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Brent Crude

About: Brent Crude is a research topic. Over the lifetime, 548 publications have been published within this topic receiving 9879 citations.


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Journal ArticleDOI
TL;DR: In this article, the authors replicated the study of Tabak & Cajueiro (2007) and found that crude oil markets remained efficient (at least with respect to long-range dependence) until the outbreak of the Global Financial Crisis in 2008.

25 citations

Journal ArticleDOI
TL;DR: In this paper, the authors investigated how the six major petroleum futures traded at three global key commodity exchanges are connected, using the novel Quantile VAR spillover approach, and found high degree of return connectedness between these markets, which increases as the size of the return shock increases at the 5th and 95th quantiles relative to the median 50th quantile.

25 citations

Journal ArticleDOI
TL;DR: In this paper, the authors employed a time-varying copulas connection function to assess the risk dependency relationship between ETS and energy prices, and showed that there is an asymmetry dependence change rule between the ETS, oil and gas spot index with the correlation of the lower tail significantly higher than that of the upper tail.

25 citations

Posted Content
TL;DR: In this paper, two alternative approaches were used to shed light on the volatility spillovers between crude oil markets and major stock markets, based on a two-step technique suggested by Cheung and Ng (1996) and a multivariate generalized autoregressive conditional heteroskedasticity (GARCH)-type process.
Abstract: Using two alternative approaches, this paper attempts to shed light on the volatility spillovers between crude oil markets and major stock markets. The first approach is based on the two-step technique suggested by Cheung and Ng (1996), and the second approach is founded on a multivariate generalized autoregressive conditional heteroskedasticity (GARCH)-type process. The empirical investigations were focused on West Texas Intermediate (WTI) and Brent crude oil cash prices and six major stock indexes, covering daily frequency data for the period 1989-2007. The findings indicate that oil price volatility has, in general, a negative impact on stock market behavior. Also, some asymmetry and persistence on oil price volatility have been detected. These results are consistent with those of previous empirical studies and have many practical implications for managing international portfolios and hedging risk on international equity and crude oil markets.

25 citations

Posted Content
TL;DR: In this article, the authors apply the Dynamic Conditional Correlation (DCC) model and Iterative Cumulative Sums of Squares (ICSS) model to investigate the volatility spillover effect between carbon emission market and crude oil market.
Abstract: This paper applies the Dynamic Conditional Correlation (DCC) model and Iterative Cumulative Sums of Squares (ICSS) model to investigate the volatility spillover effect between carbon emission market and crude oil market. In particular, an effective time-varying correlation analysis method, i.e. DCC, is first conducted to capture the dynamic linkage relationship between the two markets. Then, the ICSS method is used to explore the structural changes of such spillover effect and further identify the impacts of the related events on the linkage mechanism. Using the European Union Allowance (EUA) futures price and Brent crude oil futures price as study samples, some interesting findings can be obtained from the empirical study: (a) there exists an obvious positive relationship between the EUA and Brent markets; (b) such dynamic spillover effect varies with time and becomes somewhat smaller in Phase III than Phase II and (c) economic events (e.g., the financial crises) and political changes would structurally change the dynamic linkage mechanism.

25 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
202346
202266
202162
202064
201952
201845