IDEAS home Printed from https://ideas.repec.org/a/eee/enepol/v32y2004i1p77-82.html
   My bibliography  Save this article

Effects of NYMEX trading on IPE Brent Crude futures markets: a duration analysis

Author

Listed:
  • Lin, Sharon Xiaowen
  • Tamvakis, Michael N.

Abstract

No abstract is available for this item.

Suggested Citation

  • Lin, Sharon Xiaowen & Tamvakis, Michael N., 2004. "Effects of NYMEX trading on IPE Brent Crude futures markets: a duration analysis," Energy Policy, Elsevier, vol. 32(1), pages 77-82, January.
    • Handle: RePEc:eee:enepol:v:32:y:2004:i:1:p:77-82
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0301-4215(02)00259-8
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665, National Bureau of Economic Research, Inc.
    2. Luc Bauwens & Pierre Giot, 2000. "The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks," Annals of Economics and Statistics, GENES, issue 60, pages 117-149.
    3. repec:adr:anecst:y:2000:i:60:p:05 is not listed on IDEAS
    4. Joann Jasiak, 1996. "Persistence in Intertrade Durations," Working Papers 1999_8, York University, Department of Economics, revised Mar 1999.
    5. Lin, Sharon Xiaowen & Tamvakis, Michael N., 2001. "Spillover effects in energy futures markets," Energy Economics, Elsevier, vol. 23(1), pages 43-56, January.
    6. Easley, David & O'Hara, Maureen, 1992. "Time and the Process of Security Price Adjustment," Journal of Finance, American Finance Association, vol. 47(2), pages 576-605, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lu, Feng-bin & Hong, Yong-miao & Wang, Shou-yang & Lai, Kin-keung & Liu, John, 2014. "Time-varying Granger causality tests for applications in global crude oil markets," Energy Economics, Elsevier, vol. 42(C), pages 289-298.
    2. Kaufmann, Robert K. & Ullman, Ben, 2009. "Oil prices, speculation, and fundamentals: Interpreting causal relations among spot and futures prices," Energy Economics, Elsevier, vol. 31(4), pages 550-558, July.
    3. Caporina, Massimiliano & Costola, Michele, 2021. "Time-varying granger causality tests for applications in global crude oil markets: A study on the DCC-MGARCH Hong test," SAFE Working Paper Series 324, Leibniz Institute for Financial Research SAFE.
    4. Kao, Chung-Wei & Wan, Jer-Yuh, 2012. "Price discount, inventories and the distortion of WTI benchmark," Energy Economics, Elsevier, vol. 34(1), pages 117-124.
    5. Ge, Yiqing & Tang, Ke, 2020. "Commodity prices and GDP growth," International Review of Financial Analysis, Elsevier, vol. 71(C).
    6. Szymon Wlazlowski & Bjorn Hagstromer & Monica Giulietti, 2011. "Causality in crude oil prices," Applied Economics, Taylor & Francis Journals, vol. 43(24), pages 3337-3347.
    7. Maria Pacurar, 2008. "Autoregressive Conditional Duration Models In Finance: A Survey Of The Theoretical And Empirical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 22(4), pages 711-751, September.
    8. Shen, Yifan & Shi, Xunpeng & Variam, Hari Malamakkavu Padinjare, 2018. "Risk transmission mechanism between energy markets: A VAR for VaR approach," Energy Economics, Elsevier, vol. 75(C), pages 377-388.
    9. Xiufeng Yan, 2021. "Autoregressive conditional duration modelling of high frequency data," Papers 2111.02300, arXiv.org.
    10. Cody Yu-Ling Hsiao & Weishun Lin & Xinyang Wei & Gaoyun Yan & Siqi Li & Ni Sheng, 2019. "The Impact of International Oil Prices on the Stock Price Fluctuations of China’s Renewable Energy Enterprises," Energies, MDPI, vol. 12(24), pages 1-17, December.
    11. Zhang, Qi & Di, Peng & Farnoosh, Arash, 2021. "Study on the impacts of Shanghai crude oil futures on global oil market and oil industry based on VECM and DAG models," Energy, Elsevier, vol. 223(C).
    12. Sun, Chuanwang & Min, Jialin & Sun, Jiacheng & Gong, Xu, 2023. "The role of China's crude oil futures in world oil futures market and China's financial market," Energy Economics, Elsevier, vol. 120(C).
    13. Caporin, Massimiliano & Costola, Michele, 2022. "Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test," Energy Economics, Elsevier, vol. 111(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Maria Pacurar, 2008. "Autoregressive Conditional Duration Models In Finance: A Survey Of The Theoretical And Empirical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 22(4), pages 711-751, September.
