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An analysis of factors affecting price volatility of the US oil market
11 references·16 citing·37 second hop
An analysis of factors affecting price volatility of the US oil market (2002)An analysis of factors affecting price vo…Ben's Guide to U.S. Government for Kids (2001)Ben's Guide to U.S. Governmen…The Impact of Financial Liberalization on Stock Price Volatility in Emerging Markets (2000)The Impact of Financial Liber…The Long-Run Evolution of Energy Prices (1999)The Long-Run Evolution of Ene…The variation of certain speculative prices (1997)The variation of certain spec…Oil price volatility and the macroeconomy (1996)Oil price volatility and the …Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results (1989)Oil and the Macroeconomy When…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…OPEC behavior: a test of alternative hypotheses (1985)OPEC behavior: a test of alte…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Gains to Producers from the Cartelization of Exhaustible Resources (1978)Gains to Producers from the C…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…A novel deep-learning technique for forecasting oil price volatility using historical prices of five precious metals in context of green financing – A comparison of deep learning, machine learning, and statistical models (2023)A novel deep-learning techniq…Maritime resilience during the COVID-19 pandemic: impacts and solutions (2022)Maritime resilience during th…A novel dynamic time-delay grey model of energy prices and its application in crude oil price forecasting (2022)A novel dynamic time-delay gr…A novel crude oil prices forecasting model based on secondary decomposition (2022)A novel crude oil prices fore…Exploring the time and frequency domain connectedness of oil prices and metal prices (2019)Exploring the time and freque…Multi-step-ahead crude oil price forecasting using a hybrid grey wave model (2018)Multi-step-ahead crude oil pr…Multivariate EMD-Based Modeling and Forecasting of Crude Oil Price (2016)Multivariate EMD-Based Modeli…Forecasting spot oil price in a dynamic model averaging framework — Have the determinants changed over time? (2016)Forecasting spot oil price in…Combining high frequency data with non-linear models for forecasting energy market volatility (2016)Combining high frequency data…Artificial intelligence methods for oil price forecasting: a review and evaluation (2015)Artificial intelligence metho…Oil price and financial markets: Multivariate dynamic frequency analysis (2014)Oil price and financial marke…Fundamentals, Derivatives Market Information and Oil Price Volatility (2014)Fundamentals, Derivatives Mar…Forecasting natural gas spot prices with nonlinear modeling using Gamma test analysis (2013)Forecasting natural gas spot …Physical market determinants of the price of crude oil and the market premium (2009)Physical market determinants …Estimating VaR in crude oil market: A novel multi-scale non-linear ensemble approach incorporating wavelet analysis and neural network (2009)Estimating VaR in crude oil m…Long-run prices of primary commodities and oil prices (2001)Long-run prices of primary co…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)Oil and energy price volatility (2006)A new approach for crude oil price analysis based on Empirical Mode Decomposition (2007)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The Economics of Exhaustible Resources (1931)Monopoly and the Rate of Extraction of Exhaustible Resources (1976)Historical Causes of Postwar Oil Shocks and Recessions (1985)Designing tax policy in federalist economies: An overview (1996)Oil and the Macroeconomy since World War II (1983)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)The Economic Effects of Energy Price Shocks (2008)Oil prices, US stock return, and the dependence between their quantiles (2015)Expected stock returns and volatility (1987)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Oil prices, economic activity and inflation: evidence for some Asian countries (2004)Oil Price Uncertainty (2010)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models (2018)Forecasting the WTI crude oil price by a hybrid-refined method (2018)Financialization, fundamentals, and the time-varying determinants of US natural gas prices (2019)Does OPEC Matter? An Econometric Analysis of Oil Prices (2004)Modelling the world oil market: Assessment of a quarterly econometric model (2005)Oil and the Great Moderation (2009)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1989Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results1,557 cited
  • 1996Oil price volatility and the macroeconomy765 cited
  • 1999The Long-Run Evolution of Energy Prices657 cited
  • 1978Gains to Producers from the Cartelization of Exhaustible Resources309 cited
  • 1985OPEC behavior: a test of alternative hypotheses271 cited
  • 2000The Impact of Financial Liberalization on Stock Price Volatility in Emerging Markets82 cited
  • 2001Ben's Guide to U.S. Government for Kids3 cited

Cited by

  • 2016Forecasting spot oil price in a dynamic model averaging framework — Have the determinants changed over time?116 cited
  • 2009Physical market determinants of the price of crude oil and the market premium95 cited
  • 2014Fundamentals, Derivatives Market Information and Oil Price Volatility85 cited
  • 2001

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Long-run prices of primary commodities and oil prices
81 cited
  • 2014Oil price and financial markets: Multivariate dynamic frequency analysis79 cited
  • 2019Exploring the time and frequency domain connectedness of oil prices and metal prices78 cited
  • 2013Forecasting natural gas spot prices with nonlinear modeling using Gamma test analysis64 cited
  • 2023A novel deep-learning technique for forecasting oil price volatility using historical prices of five precious metals in context of green financing – A comparison of deep learning, machine learning, and statistical models57 cited
  • 2016Multivariate EMD-Based Modeling and Forecasting of Crude Oil Price56 cited
  • 2022A novel dynamic time-delay grey model of energy prices and its application in crude oil price forecasting54 cited
  • 2018Multi-step-ahead crude oil price forecasting using a hybrid grey wave model52 cited
  • 2022Maritime resilience during the COVID-19 pandemic: impacts and solutions48 cited
  • 2009Estimating VaR in crude oil market: A novel multi-scale non-linear ensemble approach incorporating wavelet analysis and neural network47 cited
  • 2015Artificial intelligence methods for oil price forecasting: a review and evaluation45 cited
  • 2016Combining high frequency data with non-linear models for forecasting energy market volatility43 cited
  • 2022A novel crude oil prices forecasting model based on secondary decomposition41 cited