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 employed the threshold dynamic conditional correlation (DCC) generalized autoregressive conditional heteroscedasticity (GARCH) model and the full Baba, Engle, Kraft and Kroner (BEKK) GARCH model to explore the time-varying correlation and dynamic volatility spillover.
163 citations
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TL;DR: In this paper, the authors examined the relationship between UK wholesale gas prices and the Brent oil price over the period 1996-2003 in order to investigate whether oil and gas prices "decoupled" during this period as orthodox gas market liberalisation theory suggests.
158 citations
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TL;DR: The authors investigated the information transmission mechanism by looking at spillover effects and identifying which market is the true price leader in the energy market, and found that substantial spillover effect does exist when both markets are trading simultaneously, although IPE morning prices seem to be considerably affected by the close of the previous day on NYMEX.
156 citations
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TL;DR: The empirical results indicate that the proposed model statistically outperforms all considered benchmark models and similar decomposition–ensemble models with other existing reconstruction methods, since it has higher prediction accuracy and less computational time.
153 citations
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TL;DR: In this article, the authors employed the method introduced by Diebold and Yilmaz (2012) which constructs the spillover index by variance decomposition of the prediction error and revealed the asymmetric spillover effect between two types of markets in return and volatility series.
141 citations