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The State Price Density Implied by Crude Oil Futures and Option Prices

Christoffersen, Peter F. - 2020

Both large oil price increases and decreases are associated with deteriorating economic conditions. Consistent with this stylized fact, we find that the projection of the state price density (SPD) on oil returns estimated from oil futures and option prices displays a U-shaped pattern. Because...

Persistent link: https://www.econbiz.de/10012857335

Crude oil moments and PNG stock returns

Chatrath, Arjun; Miao, Hong; Ramchander, Sanjay - In: Energy economics 44 (2014), pp. 222-235

Persistent link: https://www.econbiz.de/10010457220

Modeling dynamic higher moments of crude oil futures

Huang, Zhuo; Liang, Fang; Wang, Tianyi; Li, Chao - In: Finance research letters 39 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10012805140

Predictability of crude oil prices : an investor perspective

Liu, Li; Wang, Yudong; Yang, Li - In: Energy economics 75 (2018), pp. 193-205

Persistent link: https://www.econbiz.de/10011974002

Extreme co-movements between infectious disease events and crude oil futures prices : from extreme value analysis perspective

Lin, Hang; Zhang, Zhengjun - In: Energy economics 110 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013349928

Does crude oil futures price really help to predict spot oil price? : new evidence from density forecasting

Bai, Lan; Li, Xiafei; Wei, Yu; Wei, Guiwu - In: International journal of finance & economics : IJFE 27 (2022) 3, pp. 3694-3712

Persistent link: https://www.econbiz.de/10013330741

The oil industry's response to new avenues in futures trading

Hunsader, Kenneth J.; Dickens, Ross N. - In: Applied financial economics 21 (2011) 4/6, pp. 401-413

Persistent link: https://www.econbiz.de/10009124542

The price-volume relationship in the crude oil futures market : some results based on linear and nonlinear causality testing

Moosa, Imad A.; Silvapulle, Paramsothy - In: International review of economics & finance : IREF 9 (2000) 1, pp. 11-30

Persistent link: https://www.econbiz.de/10001481115

Essays in corporate bonds and futures markets

Taksler, Glen Barry - 2002

Persistent link: https://www.econbiz.de/10001717890

Examining asymmetric behavior in US petroleum futures and spot prices

Ewing, Bradley T.; Hammoudeh, Shawkat M.; Thompson, Mark A. - In: The energy journal 27 (2006) 3, pp. 9-23

Persistent link: https://www.econbiz.de/10003347270

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