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An empirical investigation of volatility of Indian spot and future prices of crude oil
Chhatwal, Hartika; Puri, Himanshu; Purohit, Harsh - In: Metamorphosis : a journal of management research 12 (2013) 2, pp. 54-66
Persistent link: https://www.econbiz.de/10010370462
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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
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Risk premia in crude oil futures prices
Hamilton, James D.; Wu, Jing Cynthia - In: Journal of international money and finance 42 (2014), pp. 9-37
Persistent link: https://www.econbiz.de/10010371842
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The relationship between spot and futures oil prices : do structural breaks matter?
Chen, Pei-fen; Lee, Chien-chiang; Zeng, Jhih-hong - In: Energy economics 43 (2014), pp. 206-217
Persistent link: https://www.econbiz.de/10010504823
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The time-varying and asymmetric dependence between crude oil spot and futures markets : evidence from the mixture copula-based ARJI-GARCH model
Chang, Kuang-liang - In: Economic modelling 29 (2012) 6, pp. 2298-2309
Persistent link: https://www.econbiz.de/10009673749
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The role of financial speculation in the energy future markets : a new time-varying coefficient approach
Li, Haiqi; Kim, Hyung-Gun; Park, Sung Y. - In: Economic modelling 51 (2015), pp. 112-122
Persistent link: https://www.econbiz.de/10011475857
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Price Discovery in Crude Oil Prices
Kim, Cherl-Hyun - 2012
I examine the relative information roles among West Texas Intermediate spot crude price and four futures contracts (F1 through F4) with different maturities. Using a cointegrated system with a non-unitary cointegrating vector, I address price discovery by investigating which price is more...
Persistent link: https://www.econbiz.de/10013114634
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Risk Premia in Crude Oil Futures Prices
Hamilton, James D. - 2013
structure to commodity futures prices, and develop new algorithms for estimation of such models using unbalanced data sets in …
Persistent link: https://www.econbiz.de/10013081835
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The Price of Crude Oil as a Factor for USD Volatility
Zahariev, Andrey - 2017
problem – the crude oil price volatility as a factor with an effect on the USD exchange rate. The analysis focuses on the … proposition that there exists a correlation between the price volatility of the petrol, as a strategic energy commodity and the … assessment of the price volatility of crude oil, as a leading external to the US economy factor that influences the USD exchange …
Persistent link: https://www.econbiz.de/10012963231
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Risk Premia in Crude Oil Futures Prices
Hamilton, James D. - 2013
structure to commodity futures prices, and develop new algorithms for estimation of such models using unbalanced data sets in …
Persistent link: https://www.econbiz.de/10013076590