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Modelling futures price volatility in energy markets: Is there a role for financial speculation?
16 references·2 citing·41 second hop
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 2008Understanding Crude Oil Prices1,270 cited
  • 1954Essays in Positive Economics1,215 cited
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  • 2008Carry Trades and Currency Crashes792 cited
  • 2008Carry Trades and Currency Crashes654 cited
  • 2013Speculators, commodities and cross-market linkages617 cited
  • 2013On the links between stock and commodity markets' volatility559 cited
  • 2011Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis550 cited
  • 2006Modeling and forecasting petroleum futures volatility479 cited
  • 2000Hedging Pressure Effects in Futures Markets478 cited
  • 1987Informational Externalities and Welfare-Reducing Speculation433 cited
  • 2009Carbon futures and macroeconomic risk factors: A view from the EU ETS410 cited
  • 2004Volatility and commodity price dynamics

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Cited by

  • 2017Turbulent times: Uncovering the origins of US natural gas price fluctuations since deregulation76 cited
  • 2017Volatility forecasting using high frequency data: The role of after-hours information and leverage effects31 cited