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Identifying the comovement of price between China's and international crude oil futures: A time-frequency perspective
16 references·3 citing·56 second hopsampled
Identifying the comovement of price between China's and international crude oil futures: A time-frequency perspective (2020)Identifying the comovement of price betwe…Return and volatility transmission between China's and international crude oil futures markets: A first look (2020)Return and volatility transmi…Information interdependence among energy, cryptocurrency and major commodity markets (2019)Information interdependence a…WTI and Brent futures pricing structure (2018)WTI and Brent futures pricing…Oil price and automobile stock return co-movement: A wavelet coherence analysis (2018)Oil price and automobile stoc…Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities (2018)Dynamic network of implied vo…China’s crude oil futures: Introduction and some stylized facts (2018)China’s crude oil futures: In…Co-movement of ASEAN stock markets: New evidence from wavelet and VMD-based copula tests (2017)Co-movement of ASEAN stock ma…Do oil price asymmetric effects on the stock market persist in multiple time horizons? (2016)Do oil price asymmetric effec…The role of fluctuating modes of autocorrelation in crude oil prices (2013)The role of fluctuating modes…Cross dynamics of oil-stock interactions: A redundant wavelet analysis (2012)Cross dynamics of oil-stock i…Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis (2011)Co-movement of energy commodi…International comovement of stock market returns: A wavelet analysis (2009)International comovement of s…Understanding Crude Oil Prices (2008)Understanding Crude Oil PricesDoes OPEC influence crude oil prices? Testing for co-movements and causality between regional crude oil prices (2007)Does OPEC influence crude oil…Regionalization in the World Crude Oil Market: Further Evidence (1999)Regionalization in the World …Business Cycles: Real Facts and a Monetary Myth (1990)Business Cycles: Real Facts a…Crude oil price prediction using deep reinforcement learning (2023)Crude oil price prediction us…Time-frequency volatility spillovers across the international crude oil market and Chinese major energy futures markets: Evidence from COVID-19 (2022)Time-frequency volatility spi…Global financial uncertainties and China’s crude oil futures market: Evidence from interday and intraday price dynamics (2021)Global financial uncertaintie…A Monetary History of the United States 1867-1960 (1964)A Monetary History of the United States, 1867-1960 (1964)International Evidence on the Historical Properties of Business Cycles (1991)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Inflation crises and long-run growth (1998)Beyond carbon pricing: The role of banking and monetary policy in financing the transition to a low-carbon economy (2016)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)Dynamic Conditional Correlation (2002)Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets (2016)Wavelet-based test of co-movement and causality between oil and renewable energy stock prices (2016)Multifractal analysis of financial markets: a review (2019)Oil and the Macroeconomy since World War II (1983)Economic Forces and the Stock Market (1986)Interest rate changes and stock returns: A European multi-country study with wavelets (2016)Interdependence between oil and East Asian stock markets: Evidence from wavelet coherence analysis (2017)The Geography of Transport Systems (2020)Is the correlation in international equity returns constant: 1960–1990? 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(2000)Causes and Consequences of the Oil Shock of 2007-08 (2009)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Financialization of Commodity Markets (2013)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)An Introduction to Copulas (1999)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)A time-frequency analysis of trade openness and CO2 emissions in France (2018)Dynamic co-movement between oil and stock markets in oil-importing and oil-exporting countries: Two types of wavelet analysis (2020)The impact of oil price shocks on clean energy stocks: Fresh evidence from multi-scale perspective (2020)Hierarchical structure in financial markets (1999)Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Driving factors of CO2 emissions and inequality characteristics in China: A combined decomposition approach (2018)Impacts of oil implied volatility shocks on stock implied volatility in China: Empirical evidence from a quantile regression approach (2019)Spillovers between oil and stock returns in the US energy sector: Does idiosyncratic information matter? (2019)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Economic policy uncertainty in the US and China and their impact on the global markets (2018)High-frequency volatility connectedness between the US crude oil market and China's agricultural commodity markets (2018)Modelling dynamic dependence and risk spillover between all oil price shocks and stock market returns in the BRICS (2018)Asset pricing with liquidity risk (2005)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)The dynamic dependence of fossil energy, investor sentiment and renewable energy stock markets (2019)Crude oil price and cryptocurrencies: Evidence of volatility connectedness and hedging strategy (2020)Geopolitical risk, climate risk and energy markets: A dynamic spillover analysis (2023)
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References

  • 2008Understanding Crude Oil Prices1,270 cited
  • 2009International comovement of stock market returns: A wavelet analysis843 cited
  • 1990Business Cycles: Real Facts and a Monetary Myth812 cited
  • 2011Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis498 cited
  • 2019Information interdependence among energy, cryptocurrency and major commodity markets303 cited
  • 2018China’s crude oil futures: Introduction and some stylized facts194 cited
  • 2018Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities163 cited
  • 1999Regionalization in the World Crude Oil Market: Further Evidence130 cited
  • 2017Co-movement of ASEAN stock markets: New evidence from wavelet and VMD-based copula tests103 cited
  • 2012Cross dynamics of oil-stock interactions: A redundant wavelet analysis103 cited
  • 2020Return and volatility transmission between China's and international crude oil futures markets: A first look102 cited
  • 2016Do oil price asymmetric effects on the stock market persist in multiple time horizons?101 cited
  • 2007Does OPEC influence crude oil prices? Testing for co-movements and causality between regional crude oil prices100 cited
  • 2018Oil price and automobile stock return co-movement: A wavelet coherence analysis

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96 cited
  • 2013The role of fluctuating modes of autocorrelation in crude oil prices83 cited
  • 2018WTI and Brent futures pricing structure80 cited
  • Cited by

    • 2022Time-frequency volatility spillovers across the international crude oil market and Chinese major energy futures markets: Evidence from COVID-1967 cited
    • 2021Global financial uncertainties and China’s crude oil futures market: Evidence from interday and intraday price dynamics65 cited
    • 2023Crude oil price prediction using deep reinforcement learning38 cited