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Modelling asymmetric volatility in oil prices under structural breaks

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Cited by:

  1. Jingyu Chen & Faqi Jin & Guangda Ouyang & Jian Ouyang & Fenghua Wen, 2019. "Oil price shocks, economic policy uncertainty and industrial economic growth in China," PLOS ONE, Public Library of Science, vol. 14(5), pages 1-19, May.
  2. Chao Liang & Yin Liao & Feng Ma & Bo Zhu, 2022. "United States Oil Fund volatility prediction: the roles of leverage effect and jumps," Empirical Economics, Springer, vol. 62(5), pages 2239-2262, May.
  3. Naqvi, Bushra & Mirza, Nawazish & Umar, Muhammad & Rizvi, Syed Kumail Abbas, 2023. "Shanghai crude oil futures: Returns Independence, volatility asymmetry, and hedging potential," Energy Economics, Elsevier, vol. 128(C).
  4. Pal, Debdatta, 2022. "Does hospitality industry stock volatility react asymmetrically to health and economic crises?," Economic Modelling, Elsevier, vol. 108(C).
  5. Liu, Haiying & Pata, Ugur Korkut & Zafar, Muhammad Wasif & Kartal, Mustafa Tevfik & Karlilar, Selin & Caglar, Abdullah Emre, 2023. "Do oil and natural gas prices affect carbon efficiency? Daily evidence from China by wavelet transform-based approaches," Resources Policy, Elsevier, vol. 85(PB).
  6. Sherzod N. Tashpulatov, 2021. "Modeling and Estimating Volatility of Day-Ahead Electricity Prices," Mathematics, MDPI, vol. 9(7), pages 1-11, March.
  7. Chai, Jian & Lu, Quanying & Hu, Yi & Wang, Shouyang & Lai, Kin Keung & Liu, Hongtao, 2018. "Analysis and Bayes statistical probability inference of crude oil price change point," Technological Forecasting and Social Change, Elsevier, vol. 126(C), pages 271-283.
  8. Sa Xu & Ziqing Du & Hai Zhang, 2020. "Can Crude Oil Serve as a Hedging Asset for Underlying Securities?—Research on the Heterogenous Correlation between Crude Oil and Stock Index," Energies, MDPI, vol. 13(12), pages 1-19, June.
  9. Lin, Boqiang & Xu, Bin, 2018. "How to promote the growth of new energy industry at different stages?," Energy Policy, Elsevier, vol. 118(C), pages 390-403.
  10. Li, Xuemei & Liu, Xiaoxing, 2023. "Functional classification and dynamic prediction of cumulative intraday returns in crude oil futures," Energy, Elsevier, vol. 284(C).
  11. Yue Liu & Pierre Failler & Jiaying Peng & Yuhang Zheng, 2020. "Time-Varying Relationship between Crude Oil Price and Exchange Rate in the Context of Structural Breaks," Energies, MDPI, vol. 13(9), pages 1-17, May.
  12. Scarcioffolo, Alexandre R. & Etienne, Xiaoli L., 2021. "Regime-switching energy price volatility: The role of economic policy uncertainty," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 336-356.
  13. Tan, Xueping & Sirichand, Kavita & Vivian, Andrew & Wang, Xinyu, 2020. "How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics," Energy Economics, Elsevier, vol. 90(C).
  14. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2019. "Liquidity, surprise volume and return premia in the oil market," Energy Economics, Elsevier, vol. 77(C), pages 93-104.
  15. Le, TN-Lan & Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar, 2021. "Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution," Technological Forecasting and Social Change, Elsevier, vol. 162(C).
  16. Dimitrios Kartsonakis-Mademlis & Nikolaos Dritsakis, 2022. "Asymmetric volatility transmission in Japanese stock market in the presence of structural breaks," The Japanese Economic Review, Springer, vol. 73(4), pages 647-677, October.
  17. Alaba, Oluwayemisi O. & Ojo, Oluwadare O. & Yaya, OlaOluwa S & Abu, Nurudeen & Ajobo, Saheed A., 2021. "Comparative Analysis of Market Efficiency and Volatility of Energy Prices Before and During COVID-19 Pandemic Periods," MPRA Paper 109825, University Library of Munich, Germany.
  18. Chang, Lei & Baloch, Zulfiqar Ali & Saydaliev, Hayot Berk & Hyder, Mansoor & Dilanchiev, Azer, 2022. "Testing oil price volatility during Covid-19: Global economic impact," Resources Policy, Elsevier, vol. 78(C).
  19. Sherzod N. Tashpulatov, 2022. "Modeling Electricity Price Dynamics Using Flexible Distributions," Mathematics, MDPI, vol. 10(10), pages 1-15, May.
  20. Patra, Saswat, 2021. "Revisiting value-at-risk and expected shortfall in oil markets under structural breaks: The role of fat-tailed distributions," Energy Economics, Elsevier, vol. 101(C).
  21. Castillo, Brenda & León, Ángel & Ñíguez, Trino-Manuel, 2021. "Backtesting VaR under the COVID-19 sudden changes in volatility," Finance Research Letters, Elsevier, vol. 43(C).
  22. Hsu, Shu-Han & Cheng, Po-Keng & Yang, Yiwen, 2024. "Diversification, hedging, and safe-haven characteristics of cryptocurrencies: A structural change approach," International Review of Financial Analysis, Elsevier, vol. 93(C).
  23. Evan Dudley & Niclas Andrén & Håkan Jankensgård, 2022. "How do firms hedge in financial distress?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1324-1351, July.
  24. Xiao, Yang, 2020. "The risk spillovers from the Chinese stock market to major East Asian stock markets: A MSGARCH-EVT-copula approach," International Review of Economics & Finance, Elsevier, vol. 65(C), pages 173-186.
