Journal ArticleDOI
Are Chinese crude oil futures good hedging tools
Jie Li,Lixin Huang,Ping Li +2 more
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TLDR
Wang et al. as discussed by the authors investigated dynamic correlations between Chinese crude oil futures and spot prices of its two main underlying assets, OPEC and Oman, as well as the hedging effectiveness.About:
This article is published in Finance Research Letters.The article was published on 2021-01-01. It has received 33 citations till now. The article focuses on the topics: Brent Crude & Futures contract.read more
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Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting
Min Liu,Chien-Chiang Lee +1 more
TL;DR: In this paper, the authors make use of Markov switching analysis to uncover the regime switching of the Shanghai International Energy Exchange (INE) crude oil futures market and investigate the dynamic connectedness of INE, WTI, and Brent crude oil prices.
Journal ArticleDOI
Extreme risk spillover between chinese and global crude oil futures.
TL;DR: The dynamic results indicate that the risk spillover between Chinese and international crude oil futures presents obvious time-varying characteristics and has risen sharply since the beginning of 2020, induced by the COVID-19 pandemic.
Journal ArticleDOI
Global financial uncertainties and China’s crude oil futures market: Evidence from interday and intraday price dynamics
TL;DR: Wang et al. as mentioned in this paper investigated the impacts of five global financial market uncertainties on the interday and intraday price dynamics of newly launched China's crude oil futures, using both conventional causality tests and a novel nonparametric causality-in-quantiles test.
Journal ArticleDOI
Is gold a long-run hedge, diversifier, or safe haven for oil? Empirical evidence based on DCC-MIDAS
Min Liu,Chien-Chiang Lee +1 more
TL;DR: In this article , the long-run gold-oil dynamic correlation using the DCC-MIDAS approach was analyzed and it was shown that gold is a safe haven for oil market participants under economic uncertainty in the long run.
Journal ArticleDOI
Investigating the nexuses between transportation Infrastructure, renewable energy Sources, and economic Growth: Striving towards sustainable development
Zhang Yu,Ibrahim Lanre Ridwan,Ateeq ur Rehman Irshad,Muhammad Tanveer,Syed Abdul Rehman Khan +4 more
TL;DR: In this article , the authors investigated the tripartite effects of transportation infrastructure, economic growth, and renewable energy on crude oil imports in China and India, and concluded that other explanatory variables contribute to crude oil dependence, asides from renewable energy.
References
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Journal ArticleDOI
Conditional heteroskedasticity in asset returns: a new approach
TL;DR: In this article, an exponential ARCH model is proposed to study volatility changes and the risk premium on the CRSP Value-Weighted Market Index from 1962 to 1987, which is an improvement over the widely-used GARCH model.
Journal ArticleDOI
GO‐GARCH: a multivariate generalized orthogonal GARCH model
TL;DR: In this article, a new type of multivariate GARCH model is proposed, in which potentially large covariance matrices can be parameterized with a fairly large degree of freedom while estimation of the parameters remains feasible.
Journal ArticleDOI
Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH ☆
TL;DR: In this paper, a rolling window analysis is used to construct out-of-sample one-step-ahead forecasts of dynamic conditional correlations and optimal hedge ratios for emerging market stock prices.
Journal ArticleDOI
The relationship between crude oil spot and futures prices: cointegration, linear and nonlinear causality
Stelios Bekiros,Cees Diks +1 more
TL;DR: The authors investigated the linear and nonlinear causal linkages between daily spot and futures prices for maturities of one, two, three and four months of West Texas Intermediate (WTI) crude oil.
Posted Content
Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH
Syed Abul Basher,Sadorsky Perry +1 more
TL;DR: In this paper, a rolling window analysis is used to construct out-of-sample onestep-ahead forecasts of dynamic conditional correlations and optimal hedge ratios for emerging market stock prices.
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