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Macroeconomic impacts of oil prices and underlying financial

Chen, Wang; Hamori, Shigeyuki; Kinkyō, Takuji - In: Journal of international financial markets, … 29 (2014), pp. 1-12

Persistent link: https://www.econbiz.de/10010411554

Is there a structural change in the persistence of WTI-Brent oil price spreads in the post-2010 period?

Chen, Wei; Huang, Zhuo; Yi, Yanping - In: Economic modelling 50 (2015), pp. 64-71

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Time-frequency connectedness of crude oil, economic policy uncertainty and Chinese commodity markets : evidence from rolling window analysis

Zhu, Huiming; Chen, Weiyan; Hau, Liya; Chen, Qitong - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012822243

Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate

Peng, Wei; Hu, Shichao; Chen, Wang; Zeng, Yu-feng; Yang, Lu - In: International review of economics & finance : IREF 59 (2019), pp. 137-149

Persistent link: https://www.econbiz.de/10012202498

Revealing dynamic intrinsic temporal and spatial scale characteristics of oil price volatility in bubble and non-bubble periods

Chen, Weijia; Huang, Shupei; An, Haizhong - In: Finance research letters 55 (2023) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10014473286

Revealing Dynamic Intrinsic Temporal and Spatial Scale Characteristics of Oil Price Volatility in Bubble and Non-Bubble Periods

Chen, Weijia; Huang, Shupei; An, Haizhong - 2023

This paper is to reveal the dynamic characteristics of crude oil price bubble volatility from intrinsic temporal and spatial scales. For this purpose, volatility series is mapped to the dynamic model described by the Langevin equation. And the Backward Sup Augmented Dickey-Fuller is used to...

Persistent link: https://www.econbiz.de/10014256708