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Modeling the co-movements between crude oil and refined petroleum markets

Tong, Bin; Wu, Chongfeng; Zhou, Chunyang - In: Energy economics 40 (2013), pp. 882-898

Persistent link: https://www.econbiz.de/10010356014

Estimating multi-period value at risk of oil futures prices

Zhou, Chunyang; Qin, Xiao; Diao, Xundi; He, Yingchen - In: Applied economics 48 (2016) 31/33, pp. 2994-3004

Persistent link: https://www.econbiz.de/10011615344

Estimating Multi-Period Value at Risk of Oil Futures Prices

Zhou, Chunyang; Qin, Xiao; Diao, Xundi; He, Yingcheng - 2022

In this study, we estimate the multi-period Value at Risk (VaR) of oil future prices under a generalized autoregressive conditional heteroscedasticity with a skewed-t residuals (GARCH-ST) model, which is developed to account for the stylized facts of oil futures returns, such as serial...

Persistent link: https://www.econbiz.de/10014239626

Are crude oil spot and futures prices cointegrated? : not always!

Wang, Yudong; Wu, Chongfeng - In: Economic modelling 33 (2013), pp. 641-650

Persistent link: https://www.econbiz.de/10010194454

Efficiency of crude oil futures markets : new evidence from multifractal detrending moving average analysis

Wang, Yudong; Wu, Chongfeng - In: Computational economics 42 (2013) 4, pp. 393-414

Persistent link: https://www.econbiz.de/10010249882

What the investors need to know about forecasting oil futures return volatility

Wang, Yudong; Liu, Li; Ma, Feng; Wu, Chongfeng - In: Energy economics 57 (2016), pp. 128-139

Persistent link: https://www.econbiz.de/10011698302

Oil and the short-term predictability of stock return volatility

Wang, Yudong; Wei, Yu; Wu, Chongfeng; Yin, Libo - In: Journal of empirical finance 47 (2018), pp. 90-104

Persistent link: https://www.econbiz.de/10012103481