The purpose of this paper is to conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets with focus and empirical evidence on crude-oil market. Using crude-oil futures and options on futures data from New York Mercantile Exchange (NYMEX) there are presented...

Analyzing macroeconomic impacts of oil price changes requires first to investigate different sources of these changes and their distinct effects. Kilian (2009) analyzes the effects of an oil supply shock, an aggregate demand shock, and a precautionary oil demand shock. The paper's aim is to...

This article examines the volatility dependence between the crude oil price and four US dollar exchange rates using both fractional cointegration and copula techniques. The former exploits the long memory behavior of the volatility processes to investi

Since the seventies the Organization of Petroleum Exporting Countries (OPEC) has exercised a monopolistic power playing a dominant role in the oil market, but with varying degrees of influence. The aim of this investigation is to determine which variables explain changes in OPEC’s market power...

We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...

Purpose The purpose of this paper is to investigate the volatility linkage between global oil market and major South Asian equity markets. Design/methodology/approach In order to serve the purpose, the authors employ a recently developed vector autoregressive-generalized autoregressive...