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Futures Markets Reaction to Crude Oil Inventory News Announcements : Asymmetric Return Response Patterns

Bu, Hui - 2022

This study investigates how prices respond to unanticipated crude oil inventory shocks and how quickly the markets incorporate news in crude oil, gasoline, and heating oil futures markets by using structured vector autoregression (SVAR) models based on EIA inventory report announcement and news...

Persistent link: https://www.econbiz.de/10013307507

Futures Markets Reaction to Crude Oil Inventory News Announcements : Asymmetric Return Response Patterns

Bu, Hui - 2021

Persistent link: https://www.econbiz.de/10013311571

How does China's crude oil futures affect the crude oil prices at home and abroad? : evidence from the cross-market exchange rate spillovers

Sun, Chuanwang; Peng, Yiqi; Zhan, Yanhong - In: International review of economics & finance : IREF 88 (2023), pp. 204-222

Persistent link: https://www.econbiz.de/10014474284

The time-varying connectedness between China’s crude oil futures and international oil markets : a return and volatility spillover analysis

Fu, Jiasha; Qiao, Hui - In: Letters in spatial and resource sciences : LSRS 15 (2022) 3, pp. 341-376

Persistent link: https://www.econbiz.de/10013484830

Dynamic Roughness in the Term Structure of Oil Markets Volatility

Alfeus, Mesias; Sklibosios Nikitopoulos, Christina; … - 2023

This paper analyses the attributes and the significance of the roughness of oil market volatility. We employ unspanned … stochastic volatility models driven by rough Brownian motions that yield semi-analytical prices for futures options entailing … futures and provide empirical evidence of the roughness in oil volatility. Introducing just one additional parameter, the …

Persistent link: https://www.econbiz.de/10014260238