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Return transmission and asymmetric volatility spillovers between oil futures and oil equities : new DCC-MEGARCH analyses
Tsuji, Chikashi - In: Economic modelling 74 (2018), pp. 167-185
Persistent link: https://www.econbiz.de/10012101322
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Asymmetric volatility spillovers between crude oil and international financial markets
Wang, Xunxiao; Wu, Chongfeng - In: Energy economics 74 (2018), pp. 592-604
Persistent link: https://www.econbiz.de/10011972941
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Oil market volatility : is macroeconomic uncertainty systematically transmitted to oil prices?
Joëts, Marc; Mignon, Valérie; Razafindrabe, Tovonony - In: Uncertainty, expectations and asset price dynamics : …, (pp. 31-50). 2018
Persistent link: https://www.econbiz.de/10012014988
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Asymmetric price volatility transmission between U.S. biofuel, corn, and oil markets
Saghaian, Sayed; Nemati, Mehdi; Walters, Cory; Chen, Bo - In: Journal of agricultural and resource economics : JARE ; … 43 (2018) 1, pp. 46-60
Persistent link: https://www.econbiz.de/10011833454
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Determinants of the crude oil futures curve : inventory, consumption and volatility
Nikitopoulos, Christina Sklibosios; Squires, Matthew; … - In: Journal of banking & finance 84 (2017), pp. 53-67
Persistent link: https://www.econbiz.de/10011816836
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The impact of investor sentiment on crude oil market risks : evidence from the wavelet approach
Zhang, Yue-jun; Li, Shu-Hui - In: Quantitative finance 19 (2019) 8, pp. 1357-1371
Persistent link: https://www.econbiz.de/10012194792
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Ranking of US macroeconomic news impacting WTI crude oil volatility risk
Faseli, Omid - 2019
Persistent link: https://www.econbiz.de/10012146919
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Modelling the global price of oil : is there any role for the oil futures-spot spread?
Valenti, Daniele - 2018
In this work, we propose an analysis of the global market for crude oil based on a revised version of the Structural Vector Autoregressive (SVAR) model introduced by Kilian and Murphy (2014). On this respect, we replace the global proxy for above-ground crude oil inventories with the oil...
Persistent link: https://www.econbiz.de/10011794647
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Is efficiency of crude oil market affected by multifractality? : evidence from the WTI crude oil market
Gu, Rongbao; Zhang, Bing - In: Energy economics 53 (2016), pp. 151-158
Persistent link: https://www.econbiz.de/10011660491
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Crude oil and gasoline volatility risk into a Realized-EGARCH model
Ben Sita, Bernard - In: Review of quantitative finance and accounting 53 (2019) 3, pp. 701-720
Persistent link: https://www.econbiz.de/10012234368