Topic
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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TL;DR: In this article, the authors analyzed the transaction duration of London's International Petroleum Exchange (IPE) and New York's Mercantile Exchange (NYMEX) when both of them are open and when only London is open.
21 citations
01 Jan 2021
TL;DR: In this article, the authors used daily data to model the dynamic impact of the COVID 19 pandemic on the first affected countries' stock market indices and the global commodity markets.
Abstract: The COVID 19 pandemic has had wide-ranging and severe effects on global economies. Stock markets as usual were the first to react, with drop rates as much as the global financial crises of 2008. This study uses daily data to model the dynamic impact of the COVID 19 pandemic on the first affected countries’ stock market indices and the global commodity markets. The panel least squares Vector Auto-Regressive (VAR) estimation results confirm the negative short-termed impact of the virus spread rate on the returns of the stock market indices. The spread rate is also significant to explain changes related to the prices of platinum, silver, West Texas Intermediate (WTI), and Brent crude oil.
21 citations
TL;DR: In this article , the authors examined the flight-to-safety phenomenon from the Russian ruble to other safe-haven assets at the onset of the Russian invasion of Ukraine on 24 February 2022.
21 citations
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TL;DR: In this paper, the authors explore the links between Brent crude oil index and stock markets index in OECD countries by employing a multivariate fractionally integrated asymmetric, power ARCH model with dynamic corrected conditional correlations of Engle (1982) M-FIAPARCH-c-DCCE with a Student-t distribution.
Abstract: This paper aims to explore the links between Brent crude oil index and stock markets index in OECD countries. We estimate time-varying conditional correlation relationships among these variables by employing a Multivariate Fractionally Integrated Asymmetric, Power ARCH model with dynamic corrected conditional correlations of Engle (1982) M-FIAPARCH-c-DCCE with a Student-t distribution. This process detects eventual volatility spillovers, asymmetries and persistence, which are typically observed in stock markets and oil prices. Our sample consists of monthly frequency stock indexes and oil price, covering 17 OECD countries for the period January, 1990- September, 2012. We find that at the beginning of our sample, oil has offered diversification opportunities with respect to the stock market, but this trend has been reversed in the last decade. We regroup the countries sample in 5 groups which present quite similar patterns of dynamic correlation between oil and their stock market and corroborate our geographical clustering by multivariate correlations among stock markets.
21 citations
TL;DR: In this paper , a dynamic grey time-delay forecasting model of energy prices is selected based on the differential information of the differential equation and difference equation and the principle of data reduction.
20 citations