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The impact of unsystematic risk on stock returns in an Emerging Capital Markets (ECM's) country : an empirical study
Masry, Mohamed; El Menshawy, Heba - In: International journal of financial research 9 (2018) 1, pp. 189-202
Persistent link: https://www.econbiz.de/10012236308
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Using econometric models to manage the price risk of cocoa beans : a case from India
Kumar, Kepulaje Abhaya; Spulbăr, Cristi; Pinto, Prakash; … - In: Risks : open access journal 10 (2022) 6, pp. 1-18
ARIMA (Autoregressive Integrated Moving Average) and VAR (Vector Auto Regressive). The monthly price of Cocoa beans is … series. The multivariate VAR (1) model found that the US and London Cocoa futures prices traded on the ICE platform will …
Persistent link: https://www.econbiz.de/10013363126
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Invariance in buy-sell switching points
Bae, Kyoung-hun; Bondarenko, Oleg; Lee, Eun Jung; … - 2020
Persistent link: https://www.econbiz.de/10012494223
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Volatility returns with vengeance : financial markets vs. commodities
Aboura, Sofiane; Chevallier, Julien - In: Research in international business and finance 33 (2015), pp. 334-354
Persistent link: https://www.econbiz.de/10011325853
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The relationship between Asian equity and commodity futures markets
Thuraisamy, Kannan S.; Sharma, Susan Sunila; Ali Ahmed, … - In: Journal of Asian economics 28 (2013), pp. 67-75
Persistent link: https://www.econbiz.de/10010400865
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Predicting financial volatility : high-frequency time-series forecasts vis-à-Vis implied volatility
Martens, Martin; Zein, Jason - In: The journal of futures markets 24 (2004) 11, pp. 1005-1028
Persistent link: https://www.econbiz.de/10002248611
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The dynamic volatility connectedness structure of energy futures and global financial markets : evidence from a novel time-frequency domain approach
Bagheri, Ehsan; Ebrahimi, Seyed Babak; Mohammadi, Arman; … - In: Computational economics 59 (2022) 3, pp. 1087-1111
Persistent link: https://www.econbiz.de/10013169223
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Forecasting Oil Futures Market Volatility in a Financialized World : Why Speculative Activities Matter
Chan, Kam C. - 2018
-term forecasts accordingly. By incorporating trading volume and opening interest (speculative ratio) into the volatility dynamics, we …We analyze the relation between volatility and speculative activities in the crude oil futures market and provide short … document the subtle interaction between the two measures of which the volatility-averse behavior of speculative activities …
Persistent link: https://www.econbiz.de/10012908948
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Oil volatility spillover into oil dependent equity-sector stock returns : evidence from major oil producing countries
Bhuyan, Rafiqul; Robbani, Mohammad; Talukder, Bakhtear - In: Bulletin of applied economics 8 (2022) 1, pp. 149-165
Persistent link: https://www.econbiz.de/10013271050
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Financialisation of commodities : empirical evidence from the Indian financial market
Shamsher, Salim - In: IIMB management review 33 (2021) 1, pp. 38-49
Persistent link: https://www.econbiz.de/10013205184