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Research on patterns in the fluctuation of the co-movement between crude oil futures and spot prices: A complex network approach
13 references·4 citing·44 second hop
Research on patterns in the fluctuation of the co-movement between crude oil futures and spot prices: A complex network approach (2014)Research on patterns in the fluctuation o…How does market concern derived from the Internet affect oil prices? (2013)How does market concern deriv…How does oil price volatility affect non-energy commodity markets? (2011)How does oil price volatility…Investigating price clustering in the oil futures market (2010)Investigating price clusterin…Oil prices, speculation, and fundamentals: Interpreting causal relations among spot and futures prices (2009)Oil prices, speculation, and …Jump dynamics with structural breaks for crude oil prices (2009)Jump dynamics with structural…Cointegration between oil spot and future prices of the same and different grades in the presence of structural change (2009)Cointegration between oil spo…Unit root properties of crude oil spot and futures prices (2008)Unit root properties of crude…The dynamics of a nonlinear relationship between crude oil spot and futures prices: A multivariate threshold regression approach (2008)The dynamics of a nonlinear r…Forecasting the price of crude oil via convenience yield predictions (2007)Forecasting the price of crud…Forecasting oil price movements: Exploiting the information in the futures market (2007)Forecasting oil price movemen…Threshold Cointegration (1997)Threshold CointegrationCo-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom (1978)Econometric Modelling of the …Network analysis of comovements among newly-built residential house price indices of seventy Chinese cities (2022)Network analysis of comovemen…Detecting method for crude oil price fluctuation mechanism under different periodic time series (2017)Detecting method for crude oi…Fluctuation behavior analysis of international crude oil and gasoline price based on complex network perspective (2016)Fluctuation behavior analysis…Speculative trading and WTI crude oil futures price movement: An empirical analysis (2013)Speculative trading and WTI c…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Multiple Trend Breaks and the Unit-Root Hypothesis (1997)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)Crude oil market efficiency and modeling: Insights from the multiscaling autocorrelation pattern (2010)How do OPEC news and structural breaks impact returns and volatility in crude oil markets? Further evidence from a long memory process (2013)Forecasting the WTI crude oil price by a hybrid-refined method (2018)Statistical analysis of cointegration vectors (1988)Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors (1999)Revisiting the relationship between spot and futures oil prices: Evidence from quantile cointegrating regression (2011)Linear and non-linear Granger causality between oil spot and futures prices: A wavelet based test (2014)The relationship between spot and futures oil prices: Do structural breaks matter? (2014)Income, Saving and the Theory of Consumer Behavior. (1950)Some properties of time series data and their use in econometric model specification (1981)Testing for Common Trends (1988)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Dynamic spillovers among major energy and cereal commodity prices (2014)Oil price shocks and agricultural commodity prices (2014)Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model (2018)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)The role of market fundamentals and speculation in recent price changes for crude oil (2010)What has driven oil prices since 2000? A structural change perspective (2011)Investor sentiment and the price of oil (2017)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach (2010)Efficiency of crude oil markets: Evidences from informational entropy analysis (2011)The impact of oil price shocks on stock market activities: Asymmetric effect with quantile regression (2011)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Response pattern of stock returns to international oil price shocks: From the perspective of China’s oil industrial chain (2016)Oil market volatility and stock market volatility (2018)Geopolitical risks and the predictability of regional oil returns and volatility (2019)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Time‐Varying Spot and Futures Oil Price Dynamics (2013)Economic spillovers between related derivatives markets: The case of commodity and freight markets (2014)Forecasting the real prices of crude oil using robust regression models with regularization constraints (2020)Bounds testing approaches to the analysis of level relationships (2001)Long memory and regime switching (2001)Testing for two-regime threshold cointegration in vector error-correction models (2002)Asymmetric Price Transmission: A Survey (2004)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1978Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom1,629 cited
  • 1997Threshold Cointegration1,042 cited
  • 2011How does oil price volatility affect non-energy commodity markets?330 cited
  • 2009Oil prices, speculation, and fundamentals: Interpreting causal relations among spot and futures prices323 cited
  • 2008Unit root properties of crude oil spot and futures prices133 cited
  • 2013How does market concern derived from the Internet affect oil prices?107 cited
  • 2009Cointegration between oil spot and future prices of the same and different grades in the presence of structural change103 cited
  • 2007Forecasting oil price movements: Exploiting the information in the futures market101 cited
  • 2009Jump dynamics with structural breaks for crude oil prices98 cited
  • 2008The dynamics of a nonlinear relationship between crude oil spot and futures prices: A multivariate threshold regression approach88 cited
  • 2007Forecasting the price of crude oil via convenience yield predictions72 cited
  • 2010Investigating price clustering in the oil futures market37 cited

Cited by

  • 2022Network analysis of comovements among newly-built residential house price indices of seventy Chinese cities

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81 cited
  • 2013Speculative trading and WTI crude oil futures price movement: An empirical analysis81 cited
  • 2016Fluctuation behavior analysis of international crude oil and gasoline price based on complex network perspective79 cited
  • 2017Detecting method for crude oil price fluctuation mechanism under different periodic time series73 cited