao, Jianyang; Gao, Xinxin - In: International review of financial analysis 76 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012804675

The Fundamental, Speculative and Macroeconomic Determinants of Variance and Skew Risk Premia in Oil Market

Pirrong, Craig - 2018

Using the model-independent approaches of Trolle and Schwartz (2008) and Kozhan et al (2013), we estimate the Variance Risk Premium and Skew Risk Premium for oil market. After estimation, the contribution of the paper is twofold. First, we try to figure out which variables can describe the...

Persistent link: https://www.econbiz.de/10012920696

Asymmetric Price Volatility Transmission between U.S. Biofuel, Corn, and Oil Markets

Saghaian, Sayed - 2018

. The concern is whether the new corn–ethanol links lead to volatility spillover transmission between food and energy prices …. We investigate asymmetric volatility spillovers between oil, corn, and ethanol prices using a BEKK … leads to inconsistent results. The results support the existence of asymmetric volatility transmission between corn and …

Persistent link: https://www.econbiz.de/10012934818

Volatility spillovers and hedging effectiveness between the oil market and Eurozone sectors : a tale of two crises

Belhassine, Olfa - In: Research in international business and finance 53 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012548919