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Spillover and quantile linkage between oil price shocks and stock returns : new evidence from G7 countries
Jiang, Yonghong; Tian, Gengyu; Mo, Bin - In: Financial innovation : FIN 6 (2020) 42, pp. 1-26
autoregression framework to decompose crude oil price shocks into oil supply shock, oil aggregate demand shock, and oil …-specific demand shock. We then explore the distinct effects of different kinds of oil price shocks from various sources.Based on the … appear to be heterogeneous. Oil supply shock appears to be a net transmitter of spillover effects for all G7 countries within …
Persistent link: https://www.econbiz.de/10012418406
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Internet Appendix to `Forecasting Realized Volatility of the Oil Future Prices via Machine Learning'
Kim, Byung-June; Kim, Taeyoon; Jang, Bong-Gyu - 2021
The Internet Appendix consists of three sections. Section A shows data sources and detailed data processing procedures. In Section B, we outline seven forecasting models. Last, Section C represents the empirical results
Persistent link: https://www.econbiz.de/10013241114
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Forecasting Realized Volatility of the Oil Future Prices Via Machine Learning
Kim, Byung-June; Kim, Taeyoon; Jang, Bong-Gyu - 2021
This paper explores the possibility of the potential usage of machine learning models in the field of realized volatility forecasting of crude oil with a vast variety of empirical analyses and robustness checks. Although the conventional heterogeneous autoregressive (HAR) model is widely...
Persistent link: https://www.econbiz.de/10013241115
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Downside Uncertainty Shocks in the Oil and Gold Markets
Roh, Tai-Yong - 2020
We construct downside variance risk premiums from the crude oil and gold option data and use them as proxies for market downside uncertainty risks. We find that these downside variance risk premiums contain commodity market specifc pricing information. Further- more, the gold market's exposure...
Persistent link: https://www.econbiz.de/10012839629
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Shock propagation across the futures term structure : evidence from crude oil prices
Lautier, Delphine H.; Raynaud, Franck; Robe, Michel A. - In: The energy journal 40 (2019) 3, pp. 125-153
Persistent link: https://www.econbiz.de/10012053253
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Has There Been Excessive Speculation in the U.S. Oil Futures Markets? What Can We (Carefully) Conclude from New CFTC Data?
Till, Hilary - 2015
Even though there were numerous plausible explanations for the oil-price rally that culminated in July of 2008, there remains much uncertainty on how much to ascribe this rally to speculation, given the lack of transparency in the global oil markets. Was there excessive speculation in the oil...
Persistent link: https://www.econbiz.de/10013022469
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Cost of Carry on Steroids : Application to Oil Futures Pricing
Girard, Eric - 2010
This paper develops an empirical cost of carry model with endogenously conditioned convenience yield. The approach is implemented using monthly prices of all futures contracts traded at the New York Mercantile Exchange between 1985 and 2006. Tests indicate that the model fits the data extremely...
Persistent link: https://www.econbiz.de/10013138779
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Demand shocks vs. supply shocks : which shocks matter more in income and price inequality?
Hwang, Seolwoong; Lee, Kwangwon; Yim, Geunhyung - 2022
demand shocks significantly worsen the income distribution. It is estimated that the effect of the demand shock is long …-lasting. In contrast to this, a supply shock worsens the index in the short-term and has a short duration. In addition, negative … of shock …
Persistent link: https://www.econbiz.de/10013198179
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Forecasting the term structure of crude oil futures prices with neural networks
Baruník, Jozef; Malinská, Barbora - 2015
The paper contributes to the rare literature modeling term structure of crude oil markets. We explain term structure of crude oil prices using dynamic Nelson-Siegel model, and propose to forecast them with the generalized regression framework based on neural networks. The newly proposed...
Persistent link: https://www.econbiz.de/10011378719
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Commodity forward curve dynamics with inventory information
Vicedom, Sebastian - In: Essays in finance : commodity derivatives, volatility …, (pp. 8-49). 2016
Persistent link: https://www.econbiz.de/10011646898