    2. Xiufeng Yan, 2021. "Autoregressive conditional duration modelling of high frequency data," Papers 2111.02300, arXiv.org.
    3. Dionne, Georges & Duchesne, Pierre & Pacurar, Maria, 2009. "Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 777-792, December.
    4. Spierdijk, L. & Nijman, T.E. & van Soest, A.H.O., 2002. "Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News," Discussion Paper 2002-69, Tilburg University, Center for Economic Research.
    5. Stanislav Anatolyev & Dmitry Shakin, 2006. "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers w0070, Center for Economic and Financial Research (CEFIR).
    6. Dungey, Mardi & Jeyasreedharan, Nagaratnam & Li, Tuo, 2010. "Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market," Working Papers 10451, University of Tasmania, Tasmanian School of Business and Economics, revised 30 May 2012.
    7. Luc, BAUWENS & Nikolaus, HAUTSCH, 2006. "Modelling Financial High Frequency Data Using Point Processes," Discussion Papers (ECON - Département des Sciences Economiques) 2006039, Université catholique de Louvain, Département des Sciences Economiques.
    8. Chiranjit Dutta & Kara Karpman & Sumanta Basu & Nalini Ravishanker, 2023. "Review of Statistical Approaches for Modeling High-Frequency Trading Data," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 1-48, May.
    9. Spierdijk, Laura, 2004. "An empirical analysis of the role of the trading intensity in information dissemination on the NYSE," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 163-184, March.
    10. Nowak, Sylwia & Anderson, Heather M., 2014. "How does public information affect the frequency of trading in airline stocks?," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 26-38.
    11. Saulo, Helton & Balakrishnan, Narayanaswamy & Vila, Roberto, 2023. "On a quantile autoregressive conditional duration model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 203(C), pages 425-448.
    12. Fernandes, Marcelo & Grammig, Joachim, 2005. "Nonparametric specification tests for conditional duration models," Journal of Econometrics, Elsevier, vol. 127(1), pages 35-68, July.
    13. Gurgul Henryk & Machno Artur, 2017. "Trade Pattern on Warsaw Stock Exchange and Prediction of Number of Trades," Statistics in Transition New Series, Polish Statistical Association, vol. 18(1), pages 91-114, March.
    14. P. Gagliardini & C. Gourieroux, 2008. "Duration time‐series models with proportional hazard," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(1), pages 74-124, January.
    15. Chen, Fei & Diebold, Francis X. & Schorfheide, Frank, 2013. "A Markov-switching multifractal inter-trade duration model, with application to US equities," Journal of Econometrics, Elsevier, vol. 177(2), pages 320-342.
    16. N. Taylor & Y. Xu, 2017. "The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data," Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1021-1035, July.
    17. Wong, Woon K. & Tan, Dijun & Tian, Yixiang, 2009. "Informed trading and liquidity in the Shanghai Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 66-73, March.
    18. Zhang, Yaohua & Zou, Jian & Ravishanker, Nalini & Thavaneswaran, Aerambamoorthy, 2019. "Modeling financial durations using penalized estimating functions," Computational Statistics & Data Analysis, Elsevier, vol. 131(C), pages 145-158.
    19. Hautsch, Nikolaus, 2008. "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," Journal of Economic Dynamics and Control, Elsevier, vol. 32(12), pages 3978-4015, December.
    20. Spierdijk, L. & Nijman, T.E. & van Soest, A.H.O., 2002. "The Price Impact of Trades in Illiquid Stocks in Periods of High and Low Market Activity," Discussion Paper 2002-29, Tilburg University, Center for Economic Research.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:enepol:v:32:y:2004:i:1:p:77-82. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/enpol .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.