Similar Search Results - EconBiz

Oil price shocks and stock market anomalies

Zhu, Zhaobo; Sun, Licheng; Tu, Jun; Ji, Qiang - In: Financial management : FM 51 (2022) 2, pp. 573-612

Persistent link: https://www.econbiz.de/10013348534

Effects of speculation and interest rates in a “carry trade” model of commodity prices

Frankel, Jeffrey A. - In: Journal of international money and finance 42 (2014), pp. 88-112

Persistent link: https://www.econbiz.de/10010371827

Risk Premia in the Term Structure of Crude Oil Futures : Long-Run and Short-Run Volatility Components

Boyd, Naomi E.; Li, Bingxin; Liu, Rui - 2021

This paper studies how volatility affects the risk premium in crude oil futures through a discrete-time term structure model with long-run and short-run GARCH-type volatility components. Estimated using WTI crude oil futures data from January 1990 to July 2016, our model simultaneously matches...

Persistent link: https://www.econbiz.de/10013247149

Fundamentals, derivatives market information and oil price volatility

Robe, Michel A.; Wallen, Jonathan - In: The journal of futures markets 36 (2016) 4, pp. 317-344

Persistent link: https://www.econbiz.de/10011568424

Macroeconomic factors in oil futures markets

Heath, Davidson - In: Management science : journal of the Institute for … 65 (2019) 9, pp. 4407-4421

Persistent link: https://www.econbiz.de/10012118578

Breaks in term structures : evidence from the oil futures markets

Horváth, Lajos; Liu, Zhenya; Miller, Curtis; Tang, Weiqing - In: International journal of finance & economics : IJFE 29 (2024) 2, pp. 2317-2341

Persistent link: https://www.econbiz.de/10014533420

Supply shocks, demand shocks and yield curve dynamics

Časta, Martin - In: Finance research letters 50 (2022), pp. 1-5

Persistent link: https://www.econbiz.de/10014245126

The role of outliers and oil price shocks on volatility of metal prices

Behmiri, Niaz Bashiri; Manera, Matteo - 2015

outliers, outliers bias the parameters estimation of the GARCH-type models, and removing outliers improves the performance of …

Persistent link: https://www.econbiz.de/10011327443

The importance of extreme shock : examining the effect of investor sentiment on the crude oil futures market

Wang, Lu; Ma, Feng; Niu, Tianjiao; Liang, Chao - In: Energy economics 99 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012939414

How the financial market can dampen the effects of commodity price shocks

Kim, Myunghyun - In: European economic review : EER 121 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012264262

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