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Wilmot, Neil A. - In: International Journal of Financial Studies : open … 7 (2019) 2/33, pp. 1-14

Financial times series, and commodity prices in particular, are known to exhibit fat tails in the distribution of prices. As with many natural resources price series, the arrival of new information can lead to unexpectedly rapid changes-or jump-in prices. This suggests that natural resource...

Persistent link: https://www.econbiz.de/10012038566

Jumps in the convenience yield of crude oil

Mason, Charles F.; Wilmot, Neil A. - In: Resource and energy economics 60 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012515262

Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?

Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - In: International review of economics & finance : IREF 59 (2019), pp. 50-70

Persistent link: https://www.econbiz.de/10012202481

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

Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets

Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - In: Energy economics 32 (2010) 6, pp. 1445-1455

Persistent link: https://www.econbiz.de/10008935991

Crude oil hedging strategies using dynamic multivariate GARCH

Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - In: Energy economics 33 (2011) 5, pp. 912-923

Persistent link: https://www.econbiz.de/10009382992

Conditional correlations and volatility spillovers between crude oil and stock index returns

Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - In: The North American journal of economics and finance : a … 25 (2013), pp. 116-138

Persistent link: https://www.econbiz.de/10009777824

Jump processes in the market for crude oil

Wilmot, Neil A.; Mason, Charles F. - In: The energy journal 34 (2013) 1, pp. 33-48

Persistent link: https://www.econbiz.de/10009714590

Modeling dynamic conditional correlations in WTI oil forward and futures returns

Lanza, Alessandro; Manera, Matteo; McAleer, Michael - In: Finance research letters 3 (2006) 2, pp. 114-132

Persistent link: https://www.econbiz.de/10003333927

Forecasting volatility and co-volatility of crude oil and gold futures : effects of leverage, jumps, spillovers, and geopolitical risks

Asai, Manabu; Gupta, Rangan; McAleer, Michael - In: International journal of forecasting 36 (2020) 3, pp. 933-948

Persistent link: https://www.econbiz.de/10012497080