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An empirical analysis of the volume-volatility nexus in crude oil markets under structural breaks : implications for forecasting
Patra, Saswat - In: International review of economics & finance : IREF 94 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014583719
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Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management
Aloui, Riadh; Ben Aïssa, Mohamed Safouane; Hammoudeh, … - In: Energy economics 42 (2014), pp. 332-342
Persistent link: https://www.econbiz.de/10010503584
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Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management
Aloui, Riadh; Ben Aïssa, Mohamed Safouane; Hammoudeh, … - 2014
Persistent link: https://www.econbiz.de/10010432170
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Asymmetric volatility spillovers between crude oil and international financial markets
Wang, Xunxiao; Wu, Chongfeng - In: Energy economics 74 (2018), pp. 592-604
Persistent link: https://www.econbiz.de/10011972941
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Do VaR exceptions have seasonality? : an empirical study on Indian commodity spot prices
Gupta, Apoorv; Rajib, Prabina - In: IIMB management review 30 (2018) 4, pp. 369-384
Persistent link: https://www.econbiz.de/10012042010
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Trading activity and Nifty index futures volatility : an empirical analysis
Jena, Sangram Keshari; Dash, Ashutosh - In: Applied financial economics 24 (2014) 16/18, pp. 1167-1176
Persistent link: https://www.econbiz.de/10010418929
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The dark side of trading
Dichev, Ilia D.; Huang, Kelly; Zhou, Dexin - In: Journal of accounting, auditing & finance 29 (2014) 4, pp. 492-518
Persistent link: https://www.econbiz.de/10010425512
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Intraday trading invariancein the E-mini S&P 500 futures market
Andersen, Torben; Bondarenko, Oleg; Kyle, Albert S.; … - 2020
Persistent link: https://www.econbiz.de/10012494219
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Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
Lux, Thomas; Kaizoji, Taisei - 2006
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …
Persistent link: https://www.econbiz.de/10010294979
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Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models
Lux, Thomas; Kaizoji, Taisei - 2004
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …
Persistent link: https://www.econbiz.de/10010295136