Intraday and overnight tail risks and return predictability in the crude oil market : Evidence from oil-related regular news and extreme shocks
Cheng Wang, Elie Bouri, Yahua Xu, Dingsheng Zhang
| Year of publication: |
2023
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|---|---|
| Authors: | Wang, Cheng ; Bouri, Elie ; Xu, Yahua ; Zhang, Dingsheng |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 127.2023, 2, p. 1-12
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| Subject: | Extreme shocks | Intraday return predictability | Overnight and intraday returns | Regular news releases | Tail risks | Kapitaleinkommen | Capital income | Schock | Shock | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Ankündigungseffekt | Announcement effect | Börsenkurs | Share price | Schätzung | Estimation | ARCH-Modell | ARCH model | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2023.107121 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014489965