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  • Search: subject:"Spot and futures"
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Year of publication
Subject
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Volatility 9 Volatilität 9 spot and futures prices 8 Commodity derivative 7 Rohstoffderivat 7 ARCH model 6 ARCH-Modell 6 Spillover effect 5 Spillover-Effekt 5 Spot and futures prices 5 Spot market 5 Spotmarkt 5 Ölpreis 5 Econometric Models 4 Forecasting 4 Futures 4 Kointegration 4 Oil Price 4 Oil market 4 Oil price 4 USA 4 United States 4 co-volatility spillovers 4 financial and energy sectors 4 generated regressors 4 Ölmarkt 4 Brent oil prices 3 Cointegration 3 Commodity Markets 3 Constant conditional correlations 3 Convenience Yields 3 Derivat 3 Derivative 3 Diagonal BEKK 3 Dynamic conditional correlations 3 Erdöl 3 Granger causality 3 Kapitaleinkommen 3 Multivariate GARCH models 3 Multivariate cointegration 3
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Online availability
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Free 41
Type of publication
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Book / Working Paper 29 Article 11 Other 1
Type of publication (narrower categories)
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Working Paper 11 Arbeitspapier 5 Article in journal 5 Aufsatz in Zeitschrift 5 Graue Literatur 5 Non-commercial literature 5 Article 1 Audio- / visual Ressource 1
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Language
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English 23 Undetermined 18
Author
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Manera, Matteo 7 McAleer, Michael 6 Chang, Chia-Lin 5 Markandya, Anil 4 Scarpa, Elisa 4 Wang, Chien-Hsun 4 Weron, Rafal 4 Giovannini, Massimo 3 Grasso, Margherita 3 Lanza, Alessandro 3 Trück, Stefan 3 Bastianin, Andrea 2 Cavaliere, Giuseppe 2 Chen, Chung-Hsuan 2 Chen, Wei 2 Cifarelli, Giulio 2 Härdle, Wolfgang 2 Longo, Chiara 2 Nielsen, Morten Ørregaard 2 Paladino, Giovanna 2 Taylor, A.M. Robert 2 Vollmer, Teresa 2 Zuo, Guangdong 2 Akal, Mustafa 1 Alaoui, Abdelkader O. el 1 Antonakakis, Nikolaos 1 Asutay, Mehmet 1 Beckmann, Joscha 1 Benbachir, Saâd 1 Birgili, Erhan 1 Borak, Szymon 1 Breman, Carlotta 1 Chang, Chia-ling 1 Cheung, Yin-Wong 1 Christofidou, Georgia 1 Cramon-Taubadel, Stephan von 1 Czudaj, Robert 1 Dergiades, Theologos 1 Durmuskaya, Sedat 1 Elsayed, Ahmed 1
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Institution
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Fondazione ENI Enrico Mattei (FEEM) 3 Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 3 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Department of Econometrics and Business Statistics, Monash Business School 1 Department of Economics, University of Birmingham 1 Dipartimento di Scienze Economiche e Sociali, Facoltà di Economia "Giorgio Fuà" 1 Dipartimento di Scienze per l'Economia e l'Impresa, Università degli Studi di Firenze 1 Economics Department, Queen's University 1 Institut für Future Energy Consumer Needs and Behavior (FCN), E.ON Energy Research Center 1 School of Economics and Management, University of Aarhus 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1
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Published in...
