Maturity effects in energy futures
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- Carlos Pestana Barros & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012. "Long Memory in German Energy Price Indices," CESifo Working Paper Series 3935, CESifo Group Munich.
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- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach," Working Papers in Economics 10/18, University of Canterbury, Department of Economics and Finance.
- repec:dau:papers:123456789/6887 is not listed on IDEAS
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- Capitán Herráiz, Álvaro & Rodríguez Monroy, Carlos, 2009. "Analysis of the efficiency of the Iberian power futures market," Energy Policy, Elsevier, vol. 37(9), pages 3566-3579, September.
- Liu, Wei-han, 2016. "A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility," Energy Economics, Elsevier, vol. 56(C), pages 351-362.
- Alvarez-Ramirez, Jose & Alvarez, Jesus & Rodriguez, Eduardo, 2008. "Short-term predictability of crude oil markets: A detrended fluctuation analysis approach," Energy Economics, Elsevier, vol. 30(5), pages 2645-2656, September.
- Wai Mun Fong & Kim Hock See, 2001. "Modelling the conditional volatility of commodity index futures as a regime switching process," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 133-163.
- Walid Matar & Saud M. Al-Fattah & Tarek Atallah & Axel Pierru, 2013. "An introduction to oil market volatility analysis," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 37(3), pages 247-269, September.
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