While the impacts of oil price changes on agricultural commodity markets are of great interest to economists, previous studies do not differentiate oil-specific shocks from aggregate demand shocks. In this paper, we address this issue using a structural VAR analysis. Our findings indicate that...

In this paper, we explore the strategy on hedging crude oil using refined product. We develop a regime switching asymmetric DCC (RS-ADCC) model by taking into account both of regime switching and asymmetry in correlations. Our out-of-sample findings indicate that RS-ADCC displays greater hedging...

In this paper, we forecast excess stock returns of S&P 500 index from January 1997 to December 2012 using both well-known traditional macroeconomic indicators and oil market variables. Based on a dynamic model selection approach, we find that the forecasting accuracy can be improved after adding...