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INE oil futures volatility prediction : exchange rates or international oil futures volatility?

Lu, Xinjie; Ma, Feng; Li, Haibo; Wang, Jianqiong - In: Energy economics 126 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014483407

Commodity momentum decomposition

Iwanaga, Yasuhiro; Sakemoto, Ryuta - In: The journal of futures markets 43 (2023) 2, pp. 198-216

Persistent link: https://www.econbiz.de/10014292998

Oil futures market : a dynamic model of hedging and speculation

Cifarelli, Giulio; Paladino, Giovanna - In: The interrelationship between financial and energy markets, (pp. 141-155). 2014

Persistent link: https://www.econbiz.de/10010411146

A convenience yield approximation model for mean-reverting commodities

Dockner, Engelbert J.; Eksi, Zehra; Rammerstorfer, … - In: The journal of futures markets 35 (2015) 7, pp. 625-654

Persistent link: https://www.econbiz.de/10011405460

Intraday momentum and return predictability : evidence from the crude oil market

Wen, Zhuzhu; Gong, Xu; Ma, Diandian; Xu, Yahua - In: Economic modelling 95 (2021), pp. 374-384

Persistent link: https://www.econbiz.de/10012696009

Comovement of fear index, stock returns, brent oil prices in BRIC countries : the case of COVID-19

Sharma, Sakshi; Malik, Kunjana - In: The Indian economic journal 70 (2022) 4, pp. 559-576

Persistent link: https://www.econbiz.de/10013475299

Fear in commodity return prediction

Cao, Zhen; Han, Liyan; Wei, Xinbei; Zhang, Qunzi - In: Finance research letters 46 (2022) 2, pp. 1-13

Persistent link: https://www.econbiz.de/10013342809

Global downside risk and equity returns

Atilgan, Yigit; Bali, Turan G.; Demirtas, K. Ozgur; … - In: Journal of international money and finance 98 (2019), pp. 1-19

Persistent link: https://www.econbiz.de/10012140071

Tail risk and expected stock returns around the world

Long, Huaigang; Zhu, Yanjian; Chen, Lifang; Jiang, Yuexiang - In: Pacific-Basin finance journal 56 (2019), pp. 162-178

Persistent link: https://www.econbiz.de/10012169574

International tail risk and world fear

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017

is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …

Persistent link: https://www.econbiz.de/10011751251