Return and volatility transmission between China's and international crude oil futures markets: A first look-Reference-Cited by-同舟云学术

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Return and volatility transmission between China's and international crude oil futures markets: A first look

Published:2020-02-13 Issue:6 Volume:40 Page:860-884
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Yang Jian¹^ORCID,Zhou Yinggang²³^ORCID

Affiliation:

1. J.P. Morgan Center for Commodities, The Business SchoolUniversity of Colorado DenverDenver Colorado

2. Center for Macroeconomic Research, Department of Finance, School of Economics (SOE)Xiamen UniversityXiamen China

3. Wang Yanan Institute for Studies in Economics (WISE)Xiamen UniversityXiamen China

Funder

National Natural Science Foundation of China

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22103

Reference34 articles.

1. Real-time price discovery in global stock, bond and foreign exchange markets

2. Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns

3. The Impact of Trades on Daily Volatility

4. Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

5. Crude oil hedging strategies using dynamic multivariate GARCH

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2. High frequency volatility of oil futures in China: Components, modeling, and prediction;Journal of Forecasting;2024-08-02

3. Chinese Crude Oil Futures and Sectoral Stocks: Copula-Based Dependence Structure and Connectedness;Studies in Nonlinear Dynamics & Econometrics;2024-07-24

4. Functional Volatility Relationship Analysis and Prediction in International Crude Oil Futures Markets;Journal of Futures Markets;2024-07-14

5. Connectedness among Chinese climate policy uncertainty, exchange rate, Chinese and international crude oil markets: Insights from time and frequency domain analyses of high order moments;The North American Journal of Economics and Finance;2024-07

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