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Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - In: International review of economics & finance : IREF 59 (2019), pp. 50-70
Persistent link: https://www.econbiz.de/10012202481
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Time-frequency correlation and risk spillovers between Euramerican mature and Asian emerging crude oil futures markets
Hong, Shuifeng; Luo, Yimin; Li, Mengya; Yang, Duoping - In: The journal of risk finance : JRF 25 (2024) 2, pp. 321-336
Persistent link: https://www.econbiz.de/10014504706
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Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility
Baum, Christopher F.; Zerilli, Paola - 2014
Persistent link: https://www.econbiz.de/10011293875
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Volatility Predictability in Crude Oil Futures : Evidence Based on OVX, GARCH and Stochastic Volatility Models
Zhang, Zheng; Raza, Muhammad Yousaf; Wang, Wenxue; Sui, Lu - 2023
This paper explores the predictive ability of volatility in the crude oil market. A comparison in the CBOE crude oil … volatility index (OVX), GARCH and Stochastic Volatility Models are employed to investigate the forecasting performance. The daily … effect in crude oil, while stochastic volatility models examine the series dependence and heavy-tailed distribution. The …
Persistent link: https://www.econbiz.de/10014353442
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Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets
Teterin, Pavel; Brooks, Robert; Enders, Walter - In: Journal of empirical finance 38 (2016), pp. 22-36
Persistent link: https://www.econbiz.de/10011663220
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Forecasting realized volatility of crude oil futures with equity market uncertainty
Wen, Fenghua; Zhao, Yupei; Zhang, Minzhi; Hu, Chunyang - In: Applied economics 51 (2019) 59, pp. 6411-6427
Persistent link: https://www.econbiz.de/10012197349
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Intraday periodicity and volatility forecasting : evidence from Indian crude oil futures market
Chakrabarti, Binay Bhushan; Rajvanshi, Vivek - In: Journal of emerging market finance 16 (2017) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10011691174
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Effect of crude oil futures trading on spot market volatility : a panel data-based counterfactual prediction analysis
Yao, Xin; Liu, Qiang - In: Emerging markets finance & trade : a journal of the … 53 (2017) 4, pp. 918-931
Persistent link: https://www.econbiz.de/10011764621
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Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence
Wang, Jiqian; Huang, Yisu; Ma, Feng; Chevallier, Julien - In: Energy economics 91 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012518664
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The informational content of inventory announcements : intraday evidence from crude oil futures market
Ye, Shiyu; Karali, Berna - In: Energy economics 59 (2016), pp. 349-364
Persistent link: https://www.econbiz.de/10011699677