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A dynamic conditional regime-switching GARCH CAPM for energy and financial markets
Urom, Christian; Chevallier, Julien; Zhu, Bangzhu - In: Energy economics 85 (2020), pp. 1-45
Persistent link: https://www.econbiz.de/10012510103
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Crude oil price fluctuations and Saudi Arabia's behaviour
De Santis, Roberto A. - In: Energy economics 25 (2003) 2, pp. 155-173
Persistent link: https://www.econbiz.de/10001756358
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Estimating oil price 'Value at Risk' using the historical simulation approach
Cabedo, J. David; Moya, Ismael - In: Energy economics 25 (2003) 3, pp. 239-253
Persistent link: https://www.econbiz.de/10001764805
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New empirical evidence in support of the theory of price volatility of storable commodities under rational expectations in spot and futures markets
Goetz, Cole; Miljkovic, Dragan; Barabanov, Nikita - In: Energy economics 100 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012990234
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Stochastic ordering of systemic risk in commodity markets
Morelli, Giacomo - In: Energy economics 117 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014437140
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Variance dynamics and term structure of the natural gas market
Shao, Chengwu; Bhar, Ramaprasad; Colwell, David B.; … - In: Energy economics 137 (2024), pp. 1-10
Persistent link: https://www.econbiz.de/10015181844
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Asymmetric effects of oil price shocks on EUR/USD exchange rate and structural shock decomposition in a BVAR model with sign restriction
Bruna, Karel; Quang Van Tran - In: Energy economics 128 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10015066551
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Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli; Kang, Jian; Teräsvirta, Timo; Zhang, Shuhua - In: Energy economics 97 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012821325
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Modeling global and local dependence in a pair of commodity forward curves with an application to the US natural gas and heating oil markets
Ohana, Steve - In: Energy economics 32 (2010) 2, pp. 373-388
Persistent link: https://www.econbiz.de/10003954625
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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