SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The time-varying and asymmetric dependence between crude oil spot and futures markets: Evidence from the Mixture copula-based ARJI–GARCH model
16 references·7 citing·46 second hopsampled
The time-varying and asymmetric dependence between crude oil spot and futures markets: Evidence from the Mixture copula-based ARJI–GARCH model (2012)The time-varying and asymmetric dependenc…Jump dynamics and volatility: Oil and the stock markets (2009)Jump dynamics and volatility:…Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models (2008)Volatility in crude oil futur…Optimal dynamic hedging via copula-threshold-GARCH models (2008)Optimal dynamic hedging via c…Estimating ‘Value at Risk’ of crude oil price and its spillover effect using the GED-GARCH approach (2008)Estimating ‘Value at Risk’ of…Dynamic hedging with futures: A copula‐based GARCH model (2008)Dynamic hedging with futures:…A Markov regime switching approach for hedging energy commodities (2008)A Markov regime switching app…Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets (2007)Asymmetric effect of basis on…The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Copula-GARCH model of con…Spot‐futures spread, time‐varying correlation, and hedging with currency futures (2006)Spot‐futures spread, time‐var…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Jumping hedges: An examination of movements in copper spot and futures markets (2005)Jumping hedges: An examinatio…News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns (2004)News Arrival, Jump Dynamics, …Market risk in commodity markets: a VaR approach (2003)Market risk in commodity mark…The surprise element: jumps in interest rates (2002)The surprise element: jumps i…Conditional Jump Dynamics in Stock Market Returns (2002)Conditional Jump Dynamics in …Multivariate GARCH models: a surveyMultivariate GARCH models: a …How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method (2022)How do crude oil futures hedg…Risk spillover effects from global crude oil market to China’s commodity sectors (2020)Risk spillover effects from g…Correlation and risk measurement modeling: A Markov-switching mixed Clayton copula approach (2020)Correlation and risk measurem…Predicting Contagion from the US Financial Crisis to International Stock Markets Using Dynamic Copula with Google Trends (2019)Predicting Contagion from the…Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures (2019)Measuring tail risk with GAS …A Compendium of Copulas (2017)A Compendium of CopulasPrice discovery and asset pricing (2016)Price discovery and asset pri…Option pricing when underlying stock returns are discontinuous (1976)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (2004)Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates (2005)Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Short-term predictability of crude oil markets: A detrended fluctuation analysis approach (2008)The economic value of co-movement between oil price and exchange rate using copula-based GARCH models (2011)The Econometrics of Financial Markets (2012)Forecasting the volatility of crude oil futures using intraday data (2014)Empirical Performance of Alternative Option Pricing Models (1997)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications (2006)A reduced form framework for modeling volatility of speculative prices based on realized variation measures (2010)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness (2011)Forecasting oil price realized volatility using information channels from other asset classes (2017)Geopolitical risk and oil volatility: A new insight (2019)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Asset market linkages: Evidence from financial, commodity and real estate assets (2010)Co-movement of major energy, agricultural, and food commodity price returns: A time-series assessment (2016)Modelling Volatility of Cryptocurrencies Using Markov-Switching GARCH Models (2018)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Financial crises and stock market contagion in a multivariate time-varying asymmetric framework (2010)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)A review of copula models for economic time series (2012)Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Commodity futures and market efficiency (2013)Extreme risk spillovers between crude oil and stock markets (2015)Modeling energy price dynamics: GARCH versus stochastic volatility (2015)Multivariate Simultaneous Generalized ARCH (1995)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Granger causality in risk and detection of extreme risk spillover between financial markets (2009)Undeserved Loss: The Spread of Legitimacy Loss to Innocent Organizations in Response to Reported Corporate Deviance (2009)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Time Series Analysis: Forecasting and Control (1977)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 2006The Copula-GARCH model of conditional dependencies: An international stock market application784 cited
  • 2004News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns561 cited
  • 2002Conditional Jump Dynamics in Stock Market Returns358 cited
  • 2002The surprise element: jumps in interest rates337 cited
  • 2008Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models304 cited
  • 2003Market risk in commodity markets: a VaR approach263 cited
  • 2008Estimating ‘Value at Risk’ of crude oil price and its spillover effect using the GED-GARCH approach206 cited
  • 2008A Markov regime switching approach for hedging energy commodities203 cited
  • 2009Jump dynamics and volatility: Oil and the stock markets184 cited
  • 2008Dynamic hedging with futures: A copula‐based GARCH model120 cited
  • 2007Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets107 cited
  • 2008Optimal dynamic hedging via copula-threshold-GARCH models61 cited
  • 2006Spot‐futures spread, time‐varying correlation, and hedging with currency futures

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

60 cited
  • 2005Jumping hedges: An examination of movements in copper spot and futures markets59 cited
  • Cited by

    • 2020Risk spillover effects from global crude oil market to China’s commodity sectors97 cited
    • 2019Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures43 cited
    • 2017A Compendium of Copulas41 cited
    • 2020Correlation and risk measurement modeling: A Markov-switching mixed Clayton copula approach37 cited
    • 2016Price discovery and asset pricing35 cited
    • 2019Predicting Contagion from the US Financial Crisis to International Stock Markets Using Dynamic Copula with Google Trends23 cited
    • 2022How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method22 cited