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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

The volatility risk premium in the oil market

Bouchouev, Ilia; Johnson, Brett - In: Quantitative finance 22 (2022) 8, pp. 1561-1578

Persistent link: https://www.econbiz.de/10013367929

Navigating the oil bubble : a non-linear heterogeneous-agent dynamic model of futures oil pricing

Cifarelli, Giulio; Paesani, Paolo - In: The energy journal 42 (2021) 5, pp. 101-122

Persistent link: https://www.econbiz.de/10013170656

The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market

Chang, Kuang-Liang; Lee, Chingnun - In: International review of economics & finance : IREF 69 (2020), pp. 374-388

Persistent link: https://www.econbiz.de/10012486979

Price discovery in crude oil markets : intraday volatility interactions between crude oil futures and energy exchange traded funds

Ozdurak, Caner; Ulusoy, Veysel - In: International Journal of Energy Economics and Policy : IJEEP 10 (2020) 3, pp. 402-413

Persistent link: https://www.econbiz.de/10012496957

Return transmission and asymmetric volatility spillovers between oil futures and oil equities : new DCC-MEGARCH analyses

Tsuji, Chikashi - In: Economic modelling 74 (2018), pp. 167-185

Persistent link: https://www.econbiz.de/10012101322

Inventory information arrival and the crude oil futures market

Chebbi, Tarek; Hmedat, Waleed - In: International journal of finance & economics : IJFE 29 (2024) 2, pp. 1513-1533

Persistent link: https://www.econbiz.de/10014533269

How do bond, equity and commodity cycles interact?

Narayan, Paresh Kumar; Thuraisamy, Kannan Sivananthan; … - In: Finance research letters 21 (2017), pp. 151-156

Persistent link: https://www.econbiz.de/10011807742