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HSC Research Reports 3 Nota di Lavoro 3 Working Papers / Fondazione ENI Enrico Mattei (FEEM) 3 Discussion paper / Tinbergen Institute 2 MPRA Paper 2 Tinbergen Institute Discussion Paper 2 Acta Universitatis Danubius. OEconomica 1 Business and Economics Research Journal 1 CREATES Research Papers 1 Discussion Papers / Department of Economics, University of Birmingham 1 Discussion papers / Department of Economics, The University of Birmingham 1 Diskussionsbeitrag 1 Diskussionspapiere / Department für Agrarökonomie und Rurale Entwicklung / Department für Agrarökonomie und Rurale Entwicklung : Diskussionsbeitrag 1 Economics Bulletin 1 FCN Working Papers 1 International Journal of Energy Economics and Policy 1 International Journal of Energy Economics and Policy : IJEEP 1 International Journal of Financial Studies 1 International Journal of Financial Studies : open access journal 1 International journal of economics and financial issues : IJEFI 1 International journal of political economy : a journal of translations 1 Monash Economics Working Papers 1 Multinational Finance Journal 1 Research in international business and finance 1 SFB 649 Discussion Papers 1 Working Papers - Economics 1 Working Papers / Dipartimento di Scienze Economiche e Sociali, Facoltà di Economia "Giorgio Fuà" 1 Working Papers / Economics Department, Queen's University 1 Working paper 1
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Source
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RePEc 21 ECONIS (ZBW) 11 EconStor 7 BASE 2
Showing 1 - 10 of 41
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Volatility spillover across spot and futures markets : evidence from dual financial system
Elsayed, Ahmed; Asutay, Mehmet; Alaoui, Abdelkader O. el; … - In: Research in international business and finance 71 (2024), pp. 1-19
Persistent link: https://www.econbiz.de/10015062170
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Betting on black gold : oil speculation and U.S. inflation : 2020-2022
Breman, Carlotta; Storm, Servaas - In: International journal of political economy : a journal … 52 (2023) 2, pp. 153-180
Persistent link: https://www.econbiz.de/10014330895
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The influence of Brazilian exports on price transmission processes in the coffee sector: A Markov-switching approach
Vollmer, Teresa; von Cramon-Taubadel, Stephan - 2019
processes between spot and futures markets with trade information to study the influence of Brazilian coffee exports on global …
Persistent link: https://www.econbiz.de/10012028538
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The influence of Brazilian exports on price transmission processes in the coffee sector : a Markov-switching approach
Vollmer, Teresa; Cramon-Taubadel, Stephan von - 2019
processes between spot and futures markets with trade information to study the influence of Brazilian coffee exports on global …
Persistent link: https://www.econbiz.de/10012024548
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An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors
Chang, Chia-Lin; McAleer, Michael; Wang, Chien-Hsun - In: International Journal of Financial Studies 6 (2018) 1, pp. 1-24
's subsequent volatility in both spot and futures markets. Financial derivatives, which are not only highly representative of the … underlying indices, but can also be traded on both the spot and futures markets, include Exchange Traded Funds (ETFs), a tradable … financial sectors in both spot and futures markets, by using 'generated regressors' and a multivariate conditional volatility …
Persistent link: https://www.econbiz.de/10011996068
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An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors
Chang, Chia-Lin; McAleer, Michael; Wang, Chien-Hsun - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-24
’s subsequent volatility in both spot and futures markets. Financial derivatives, which are not only highly representative of the … underlying indices, but can also be traded on both the spot and futures markets, include Exchange Traded Funds (ETFs), a tradable … financial sectors in both spot and futures markets, by using “generated regressors” and a multivariate conditional volatility …
Persistent link: https://www.econbiz.de/10011848179
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Price dynamics of crude oil in the short and long term
Benbachir, Saâd; Lembarki, Sihame - In: International journal of economics and financial issues … 8 (2018) 5, pp. 103-114
Persistent link: https://www.econbiz.de/10011979765
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Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA
Chang, Chia-Lin; McAleer, Michael; Zuo, Guangdong - 2017
their connection to fossil fuels, and the possibility of Granger (1980) causality in spot and futures prices, returns and …. For the USA, daily spot and futures prices are available for crude oil and coal, but there are no daily spot or futures … causality and volatility spillovers in spot and futures prices of carbon emissions, crude oil, and coal. A likelihood ratio test …
Persistent link: https://www.econbiz.de/10011819444
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Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA
Chang, Chia-Lin; McAleer, Michael; Zuo, Guangdong - 2017 - Revised: May 2017
their connection to fossil fuels, and the possibility of Granger (1980) causality in spot and futures prices, returns and …. For the USA, daily spot and futures prices are available for crude oil and coal, but there are no daily spot or futures … causality and volatility spillovers in spot and futures prices of carbon emissions, crude oil, and coal. A likelihood ratio test …
Persistent link: https://www.econbiz.de/10011658757
Saved in:
Cover Image
An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors
Chang, Chia-Lin; McAleer, Michael; Wang, Chien-Hsun - 2016
’s subsequent volatility in both spot and futures markets. Financial derivatives, which are not only highly representative of the … underlying indices but can also be traded on both the spot and futures markets, include Exchange Traded Funds (ETFs), which is a … sectors in both spot and futures markets, by using “generated regressors” and a multivariate conditional volatility model …
Persistent link: https://www.econbiz.de/10011526129
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