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A study of Shanghai fuel oil futures price volatility based on high frequency data : long-range dependence, modeling and forecasting

Liu, Li; Wan, Jieqiu - In: Economic modelling 29 (2012) 6, pp. 2245-2253

Persistent link: https://www.econbiz.de/10009673777

Brent crude oil spot and futures prices : structural break insights

Zavadska, Miroslava; Morales, Lucía; Coughlan, Joseph - In: The journal of energy markets 12 (2019) 4, pp. 31-52

Persistent link: https://www.econbiz.de/10012589651

The dynamic relations in the US crude oil market

Bai, Shuming - In: International journal of services and standards 9 (2014) 2/4, pp. 103-115

Persistent link: https://www.econbiz.de/10011347658

Time-varying Granger causality tests for applications in global crude oil markets

Lu, Feng-bin; Hong, Yong-miao; Wang, Shouyang; Lai, Kin … - In: Energy economics 42 (2014), pp. 289-298

Persistent link: https://www.econbiz.de/10010503591

The power of investors' optimism and pessimism in oil market forecasting

Mustanen, Dmitri; Maaitah, Ahmad; Mishra, Tapas; Parhi, … - In: Energy economics 114 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013477597

Volatility and the hedging effectiveness of China fuel oil futures

Chen, Wei; Ford, James L. - 2010

Persistent link: https://www.econbiz.de/10009374212

Event study of the crude oil futures market : a mixed event response model

Karali, Berna; Ye, Shiyu; Ramírez, Octavio A. - In: American journal of agricultural economics 101 (2019) 3, pp. 960-985

Persistent link: https://www.econbiz.de/10012114862

Oil and non-energy commodity markets : an empirical analysis of volatility spillovers and hedging effectiveness

Dutta, Anupam; Noor, Md Hasib - In: Cogent economics & finance 5 (2017) 1, pp. 1-15

markets, very little is known about the volatility transmission between these two markets. The present study aims to conceal … this gap by investigating the volatility cross effects between oil and three different non-energy commodity markets. Using … the bivariate VAR-GARCH models, we do not find any evidence of volatility linkage between oil and agricultural product …

Persistent link: https://www.econbiz.de/10011881040

Financial and oil market's co-movements by a regime-switching copula

Soury, Manel - In: Econometrics : open access journal 12 (2024) 2, pp. 1-19

Over the years, oil prices and financial stock markets have always had a complex relationship. This paper analyzes the interactions and co-movements between the oil market (WTI crude oil) and two major stock markets in Europe and the US (the Euro Stoxx 50 and the SP500) for the period from 1990...

Persistent link: https://www.econbiz.de/10014636410

Basis variation and the role of inventories : evidence from the crude oil market

Fattouh, Bassam - 2009

Persistent link: https://www.econbiz.de/10009491028