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Realized volatility spillovers between US spot and futures during ECB news : evidence from the European sovereign debt crisis

Gillas, Konstantinos Gkillas; Konstantatos, Christoforos; … - In: International review of financial analysis 74 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10012803941

Impact of COVID-19 on the dependence structure of WTI crude oil spot and future price

Lee, Wo-Chiang; Lee, Jhuo-Ying - In: The empirical economics letters : a monthly … 19 (2020) 11, pp. 1299-1312

Persistent link: https://www.econbiz.de/10012599720

Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models : evidence from the first commitment period (2008-2012)

Zeitlberger, Alexander C. M.; Brauneis, Alexander - In: Central European journal of operations research : CEJOR … 24 (2016) 1, pp. 149-176

Persistent link: https://www.econbiz.de/10011665786

Forecasting volatility returns of oil price using gene expression programming approach

Amo Baffour, Alexander; Jingchun, Feng; Fan, Liwei; … - In: Journal of time series econometrics 11 (2019) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10012022879

Do VaR exceptions have seasonality? : an empirical study on Indian commodity spot prices

Gupta, Apoorv; Rajib, Prabina - In: IIMB management review 30 (2018) 4, pp. 369-384

Persistent link: https://www.econbiz.de/10012042010

Return and volatility spillover effects in agricultural commodity markets

Bernhardt, Matthias - 2017

This paper provides insights into agricultural commodity markets in terms of return and volatility spillover effects … risk in spot return’s volatility and spot returns itself, respectively. During the study the VAR(1)-GARCH-ABEKK(1,1)-in … of return and volatility linkages between agricultural commodities. Based on the model results optimal dynamic portfolio …

Persistent link: https://www.econbiz.de/10011761782

Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA

Chang, Chia-Lin; McAleer, Michael; Zuo, Guangdong - 2017 - Revised: May 2017

elsewhere is from burning fossil fuels for electricity, heat, and transportation. The price of fuel influences carbon emissions …, but the price of carbon emissions can also influence the price of fuel. Owing to the importance of carbon emissions and … volatility of carbon emissions, it is not surprising that crude oil and coal have recently become a very important research topic …

Persistent link: https://www.econbiz.de/10011658757

Volatility spillovers for spot, futures, and ETF prices in agriculture and energy

Chang, Chia-Lin; Liu, Chia-Ping; McAleer, Michael - In: Energy economics 81 (2019), pp. 779-792

Persistent link: https://www.econbiz.de/10012172983

Predicting the return on the spot price of crude oil out-of-sample by conditioning on news-based uncertainty measures : some new empirical results

Nonejad, Nima - In: Energy economics 104 (2021), pp. 1-29

Persistent link: https://www.econbiz.de/10013364254

New empirical evidence in support of the theory of price volatility of storable commodities under rational expectations in spot and futures markets

Goetz, Cole; Miljkovic, Dragan; Barabanov, Nikita - In: Energy economics 100 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012990234