IDEAS home Printed from https://ideas.repec.org/r/hal/journl/hal-04433059.html

On the Volatility of WTI Crude Oil Prices: A Time-Varying Approach with Stochastic Volatility

Citations

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


Cited by:

  1. Liang, Jinhua & Ullah, Inam, 2024. "Analysis of crude oil and gold price volatility and their correlation during socio-economic crises," Resources Policy, Elsevier, vol. 98(C).
  2. Harasheh, Murad & Bouteska, Ahmed, 2025. "Volatility estimation through stochastic processes: Evidence from cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, vol. 75(PB).
  3. Salisu, Afees A. & Isah, Kazeem & Oloko, Tirimisiyu O., 2024. "Technology shocks and crude oil market connection: The role of climate change," Energy Economics, Elsevier, vol. 130(C).
  4. 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).
  5. Prabhakar, Saimanish & Kalaitzi, Athanasia Stylianou, 2026. "The Causality between Oil price, Financial Market Uncertainty and Economic Policy Uncertainty in the United States," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, vol. 16(2), pages 1327-1336, January.
  6. Su, Kuangxi & He, Yafang & Xiang, Yuxin & Ye, Meng & Yang, Xuduan, 2026. "Combining minimum-CVaR hedging models with a novel maximum efficiency strategy for crude oil future," International Review of Economics & Finance, Elsevier, vol. 106(C).
  7. Che, Ming & Wang, Li & Li, Yujia, 2024. "Global economic policy uncertainty and oil price uncertainty: Which is more important for global economic activity?," Energy, Elsevier, vol. 310(C).
  8. Zhenya Liu & Nawazish Mirza & Rongyu You & Yaosong Zhan, 2026. "Understanding the complexity of futures markets investing in China: evidence from deep learning techniques," Annals of Operations Research, Springer, vol. 357(1), pages 409-440, February.
  9. Hamza, Taher & Ben Haj Hamida, Hayet & Mili, Mehdi & Sami, Mina, 2024. "High inflation during Russia–Ukraine war and financial market interaction: Evidence from C-Vine Copula and SETAR models," Research in International Business and Finance, Elsevier, vol. 70(PB).
  10. Xu, Zhiwei & Gan, Shiqi & Hua, Xia & Xiong, Yujie, 2024. "Can the sentiment of the official media predict the return volatility of the Chinese crude oil futures?," Energy Economics, Elsevier, vol. 140(C).
  11. Ren, Xiaohang & He, Yue & Liu, Chuanwang & Tao, Lizhu, 2025. "Extreme risk spillovers between SC, WTI and Brent crude oil futures-Evidence from time-varying Granger causality test," Energy, Elsevier, vol. 320(C).
  12. Sun, Chuanwang & Peng, Yiqi & Zhan, Yanhong, 2023. "How does China's crude oil futures affect the crude oil prices at home and abroad? Evidence from the cross-market exchange rate spillovers," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 204-222.
  13. Yan, Zichun & Wu, Chaonan & Zhang, Jingjia & Wang, Zehan & Lađevac, Ivona, 2024. "Asymmetric impact of energy prices on financial cycles based on interval time series modeling," International Review of Financial Analysis, Elsevier, vol. 96(PA).
  14. Baruník, Jozef & Vácha, Lukáš, 2024. "Predicting the volatility of major energy commodity prices: The dynamic persistence model," Energy Economics, Elsevier, vol. 140(C).
  15. Anna Gainetdinova & Kazi Sohag, 2025. "The dynamic response of Russian exchange rate to precious metals and minerals prices," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 38(1), pages 59-75, March.
  16. Khurshid, Adnan & Khan, Khalid & Rauf, Abdur & Cifuentes-Faura, Javier, 2024. "Effect of geopolitical risk on resources prices in the global and Russian-Ukrainian context: A novel Bayesian structural model," Resources Policy, Elsevier, vol. 88(C).
  17. Lee, Geon Hee & Kim, Young Min, 2025. "Oil price uncertainty shock and Korean sectoral stock market: The role of common factor and asymmetry," Research in International Business and Finance, Elsevier, vol. 78(C).
  18. Pham, Quyen & Pham, Huy & Pham, Tra & Tiwari, Aviral Kumar, 2025. "Revisiting the role of investor sentiment in the stock market," International Review of Economics & Finance, Elsevier, vol. 100(C).
  19. Gurdip Bakshi & Xiaohui Gao & Zhaowei Zhang, 2024. "What Insights Do Short-Maturity (7DTE) Return Predictive Regressions Offer about Risk Preferences in the Oil Market?," Commodities, MDPI, vol. 3(2), pages 1-23, May.
  20. Mao, Yaqi & Yu, Xiaobing & Liu, Jia & Wang, Feng & Zhang, Aixin & Zhu, Junhua, 2025. "Disentangling market drivers and macro uncertainty risks in crude oil futures pricing: A multi-scale quantile regression and causal forest approach," Energy, Elsevier, vol. 332(C).
  21. Harrison, Andre & Liu, Xiaochun & Stewart, Shamar L., 2023. "Structural sources of oil market volatility and correlation dynamics," Energy Economics, Elsevier, vol. 121(C).
  22. He, Zhifang & Qian, Wanchuan & Miftah, Badir & Zoynul Abedin, Mohammad, 2025. "Quantile time-frequency spillovers among climate policy uncertainty, energy markets, and stock markets," International Review of Economics & Finance, Elsevier, vol. 103(C).
  23. He, Zhifang & Dong, Tianqi & Qian, Wanchuan & Xu, Wei, 2024. "Dynamic interactions among trade policy uncertainty, climate policy uncertainty, and crude oil prices," International Review of Economics & Finance, Elsevier, vol. 95(C).
  24. Sufe, Gadisa, 2026. "The decline of fossil fuels and the search for viable alternatives: A critical review of biodiesel, electric, and biogas energy systems under global socio-political and technical constraints," Applied Energy, Elsevier, vol. 412(C).
  25. Liao, Xin & Li, Qin & Chan, Stephen & Chu, Jeffrey & Zhang, Yuanyuan, 2024. "Interconnections and contagion among cryptocurrencies, DeFi, NFT and traditional financial assets: Some new evidence from tail risk driven network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 647(C).
  26. Fayc{c}al Djebari & Kahina Mehidi & Khelifa Mazouz & Philipp Otto, 2025. "Forecasting Oil Volatility through Network Models with GARCH-Informed Correlation Weights," Papers 2507.15046, arXiv.org, revised Feb 2026.
  27. Bouzguenda, Mariem & Jarboui, Anis, 2026. "Managing Systemic Risk in Energy and Financial Markets: Evidence from Five Portfolio Strategies Based on Connectedness," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, vol. 16(2), pages 665-679, January.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.