The time-varying spillover effect between WTI crude oil futures returns and hedge funds-Reference-Cited by-同舟云学术

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The time-varying spillover effect between WTI crude oil futures returns and hedge funds

Published:2019-05 Issue: Volume:61 Page:156-169
ISSN:1059-0560
Container-title:International Review of Economics & Finance
language:en
Short-container-title:International Review of Economics & Finance

Author:

Zhang Yue-Jun^ORCID,Wu Yao-Bin

Funder

National Natural Science Foundation of China

National Program for Support of Top-notch Young Professionals

Changjiang Scholars Program of the Ministry of Education of China

Hunan Youth Talent Program

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference54 articles.

1. A general test for nonlinear granger causality: bivariate model, Working paper;Baek,1992

2. A model of financialization of commodities;Basak;The Journal of Finance,2016

3. Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility;Baum;Energy Economics,2016

4. A test for independence based on the correlation dimension;Brock;Econometric Reviews,1996

5. Do speculators drive crude oil futures prices?;Buyuksahin;Energy Journal,2011

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