Intraday and overnight tail risks and return predictability in the crude oil market: Evidence from oil-related regular news and extreme shocks-Reference-Cited by-同舟云学术

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Intraday and overnight tail risks and return predictability in the crude oil market: Evidence from oil-related regular news and extreme shocks

Published:2023-11 Issue: Volume:127 Page:107121
ISSN:0140-9883
Container-title:Energy Economics
language:en
Short-container-title:Energy Economics

Author:

Wang Cheng,Bouri Elie,Xu Yahua,Zhang Dingsheng

Funder

Central University of Finance and Economics

Publisher

Elsevier BV

Subject

General Energy,Economics and Econometrics

Reference64 articles.

1. Electronic trading and stock market participation in Africa: Does technology induce participation?;Adamolekun;Econ. Lett.,2023

2. Overnight stock returns and realized volatility;Ahoniemi;Int. J. Forecast.,2013

3. Distilling liquidity costs from limit order books;Amaya;J. Bank. Financ.,2018

4. Intraday and interday volatility in the Japanese stock market;Andersen;J. Int. Financ. Mark. Inst. Money,2000

5. Hedging demand and market intraday momentum;Baltussen;J. Financ. Econ.,2021

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