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Moody Oil - What is Driving the Crude Oil Price?

Lechthaler, Filippo - 2012

The unparalleled surge of the crude oil price after 2003 has triggered a heated scientific and public debate about its ultimate causes. Unexpected demand growth particularly from emerging economies appears to be the most prominently supported reason among academics. We study the price dynamics...

Persistent link: https://www.econbiz.de/10013099330

Modelling Oil Price Volatility

Narayan, Paresh Kumar - 2012

In this paper, we examine the volatility of crude oil price using daily data for the period 1991-2006. Our main … innovation is that we examine volatility in various sub-samples in order to judge the robustness of our results. Our main … effects, on volatility. These findings imply that the behaviour of oil prices tends to change over short periods of time …

Persistent link: https://www.econbiz.de/10013105390

Speculation in the Oil Market

Juvenal, Luciana - 2012

The run-up in oil prices since 2004 coincided with growing investment in commodity markets and increased price comovement among different commodities. We assess whether speculation in the oil market played a role in driving this salient empirical pattern. We identify oil shocks from a large...

Persistent link: https://www.econbiz.de/10013107787

On the Macroeconomic Determinants of Long-Term Volatilities and Correlations in U.S. Stock and Crude Oil Markets

Conrad, Christian - 2014

Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price returns with respect to the stance of the U.S. macroeconomy. We find that variables that contain information on current and future economic activity are helpful predictors of...

Persistent link: https://www.econbiz.de/10013066427

Speculation and Recent Volatility in the Price of Oil

Einloth, James Thomas - 2014

As the price of crude oil doubled from June 2007 to June 2008, suspicion grew that price was being driven higher by speculation rather than fundamental supply and demand. After having seen the price drop 70 percent from its peak, this explanation may appear more plausible than ever. This paper...

Persistent link: https://www.econbiz.de/10013070697

Covered Calls Indices in Crude Oil Markets

Liu, Berlinda - 2009

calls are able to reduce volatility and drawdown of a pure S&P GSCI Crude Oil position in a variety of market environments …

Persistent link: https://www.econbiz.de/10013160070

Revisiting value-at-risk and expected shortfall in oil markets under structural breaks : the role of fat-tailed distributions

Patra, Saswat - In: Energy economics 101 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10013161743

Linkages between the international crude oil market and the Chinese stock market : a BEKK-GARCH-AFD approach

Xie, Qiwei; Liu, Ranran; Qian, Tao; Li, Jingyu - In: Energy economics 102 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10013162150

Revisiting the role of economic uncertainty in oil price fluctuations : evidence from a new time-varying oil market model

Lyu, Yongjian; Yi, Heling; Wei, Yu; Yang, Mo - In: Economic modelling 103 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013163925

Connectedness in international crude oil markets

Bhanja, Niyati; Nasreen, Samia; Dar, Arif Billah; … - In: Computational economics 59 (2022) 1, pp. 227-262

Persistent link: https://www.econbiz.de/10013168983