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Implied roughness in the term structure of oil market volatility

Alfeus, Mesias; Nikitopoulos, Christina Sklibosios; … - In: Quantitative finance 24 (2024) 3/4, pp. 347-363

Persistent link: https://www.econbiz.de/10014552013

Volatility forecasting of crude oil futures market : which structural change-based HAR models have better performance?

Zhang, Yue-jun; Zhang, Han - In: International review of financial analysis 85 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014234971

Structural Sources of Oil Market Volatility and Correlation Dynamics

Liu, Xiaochun; Harrison, Andre; Stewart, Shamar - 2022

This paper explores the structural driving sources of oil market volatility and correlation dynamics. Our results highlight a steadily declining oil production volatility and concurrent increasing real oil price volatility since the mid-1980s. We find that a decrease in the persistence of the...

Persistent link: https://www.econbiz.de/10014078880

Are the macroeconomic effects on oil price asymmetric? : an asymmetric quantile regression approach

Alqaralleh, Huthaifa - In: International journal of energy sector management 16 (2022) 5, pp. 1000-1014

Persistent link: https://www.econbiz.de/10013345741

Volatility forecasting of crude oil market : which structural change based GARCH models have better performance?

Zhang, Yue-jun; Zhang, Han - In: The energy journal 44 (2023) 1, pp. 175-193

Persistent link: https://www.econbiz.de/10013542058

Do market conditions interfere with the transmission of uncertainty from oil market to stock market? : evidence from a modified quantile-on-quantile approach

Xie, Qichang; Tang, Guoqiang - In: Energy economics 114 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013477567

Which uncertainty is powerful to forecast crude oil market volatility? : new evidence

Li, Xiafei; Wei, Yu; Chen, Xiaodan; Ma, Feng; Liang, Chao; … - In: International journal of finance & economics : IJFE 27 (2022) 4, pp. 4279-4297

Persistent link: https://www.econbiz.de/10013461327

Oil tail-risk forecasts : from financial crisis to COVID-19

Kuang, Wei - In: Risk management : an international journal 24 (2022) 4, pp. 420-460

Persistent link: https://www.econbiz.de/10013464195

Nonlinear dynamic correlation between geopolitical risk and oil prices : a study based on high-frequency data

Huang, Jianbai; Ding, Qian; Zhang, Hongwei; Guo, Yaoqi; … - In: Research in international business and finance 56 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10013266166

Volatility spillovers between WTI and Brent spot crude oil prices : an analysis of granger causality in variance patterns over time

Atukeren, Erdal; Çevik, Emrah İsmail; Korkmaz, Turhan - In: Research in international business and finance 56 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10013267899

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