An empirical analysis of the volume-volatility nexus in crude oil markets under structural breaks: Implications for forecasting-Reference-Cited by-同舟云学术

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An empirical analysis of the volume-volatility nexus in crude oil markets under structural breaks: Implications for forecasting

Published:2024-07 Issue: Volume:94 Page:103434
ISSN:1059-0560
Container-title:International Review of Economics & Finance
language:en
Short-container-title:International Review of Economics & Finance

Author:

Patra Saswat^ORCID

Publisher

Elsevier BV

Reference63 articles.

1. Trading volume and return relationship in the crude oil futures markets;Abdullahi;Studies in Economics and Finance,2014

2. Return volatility and trading volume. An information flow interpretation of stochastic volatility;Andersen;The Journal of Finance,1996

3. Estimating and testing linear models with multiple structural changes;Bai;Econometrica,2003

4. Liquidity, surprise volume and return premia in the oil market;Batten;Energy Economics,2019

5. Causality in variance and the type of traders in crude oil futures;Bhar;Energy Economics,2005

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