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Does OVX affect WTI and Brent oil spot variance? Evidence from an entropy analysis
16 references·0 citing·47 second hop
Does OVX affect WTI and Brent oil spot variance? Evidence from an entropy analysis (2020)Does OVX affect WTI and Brent oil spot va…Investor sentiment and the price of oil (2017)Investor sentiment and the pr…The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)The directional volatility co…Forecasting volatility of the U.S. oil market (2014)Forecasting volatility of the…Time-Varying Effects of Oil Supply Shocks on the US Economy (2013)Time-Varying Effects of Oil S…Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models? (2012)Forecasting energy market vol…The information content of option-implied volatility for credit default swap valuation (2010)The information content of op…Granger Causality and Transfer Entropy Are Equivalent for Gaussian Variables (2009)Granger Causality and Transfe…Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models (2008)Volatility in crude oil futur…Modeling and forecasting petroleum futures volatility (2006)Modeling and forecasting petr…The predictive power of implied volatility: Evidence from 35 futures markets (2003)The predictive power of impli…Information transfer in continuous processes (2002)Information transfer in conti…Evaluating the predictive accuracy of volatility models (2001)Evaluating the predictive acc…Oil price volatility and the macroeconomy (1996)Oil price volatility and the …Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Carbon futures and macroeconomic risk factors: A view from the EU ETS (2009)Crude oil and stock markets: Stability, instability, and bubbles (2009)Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)Option pricing when underlying stock returns are discontinuous (1976)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)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Measurement of Linear Dependence and Feedback Between Multiple Time Series (1982)Practical Measures of Integrated Information for Time-Series Data (2011)Unraveling the cause-effect relation between time series (2014)Cross-lagged panel networks (2025)Expected stock returns and volatility (1987)Statistical analysis of cointegration vectors (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)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Impulse response analysis in nonlinear multivariate models (1996)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)OIL AND THE MACROECONOMY: A QUANTITATIVE STRUCTURAL ANALYSIS (2012)Dynamic spillovers of oil price shocks and economic policy uncertainty (2014)The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements (2021)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Oil price uncertainty and clean energy stock returns: New evidence from crude oil volatility index (2017)How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020)Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis (2021)Transfer Entropy as a Log-Likelihood Ratio (2012)Spurious causalities with transfer entropy (2013)Entropy measures, entropy estimators, and their performance in quantifying complex dynamics: Effects of artifacts, nonstationarity, and long-range correlations (2017)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 2009Granger Causality and Transfer Entropy Are Equivalent for Gaussian Variables1,149 cited
  • 1996Oil price volatility and the macroeconomy765 cited
  • 2013Time-Varying Effects of Oil Supply Shocks on the US Economy530 cited
  • 2006Modeling and forecasting petroleum futures volatility479 cited
  • 2016The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes420 cited
  • 2002Information transfer in continuous processes366 cited
  • 2008Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models304 cited
  • 2014Forecasting volatility of the U.S. oil market248 cited
  • 2010The information content of option-implied volatility for credit default swap valuation247 cited
  • 2017Investor sentiment and the price of oil232 cited
  • 2012Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?226 cited

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2001
Evaluating the predictive accuracy of volatility models
224 cited
  • 2003The predictive power of implied volatility: Evidence from 35 futures markets198 cited
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