Time-varying market price of risk in the crude oil futures market

Ramaprasad Bhar; Damien Lee

doi:10.1002/fut.20493

Time-varying market price of risk in the crude oil futures market

Journal of Futures Markets ◽

10.1002/fut.20493 ◽

2010 ◽

Vol 31 (8) ◽

pp. 779-807 ◽

Cited By ~ 9

Author(s):

Ramaprasad Bhar ◽

Damien Lee

Keyword(s):

Crude Oil ◽

Market Price ◽

Futures Market ◽

Time Varying ◽

Market Price Of Risk ◽

Oil Futures ◽

Price Of Risk ◽

Crude Oil Futures

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Unbiasedness and time varying risk premia in the crude oil futures market

Energy Economics ◽

10.1016/0140-9883(94)90003-5 ◽

1994 ◽

Vol 16 (2) ◽

pp. 99-105 ◽

Cited By ~ 67

Author(s):

Imad A. Moosa ◽

Nabeel E. Al-Loughani

Keyword(s):

Crude Oil ◽

Futures Market ◽

Risk Premia ◽

Time Varying ◽

Oil Futures ◽

Crude Oil Futures

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A Study on the Causal Relationship between the Crude Oil Futures Market and Asian Stock Markets Using a Frequency Domain Framework

Korean Journal of Financial Engineering ◽

10.35527/kfedoi.2017.16.4.001 ◽

2017 ◽

Vol 16 (4) ◽

pp. 1-23

Author(s):

윤병조

Keyword(s):

Crude Oil ◽

Frequency Domain ◽

Causal Relationship ◽

Stock Markets ◽

Futures Market ◽

Oil Futures ◽

Crude Oil Futures

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The impact of unconventional monetary policy shocks on the crude oil futures market

The Journal of Energy Markets ◽

10.21314/jem.2018.171 ◽

2018 ◽

Author(s):

Tarek Chebbi

Keyword(s):

Monetary Policy ◽

Crude Oil ◽

Futures Market ◽

Unconventional Monetary Policy ◽

Monetary Policy Shocks ◽

Oil Futures ◽

Policy Shocks ◽

Crude Oil Futures ◽

The Impact

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The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market

Energy Economics ◽

10.1016/j.eneco.2018.06.005 ◽

2018 ◽

Vol 74 ◽

pp. 370-386 ◽

Cited By ~ 59

Author(s):

Xu Gong ◽

Boqiang Lin

Keyword(s):

Crude Oil ◽

Information Content ◽

Futures Market ◽

Volatility Forecasting ◽

Oil Futures ◽

Incremental Information ◽

Crude Oil Futures

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Research on the Correlation between China's Crude Oil Futures Market and Spot Market

Journal of Economics Business and Management ◽

10.18178/joebm.2021.9.3.654 ◽

2021 ◽

Vol 9 (3) ◽

pp. 52-55

Author(s):

Yin Duan ◽

Keyword(s):

Crude Oil ◽

Spot Market ◽

Futures Market ◽

Oil Futures ◽

Crude Oil Futures

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Performance of Range and Return Based Volatility Estimators: Evidence from Indian Crude Oil Futures Market

Global Economy and Finance Journal ◽

10.21102/gefj.2015.03.81.04 ◽

2015 ◽

Vol 8 (1) ◽

pp. 46-66 ◽

Cited By ~ 1

Author(s):

Vivek Rajvanshi

Keyword(s):

Crude Oil ◽

Futures Market ◽

Oil Futures ◽

Crude Oil Futures

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The price–volume relationship in the crude oil futures market Some results based on linear and nonlinear causality testing

International Review of Economics & Finance ◽

10.1016/s1059-0560(99)00044-1 ◽

2000 ◽

Vol 9 (1) ◽

pp. 11-30 ◽

Cited By ~ 42

Author(s):

Imad A. Moosa ◽

Param Silvapulle

Keyword(s):

Crude Oil ◽

Futures Market ◽

Oil Futures ◽

Volume Relationship ◽

Crude Oil Futures ◽

Causality Testing ◽

Linear And Nonlinear

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The relative efficiency of the crude oil futures market: evidence from India

International Journal of Banking Accounting and Finance ◽

10.1504/ijbaaf.2018.092135 ◽

2018 ◽

Vol 9 (2) ◽

pp. 225 ◽

Cited By ~ 1

Author(s):

Sarveshwar Kumar Inani

Keyword(s):

Crude Oil ◽

Relative Efficiency ◽

Futures Market ◽

Oil Futures ◽

Crude Oil Futures

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Volatility regimes, asymmetric basis effects and forecasting performance: An empirical investigation of the WTI crude oil futures market

Energy Economics ◽

10.1016/j.eneco.2011.11.009 ◽

2012 ◽

Vol 34 (1) ◽

pp. 294-306 ◽

Cited By ~ 32

Author(s):

Kuang-Liang Chang

Keyword(s):

Crude Oil ◽

Empirical Investigation ◽

Futures Market ◽

Oil Futures ◽

Forecasting Performance ◽

Crude Oil Futures ◽

Volatility Regimes

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The informational content of inventory announcements: Intraday evidence from crude oil futures market

Energy Economics ◽

10.1016/j.eneco.2016.08.011 ◽

2016 ◽

Vol 59 ◽

pp. 349-364 ◽

Cited By ~ 18

Author(s):

Shiyu Ye ◽

Berna Karali

Keyword(s):

Crude Oil ◽

Futures Market ◽

Informational Content ◽

Oil Futures ◽

Crude Oil Futures

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