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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.


Papers
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Journal ArticleDOI
TL;DR: In this article, the authors used generalized error distribution (GED) and kernel-based test to detect extreme risk spillover effect between the two oil markets, and found that the GED-GARCH-based approach appears more effective than the well-recognized HSAF (i.e. historical simulation with ARMA forecasts).

198 citations

Journal ArticleDOI
TL;DR: Gold and oil markets have been inefficient, particularly during the COVID-19 outbreak, and it is found that gold (oil) is more inefficient during upward (downward) trends.

189 citations

Journal ArticleDOI
TL;DR: In this paper, the short-run bilateral causal relationships among Gulf Cooperation Council (GCC) weekly equity index returns are limited and mostly unidirectional within the vector-error correction (VEC) model, and the impulse response analysis suggests that the S&P 500 shocks have positive dynamic impacts on all GCC markets over a 20-week forecast horizon.

182 citations

Journal ArticleDOI
TL;DR: In this paper, the authors investigated the influence of fat-tailed innovation process on the performance of one-day-ahead VaR estimates using three GARCH models (GARCH-N, GARCH-t and GARCH -HT).

175 citations

Journal ArticleDOI
Suk Joon Byun1, Hangjun Cho1
TL;DR: In this article, the authors examined the volatility forecasting abilities of three approaches: GARCH-type model that uses carbon futures prices, an implied volatility from carbon options prices, and the k-nearest neighbor model.

174 citations


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