In this paper, we examine the relationship between volume and volatility for crude oil markets in the context of Mixture of Distribution Hypothesis (MDH). We find that there exists a positive and significant relationship between volume and volatility in case of WTI Crude oil, supporting the MDH....

This paper analyses the attributes and the significance of the roughness of oil market volatility. We employ unspanned stochastic volatility models driven by rough Brownian motions that yield semi-analytical prices for futures options entailing efficient calibration applications. By performing a...

Studies of the crude oil market based on structural vector autoregressive (VAR) models typically assume a time-invariant model and transmission of shocks or they consider a time-varying model and shock transmission. We assume a heteroskedastic reduced-form VAR model with time-invariant slope...

This paper investigates the role of political tensions between the US and China and global market forces in explaining oil price fluctuations. To this end, we rely on quantile regressions—quantile autoregressive distributed lag (QARDL) error-correction model—to account for possible...