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Price discovery in energy markets

Citations

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Cited by:

  1. Demirer, Riza & Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2019. "Time-varying risk aversion and realized gold volatility," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  2. Shrestha, Keshab & Subramaniam, Ravichandran & Thiyagarajan, Thangarajah, 2020. "Price Discovery in Agricultural Markets," American Business Review, Pompea College of Business, University of New Haven, vol. 23(1), pages 53-69, May.
  3. Prashant Sharma & Prashant Gupta & Dinesh Kumar Sharma & Gaurav Agarwal, 2022. "Investigating the Efficiency of Bitcoin Futures in Price Discovery," International Journal of Economics and Financial Issues, Econjournals, vol. 12(3), pages 104-109, May.
  4. Ziliang Yu & Jian Yang & Robert I. Webb, 2023. "Price discovery in China's crude oil futures markets: An emerging Asian benchmark?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(3), pages 297-324, March.
  5. Kyle Olsen & James Mjelde & David Bessler, 2015. "Price formulation and the law of one price in internationally linked markets: an examination of the natural gas markets in the USA and Canada," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 54(1), pages 117-142, January.
  6. Figuerola-Ferretti, Isabel & McCrorie, J. Roderick & Paraskevopoulos, Ioannis, 2020. "Mild explosivity in recent crude oil prices," Energy Economics, Elsevier, vol. 87(C).
  7. Fassas, Athanasios P. & Papadamou, Stephanos & Koulis, Alexandros, 2020. "Price discovery in bitcoin futures," Research in International Business and Finance, Elsevier, vol. 52(C).
  8. Muneer Shaik & Abhiram Kartik Lanka & Gurmeet Singh, 2021. "Analysis of lead-lag relationship and volatility spillover: evidence from Indian agriculture commodity markets," International Journal of Bonds and Derivatives, Inderscience Enterprises Ltd, vol. 4(3), pages 258-279.
  9. Gupta, Rangan & Yoon, Seong-Min, 2018. "OPEC news and predictability of oil futures returns and volatility: Evidence from a nonparametric causality-in-quantiles approach," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 206-214.
  10. Shrestha, Keshab & Subramaniam, Ravichandran & Peranginangin, Yessy & Philip, Sheena Sara Suresh, 2018. "Quantile hedge ratio for energy markets," Energy Economics, Elsevier, vol. 71(C), pages 253-272.
  11. Donald Lien & Ziling Wang & Xiaojian Yu, 2021. "Quantile information share under Markov regime‐switching," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 493-513, April.
  12. Kim, Jaeho & Linn, Scott C., 2022. "Price discovery under model uncertainty," Energy Economics, Elsevier, vol. 107(C).
  13. Chang, Kuang-Liang & Lee, Chingnun, 2020. "The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 374-388.
  14. Xunfa Lu & Zhitao Ye & Kin Keung Lai & Hairong Cui & Xiao Lin, 2022. "Time-Varying Causalities in Prices and Volatilities between the Cross-Listed Stocks in Chinese Mainland and Hong Kong Stock Markets," Mathematics, MDPI, vol. 10(4), pages 1-19, February.
  15. Shrestha, Keshab & Subramaniam, Ravichandran & Rassiah, Puspavathy, 2017. "Pure martingale and joint normality tests for energy futures contracts," Energy Economics, Elsevier, vol. 63(C), pages 174-184.
  16. Collings, David & Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Larkin, Charles & Oxley, Les, 2022. "The effects of negative reputational contagion on international airlines: The case of the Boeing 737-MAX disasters," International Review of Financial Analysis, Elsevier, vol. 80(C).
  17. Bonato, Matteo & Gupta, Rangan & Lau, Chi Keung Marco & Wang, Shixuan, 2020. "Moments-based spillovers across gold and oil markets," Energy Economics, Elsevier, vol. 89(C).
  18. Chien‐Chiang Lee & Chi‐Chuan Lee & Donald Lien, 2019. "Do country risk and financial uncertainty matter for energy commodity futures?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 366-383, March.
  19. Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian & Yoon, Seong-Min, 2021. "OPEC news and jumps in the oil market," Energy Economics, Elsevier, vol. 96(C).
  20. Alexander, Carol & Heck, Daniel F., 2020. "Price discovery in Bitcoin: The impact of unregulated markets," Journal of Financial Stability, Elsevier, vol. 50(C).
  21. Vatsa, Puneet & Miljkovic, Tatjana & Miljkovic, Dragan, 2024. "Price discovery redux—Analyzing energy spot and futures prices using a dynamic programming approach," Energy Economics, Elsevier, vol. 140(C).
  22. Sun, Xiaotian & Fang, Wei & Gao, Xiangyun & An, Sufang & Liu, Siyao & Wu, Tao, 2021. "Time-varying causality inference of different nickel markets based on the convergent cross mapping method," Resources Policy, Elsevier, vol. 74(C).
  23. Yu, Yue & Wang, Jianzhou & Jiang, He & Lu, Haiyan, 2025. "How to manage a multifactor-driven crude oil market more effectively? A revisit based on the multiple criteria perspective," Resources Policy, Elsevier, vol. 100(C).
  24. Sarveshwar Kumar Inani, 2017. "Price discovery in Indian stock index futures market: new evidence based on intraday data," International Journal of Indian Culture and Business Management, Inderscience Enterprises Ltd, vol. 14(1), pages 23-43.
  25. Marek Kwas & Michał Rubaszek, 2021. "Forecasting Commodity Prices: Looking for a Benchmark," Forecasting, MDPI, vol. 3(2), pages 1-13, June.
  26. Bouri, Elie & Nekhili, Ramzi & Todorova, Neda, 2023. "Dynamic co-movement in major commodity markets during crisis periods: A wavelet local multiple correlation analysis," Finance Research Letters, Elsevier, vol. 55(PB).
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