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 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
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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
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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
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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
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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