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Efficiency of crude oil futures markets : new evidence from multifractal detrending moving average analysis

Wang, Yudong; Wu, Chongfeng - In: Computational economics 42 (2013) 4, pp. 393-414

Persistent link: https://www.econbiz.de/10010249882

Causes of market anomalies of crude oil calendar spreads : does theory of storage address the issue?

Perchanok, Kirill; Kakabadse, Nada - In: Problems and perspectives in management : PPM ; … 11 (2013) 2, pp. 35-47

Persistent link: https://www.econbiz.de/10010208878

The role of oil speculation on the economy : the problem with the view of Fattouth, Kilian, And Mahadeva

Ajuzie, Emmanuel I. S. - In: Journal of business & economics research 11 (2013) 8, pp. 367-371

Persistent link: https://www.econbiz.de/10009792995

A fear index to predict oil futures returns

Chevallier, Julien; Sévi, Benoît - 2013

This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also...

Persistent link: https://www.econbiz.de/10010189497

Mean-variance hedging with oil futures

Wang, Liao; Wissel, Johannes Stefan - In: Finance and stochastics 17 (2013) 4, pp. 641-683

Persistent link: https://www.econbiz.de/10010190888

Testing the efficiency of the futures market for crude oil using weighted least squares

Stevens, Jason - In: Applied economics letters 20 (2013) 16/18, pp. 1611-1613

Persistent link: https://www.econbiz.de/10010222973

Financialization and commodity prices : an empirical analysis for coffee, cotton, wheat and oil

Ederer, Stefan; Heumesser, Christine; Staritz, Cornelia - In: International review of applied economics 30 (2016) 4, pp. 462-487

Persistent link: https://www.econbiz.de/10011472537

The role of financial speculation in the energy future markets : a new time-varying coefficient approach

Li, Haiqi; Kim, Hyung-Gun; Park, Sung Y. - In: Economic modelling 51 (2015), pp. 112-122

Persistent link: https://www.econbiz.de/10011475857

The volatility structure of oil futures market returns : an empirical investigation

Lian, Yu-Min; Liao, Szu-Lang - In: Investment management and financial innovations 12 (2015) 2, pp. 16-25

Persistent link: https://www.econbiz.de/10011500134

Expected commodity returns and pricing models

Cortazar, Gonzalo; Kovacevic, Ivo; Schwartz, Eduardo S. - In: Energy economics 49 (2015), pp. 60-71

Persistent link: https://www.econbiz.de/10011536656

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