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The Variance Risk Premium in Crude Oil Futures Markets : Incorporating the OVX Time Series in a Stochastic Volatility Model

Le Grand, Francois; Schneider, Lorenz - 2022

In this paper we propose a stochastic volatility model for crude oil markets that has the particularity to feature a … OVX volatility data. The model characterizes two states: a normal state with low volatility and negative variance premium … and acrisis state with high volatility and positive variance risk premium. The estimated states are consistent with GDP …

Persistent link: https://www.econbiz.de/10013307498

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

OPEC news announcements : effects on oil price expectation and volatility

Schmidbauer, Harald; Rösch, Angi - In: Energy economics 34 (2012) 5, pp. 1656-1663

Persistent link: https://www.econbiz.de/10009687967

Volatility transmission and volatility impulse response functions in crude oil markets

Jin, Xiaoye; Lin, Sharon X. W.; Tamvakis, Michael - In: Energy economics 34 (2012) 6, pp. 2125-2134

Persistent link: https://www.econbiz.de/10009688822

Long-memory dynamic power volatility and market risk evaluation of Brent crude oil markets

Chin, Wen Cheong - In: The Journal of energy and development 36 (2010/11) 1/2, pp. 243-272

Persistent link: https://www.econbiz.de/10009666074

Analyzing time-varying volatility spillovers between the crude oil markets using a new method

Liu, Tangyong; Gong, Xu - In: Energy economics 87 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012512419

Impact of COVID-19 on the dependence structure of WTI crude oil spot and future price

Lee, Wo-Chiang; Lee, Jhuo-Ying - In: The empirical economics letters : a monthly … 19 (2020) 11, pp. 1299-1312

Persistent link: https://www.econbiz.de/10012599720

Oil volatility spillover into oil dependent equity-sector stock returns : evidence from major oil producing countries

Bhuyan, Rafiqul; Robbani, Mohammad; Talukder, Bakhtear - In: Bulletin of applied economics 8 (2022) 1, pp. 149-165

Persistent link: https://www.econbiz.de/10013271050

Volatility in agricultural commodity and oil markets during times of crises

Morales, Lucia; Andréosso-O'Callaghan, Bernadette - In: Economics, management and financial markets 12 (2017) 4, pp. 59-82

Persistent link: https://www.econbiz.de/10011891529

Assessing risk contagion among the Brent crude oil market, London gold market and stock markets : Evidence based on a new wavelet decomposition approach

Lin, Ling; Kuang, Yuanpei; Jiang, Yong; Su, Xianfang - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-26

Persistent link: https://www.econbiz.de/10012203817