Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting
Author:
Funder
Chinese National Funding of Social Sciences
National Natural Science Foundation of China
Publisher
Elsevier BV
Subject
General Energy,Economics and Econometrics
Reference94 articles.
1. The theory of storage in the crude oil futures market, the role of financial conditions;Ahmadi;J. Futur. Mark.,2020
2. COVID-19 and the United States financial markets’ volatility;Albulescu;Financ. Res. Lett.,2021
3. “Asian premium” or “North Atlantic discount”: does geographical diversification in oil trade always impose costs?;AlKathiri;Energy Econ.,2017
4. MIDAS volatility forecast performance under market stress: evidence from emerging stock markets;Alper;Econ. Lett.,2012
5. Examining the predictive information of CBOE OVX on China’s oil futures volatility: Evidence from MS-MIDAS models;Alper;Econ. Lett.,2020
Cited by 94 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Geopolitical Risk and China’s Crude Oil Futures: An Empirical Study Based on the Cross-Quantilogram Approach;Emerging Markets Finance and Trade;2024-09-05
2. Modelling the Chinese crude oil futures returns through a skew‐geometric Brownian motion correlated with the market volatility index process for pricing financial options;Applied Stochastic Models in Business and Industry;2024-08-06
3. Mapping the landscape of energy markets research: A bibliometric analysis and predictive assessment using machine learning;Energy Economics;2024-08
4. Chinese Crude Oil Futures and Sectoral Stocks: Copula-Based Dependence Structure and Connectedness;Studies in Nonlinear Dynamics & Econometrics;2024-07-24
5. Assessing trade supply chain vulnerability and trade participation of SMEs in India: insights from a comprehensive analysis;International Journal of Productivity and Performance Management;2024-07-24
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3