New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries
Sign Up to like & getrecommendations! Published in 2018 at "Applied Energy"
DOI: 10.1016/j.apenergy.2018.08.008
Abstract: This paper examines the return transmission, volatility spillovers, dynamic correlations, and financial risks among oil futures and oil and gas sector equity returns of the US, Canada, Australia, and Russia by applying our new vector… read more here.
Keywords: oil futures; oil equities; futures oil; oil ... See more keywords
Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approaches
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DOI: 10.1016/j.eneco.2019.05.018
Abstract: Abstract This paper aims to use both the standard and iterated combination approaches to accurately predict the oil futures market volatility. We further make a comprehensive comparison of the out-of-sample forecasting performance between the two… read more here.
Keywords: futures market; combination; combination approaches; volatility ... See more keywords
Which risk factors drive oil futures price curves?
Sign Up to like & getrecommendations! Published in 2020 at "Energy Economics"
DOI: 10.1016/j.eneco.2020.104676
Abstract: We develop extensions that introduce regression structure to the multi-factor stochastic models of commodity futures price term structure dynamics. We demonstrate the accuracy with which these models can be calibrated to oil futures data and… read more here.
Keywords: factors drive; oil futures; risk factors; futures price ... See more keywords
On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks
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DOI: 10.1016/j.eneco.2020.104781
Abstract: We introduce Infinite Hidden Markov (IHM) models to forecasting realized volatilities of crude oil futures markets with exogenous factors. With these IHM models, we lift the restriction of a pre-defined number of regimes and allow… read more here.
Keywords: oil futures; structural breaks; futures markets; crude oil ... See more keywords
Dynamic jump intensities and news arrival in oil futures markets
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DOI: 10.1057/s41260-020-00168-z
Abstract: We introduce a new class of discrete-time models that explicitly recognize the impact of news arrival. The distribution of returns is governed by three factors: dynamics volatility and two Poisson compound processes, one for negative… read more here.
Keywords: oil futures; news; news arrival; positive news ... See more keywords
Correlation between Shanghai crude oil futures, stock, foreign exchange, and gold markets: a GARCH-vine-copula method
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DOI: 10.1080/00036846.2020.1828566
Abstract: ABSTRACT The relationship between markets has always been a topic of heated debate among scholars from various countries. One of the most important concerns is the need to model the relationships between the crude oil… read more here.
Keywords: oil futures; garch vine; crude oil; oil ... See more keywords