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The Impact of COVID-19 on Price Volatility of Crude Oil and Natural Gas Listed on Multi Commodity Exchange of India
Meher, Bharat Kumar; Hawaldar, Iqbal Thonse; Mohapatra, … - 2020
the price volatility of crude oil and natural gas listed on multi commodity exchange of India (MCX). We measured the … leverage effect of COVID-19 on price volatility of crude oil and natural gas by using the daily prices of crude oil and natural … COVID-19 on the price volatility of crude oil. However, this leverage effect is not present on the price volatility of …
Persistent link: https://www.econbiz.de/10014095004
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Oil futures volatility predictability : new evidence based on machine learning models
Lu, Xinjie; Ma, Feng; Xu, Jin; Zhang, Zehui - 2022
This paper comprehensively investigates the connection between oil futures volatility and the financial market based on … combination models. The results highlight the efficiency of machine learning models for oil futures volatility forecasting, in … paper provides new insights for machine learning methods’ applications in futures market volatility prediction, which is …
Persistent link: https://www.econbiz.de/10013294858
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Oil futures volatility predictability : new evidence based on machine learning models
Lu, Xinjie; Ma, Feng; Xu, Jin; Zhang, Zehui - In: International review of financial analysis 83 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013460875
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Impacts of CME Changing Mechanism for Allowing Negative Oil Prices on Prices and Trading Activities in the Crude Oil Futures Market
Lu, Fengbin; Bu, Hui - 2023
This study investigates and compares the effects of the Coronavirus Disease 2019 (COVID-19) pandemic, the Chicago Mercantile Exchange (CME)'s negative price suggestion on prices and trading activities in the crude oil futures market to discuss the cause of negative crude oil futures prices....
Persistent link: https://www.econbiz.de/10014352869
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Extreme time-frequency connectedness across U.S. sector stock and commodity futures markets
Bhattacherjee, Purba; Mishra, Sibanjan; Kang, Sang Hoon - In: International review of economics & finance : IREF 93 (2024) 2, pp. 1176-1197
Persistent link: https://www.econbiz.de/10014535697
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Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility : the case of Brent crude oil
Chen, Jilong; Ewald, Christian; Ouyang, Ruolan; … - In: Financial modeling and risk management of energy and …, (pp. 29-46). 2022
Persistent link: https://www.econbiz.de/10013349908
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Impact of petroleum energy price volatility on commodity prices in Ghana
Dadzie, Philomena; Nambie, Nicholas Bamegne; Obobi, … - In: International journal of economics and financial issues … 13 (2023) 1, pp. 73-82
Persistent link: https://www.econbiz.de/10014228331
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Exogenous oil supply shocks and global agricultural commodity prices : the role of biofuels
Yanfeng, Wei; Qiu, Feng; An, Henry; Zhang, Xindong; Li, … - In: International review of economics & finance : IREF 92 (2024), pp. 394-414
Persistent link: https://www.econbiz.de/10014534913
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Exogenous Oil Supply Shocks and Global Agricultural Commodity Prices
Wei, Yanfeng; Guo, Xiaoying - 2023
The Russian invasion of Ukraine on February 24, 2022 dramatically disrupted the global supply of crude oil and agricultural commodities. As a consequence, the prices of oil and agricultural commodities increase substantially and many countries face the problem of high food inflation. Against...
Persistent link: https://www.econbiz.de/10014257733
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On the contagion effect between crude oil and agricultural commodity markets : a dynamic conditional correlation and spectral analysis
Kallandranis, Christos; Dimitriou, Dimitrios; … - In: The journal of energy markets 16 (2023) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10014485210