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This article brings new insights on the role played by (implied) volatility on the WTI crude oil spot price. An …
Persistent link: https://www.econbiz.de/10010861609
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This article brings new insights on the role played by (implied) volatility on the WTI crude oil spot price. An …
Persistent link: https://www.econbiz.de/10010559437
in the spot market for benchmark crude oils, specifically that for West Texas Intermediate (WTI). For this purpose, we … its contribution to the price discovery process of the spot market. We modeled the relation between WTI spot and future … the contribution of future markets to the price discovery mechanism. The results show that in the case of WTI, the …
Persistent link: https://www.econbiz.de/10010868802
This article brings new insights on the role played by (implied) volatility on the WTI crude oil spot price. An …
Persistent link: https://www.econbiz.de/10013036704
We use high-frequency data to study the dynamic relationship between volatility and equity returns. We provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. The leverage hypothesis asserts that...
Persistent link: https://www.econbiz.de/10008486971
In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...
Persistent link: https://www.econbiz.de/10008855592
Bulk shipping providers predominantly supply transportation services for bulk cargo, such as iron ore, grain and coal. As steel price index is a leading indicator of Baltic Dry Index, the cost of marine fuel becomes one of the key costs for shipping providers. By collecting data and building a...
Persistent link: https://www.econbiz.de/10010927756
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