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Futures Price Volatility in Commodities Markets : The Role of Short Term vs Long Term Speculation

Manera, Matteo - 2013

This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt …-2010 analyzed at weekly frequency. Using GARCH models we find that speculation significantly affects volatility of returns: short … term speculation has a positive and significant impact on volatility, while long term speculation generally has a negative …

Persistent link: https://www.econbiz.de/10013079017

Futures Price Volatility in Commodities Markets : The Role of Short Term vs Long Term Speculation

Manera, Matteo - 2013

Persistent link: https://www.econbiz.de/10013080741

Is the Global Carbon Market Integrated? Return and Volatility Connectedness in ETS Systems

Lyu, Chenyan; Scholtens, Bert - 2022

, among carbon prices across four jurisdictions – European Union, New Zealand, California, and Hubei (China) ETS. We use … weekly return and volatility data, constructed by the daily prices from four markets, covering the period April 2014 …

Persistent link: https://www.econbiz.de/10013405978

Asymmetric volatility spillovers between oil and stock markets : evidence from China and the United States

Xu, Weiju; Ma, Feng; Wang, Chen; Zhang, Bing - In: Energy economics 80 (2019), pp. 310-320

Persistent link: https://www.econbiz.de/10012173623

How oil price and exchange rate affect stock price in China using Bayesian Quantile_on_Quantile with GARCH approach

Chang, Hao Wen; Chang, Tsangyao - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014247010

Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach

Chen, Jiusheng - In: Journal of risk 25 (2023) 3, pp. 77-127

Persistent link: https://www.econbiz.de/10014283909

Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach

Chen, Jiusheng - In: Journal of risk : JOR 25 (2023) 3, pp. 77-127

Persistent link: https://www.econbiz.de/10014487093

Oil price uncertainty, monetary policy and the macroeconomy: The Canadian perspective

Bashar, Omar H.M.N.; Wadud, I.K.M. Mokhtarul; Ahmed, Ali; … - In: Economic Modelling 35 (2013) C, pp. 249-259

This paper revisits the link between oil price uncertainty and macroeconomy in the context of a net oil exporting country, Canada. Results obtained from alternative Structural VAR models suggest that while shocks to oil price level do not affect the aggregate level of output, the oil price...

Persistent link: https://www.econbiz.de/10010719368

Refining the asymctmetric impacts of oil price uncertainty on Chinese stock returns based on a semiparametric additive quantile regression analysis

Xie, Qichang; Wu, Haifeng; Ma, Yu - In: Energy economics 102 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10013162433

Oil price uncertainty and stock price crash risk : evidence from China

Xiao, Jihong; Chen, Xian; Li, Yang; Wen, Fenghua - In: Energy economics 112 (2022), pp. 1-12

Persistent link: https://www.econbiz.de/10013350788