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Crude oil market and stock markets during the COVID-19 pandemic : evidence from the US, Japan, and Germany

Zhang, Wenting; Hamori, Shigeyuki - In: International review of financial analysis 74 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012803936

Forecasting crude oil volatility with geopolitical risk : do time-varying switching probabilities play a role?

Wang, Lu; Ma, Feng; Hao, Jianyang; Gao, Xinxin - In: International review of financial analysis 76 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012804675

Understanding cryptocurrency volatility : the role of oil market shocks

Yin, Libo; Nie, Jing; Han, Liyan - In: International review of economics & finance : IREF 72 (2021), pp. 233-253

Persistent link: https://www.econbiz.de/10012671902

Time-varying persistence in real oil prices and its determinant

Kruse, Robinson; Wegener, Christoph - In: Energy economics 85 (2020), pp. 1-10

Persistent link: https://www.econbiz.de/10012510274

Forecasting crude oil price volatility via a HM-EGARCH model

Lin, Yu; Yang, Xiaoming; Li, Fuxing - In: Energy economics 87 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012512591

Economic determinants of oil futures volatility : term structure perspective

Kang, Boda; Nikitopoulos, Christina Sklibosios; … - In: Energy economics 88 (2020), pp. 1-27

Persistent link: https://www.econbiz.de/10012515144

Frequency dynamics of volatility spillovers among crude oil and international stock markets : the role of the interest rate

Wang, Xunxiao - In: Energy economics 91 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012518567

Systemic risk in international stock markets : role of the oil market

Yin, Libo; Feng, Jiabao; Han, Liyan - In: International review of economics & finance : IREF 71 (2021), pp. 592-619

Persistent link: https://www.econbiz.de/10012627999

Revisiting the Role of Economic Uncertainty in Oil Price Fluctuations : Evidence from a New Time-Varying Oil Market Model

Lyu, Yongjian; Yi, Heling; Wei, Yu; Yang, Mo - 2021

In existing literature, economic uncertainty may have positive, negative, or insignificant effect on crude oil prices … conventional assumption on time-invariant market structure. To capture the time-varying market structure, using monthly oil market … data in 2000-2020, we construct a new time-varying parameter oil market model. We confirm that economic uncertainty shocks …

Persistent link: https://www.econbiz.de/10013215305

Do China's macro-financial factors determine the Shanghai crude oil futures market?

Lin, Boqiang; Su, Tong - In: International review of financial analysis 78 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10013254489