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Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps?

  • Published:2016-06-03 Issue:1 Volume:37 Page:71-89
  • ISSN:0270-7314
  • Container-title:Journal of Futures Markets
  • language:en
  • Short-container-title:

Author:

Chan Kam Fong1,Gray Philip2

Affiliation:

1. Kam Fong Chan is at University of Queensland Business School; The University of Queensland; St Lucia, Queensland, Australia

2. Philip Gray is at Department of Banking and Finance; Monash University; Monash Business School, Melbourne, Victoria, Australia

Publisher

Wiley

Subject

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

Reference44 articles.

1. Oil price dynamics (2002-2006);Askari;Energy Economics,2008

2. Economic news and bond prices: Evidence from the U.S. Treasury market;Balduzzi;Journal of Financial and Quantitative Analysis,2001

3. A model of investor sentiment;Barberis;Journal of Financial Economics,1998

4. Power and bipower variation with stochastic volatility and jumps;Barndorff-Nielsen;Journal of Financial Econometrics,2004

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