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On volatility transmission from crude oil to agricultural commodities
Kumar, Dilip - In: Theoretical economics letters 7 (2017) 2, pp. 87-101
Persistent link: https://www.econbiz.de/10011660209
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Is efficiency of crude oil market affected by multifractality? : evidence from the WTI crude oil market
Gu, Rongbao; Zhang, Bing - In: Energy economics 53 (2016), pp. 151-158
Persistent link: https://www.econbiz.de/10011660491
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Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility
Baum, Christopher F.; Zerilli, Paola - In: Energy economics 53 (2016), pp. 175-181
Persistent link: https://www.econbiz.de/10011660506
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Modelling futures price volatility in energy markets : is there a role for financial speculation?
Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - In: Energy economics 53 (2016), pp. 220-229
Persistent link: https://www.econbiz.de/10011660521
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Modeling energy price dynamics : GARCH versus stochastic volatility
Chan, Joshua; Grant, Angelia L. - In: Energy economics 54 (2016), pp. 182-189
Persistent link: https://www.econbiz.de/10011662805
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Role of carbon swap trading and energy prices in price correlations and volatilities between carbon markets
Kanamura, Takashi - In: Energy economics 54 (2016), pp. 204-212
Persistent link: https://www.econbiz.de/10011662814
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Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets
Teterin, Pavel; Brooks, Robert; Enders, Walter - In: Journal of empirical finance 38 (2016), pp. 22-36
Persistent link: https://www.econbiz.de/10011663220
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Asymmetric impacts of fundamentals on the natural gas futures volatility : an augmented GARCH approach
Ergen, Ibrahim; Rizvanoghlu, Islam - In: Energy economics 56 (2016), pp. 64-74
Persistent link: https://www.econbiz.de/10011663860
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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
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Carbon future price return, oil future price return and stock index future price return in the U.S.
Wei, Ching Chun; Lin, Ya-Ling - In: International Journal of Energy Economics and Policy : IJEEP 6 (2016) 4, pp. 655-662
Persistent link: https://www.econbiz.de/10011550607