  25. Erdoğan, Seyfettin & Gedikli, Ayfer & Çevik, Emrah İsmail & Erdoğan, Fatma & Çevik, Emre, 2022. "Precious metals as safe-haven for clean energy stock investment: Evidence from nonparametric Granger causality in distribution test," Resources Policy, Elsevier, vol. 79(C).
  26. Ciarreta, Aitor & Pizarro-Irizar, Cristina & Zarraga, Ainhoa, 2020. "Renewable energy regulation and structural breaks: An empirical analysis of Spanish electricity price volatility," Energy Economics, Elsevier, vol. 88(C).
  27. I. D. Medvedev, 2023. "Comparison of the Efficiency of Pure and of Hybrid Inflation Targeting from the Point of View of Inflation Control," Studies on Russian Economic Development, Springer, vol. 34(2), pages 274-283, April.
  28. Priya, Pragati & Pal, Debdatta, 2024. "Does crude oil price volatility respond asymmetrically to financial shocks?," Resources Policy, Elsevier, vol. 92(C).
  29. Maghyereh, Aktham & Abdoh, Hussein, 2020. "Asymmetric effects of oil price uncertainty on corporate investment," Energy Economics, Elsevier, vol. 86(C).
  30. Patrick Herb & Farooq Malik, 2023. "Re-examining the impact of oil prices on stock returns in the presence of time-varying volatility," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(4), pages 815-843, December.
  31. Zhu, Bo & Lin, Renda & Liu, Jiahao, 2020. "Magnitude and persistence of extreme risk spillovers in the global energy market: A high-dimensional left-tail interdependence perspective," Energy Economics, Elsevier, vol. 89(C).
  32. Anupam Dutta & Elie Bouri & David Roubaud, 2021. "Modelling the volatility of crude oil returns: Jumps and volatility forecasts," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 889-897, January.
  33. Apergis, Nicholas & Ewing, Bradley T. & Payne, James E., 2021. "The asymmetric relationship of oil prices and production on drilling rig trajectory," Resources Policy, Elsevier, vol. 71(C).
  34. Patra, Saswat, 2024. "An empirical analysis of the volume-volatility nexus in crude oil markets under structural breaks: Implications for forecasting," International Review of Economics & Finance, Elsevier, vol. 94(C).
  35. Emre Cevik & Emrah I Cevik & Sel Dibooglu & Raif Cergibozan & Mehmet Fatih Bugan & Mehmet Akif Destek, 2024. "Connectedness and risk spillovers between crude oil and clean energy stock markets," Energy & Environment, , vol. 35(7), pages 3319-3339, November.
  36. Aharon, David Y. & Butt, Hassan Anjum & Jaffri, Ali & Nichols, Brian, 2023. "Asymmetric volatility in the cryptocurrency market: New evidence from models with structural breaks," International Review of Financial Analysis, Elsevier, vol. 87(C).
  37. Zhang, Yue-Jun & Zhang, Han, 2023. "Volatility forecasting of crude oil futures market: Which structural change-based HAR models have better performance?," International Review of Financial Analysis, Elsevier, vol. 85(C).
  38. Yue-Jun Zhang & Han Zhang & Rangan Gupta, 2023. "A new hybrid method with data-characteristic-driven analysis for artificial intelligence and robotics index return forecasting," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-23, December.
  39. Guhathakurta, Kousik & Dash, Saumya Ranjan & Maitra, Debasish, 2020. "Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications," Energy Economics, Elsevier, vol. 85(C).
  40. Xing Gao & Keyu Zhai & Yue Qiu & Mengqiu Cao & Meiling Wu, 2020. "Innovation Institution and Spatial Transfer of Energy Industry: The Case of Jiangsu Province, China," SAGE Open, , vol. 10(1), pages 21582440199, January.
  41. Akdoğan, Kurmaş, 2020. "Fundamentals versus speculation in oil market: The role of asymmetries in price adjustment?," Resources Policy, Elsevier, vol. 67(C).
  42. Bradley T. Ewing & Farooq Malik & Hassan Anjum, 2019. "Forecasting value‐at‐risk in oil prices in the presence of volatility shifts," Review of Financial Economics, John Wiley & Sons, vol. 37(3), pages 341-350, July.
  43. Sherzod N. Tashpulatov, 2021. "The Impact of Regulatory Reforms on Demand Weighted Average Prices," Mathematics, MDPI, vol. 9(10), pages 1-15, May.
  44. Niu, Zibo & Liu, Yuanyuan & Gao, Wang & Zhang, Hongwei, 2021. "The role of coronavirus news in the volatility forecasting of crude oil futures markets: Evidence from China," Resources Policy, Elsevier, vol. 73(C).
  45. JUDE Octavian & TURGEMAN Avraham & BOȚOC Claudiu, 2023. "Recent Examination Of Energy Markets Volatility," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 18(1), pages 118-128, April.
  46. Hasanov, Akram Shavkatovich & Poon, Wai Ching & Al-Freedi, Ajab & Heng, Zin Yau, 2018. "Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks: A comparison of alternative distribution functions," Energy Economics, Elsevier, vol. 70(C), pages 307-333.
  47. Lin, Yu & Xiao, Yang & Li, Fuxing, 2020. "Forecasting crude oil price volatility via a HM-EGARCH model," Energy Economics, Elsevier, vol. 87(C).
  48. Zhenhua Liu & Zhihua Ding & Tao Lv & Jy S. Wu & Wei Qiang, 2019. "Financial factors affecting oil price change and oil-stock interactions: a review and future perspectives," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 95(1), pages 207-225, January.
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