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Dynamics of the Forward Curve and Volatility of Energy Futures Prices

https://doi.org/10.2139/ssrn.1698159
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/(sici)1096-9934(199602)16:1<1::aid-fut1>3.0.co;2-qopenalex-extracted
Energy shocks and financial markets
inferredcites →https://doi.org/10.1002/(sici)1096-9934(199602)16:1<1::aid-fut1>3.3.co;2-gopenalex-extracted
inferredcites →https://doi.org/10.1002/(sici)1096-9934(199605)16:3<313::aid-fut4>3.0.co;2-mopenalex-extracted
Detecting volatility changes across the oil sector
inferredcites →https://doi.org/10.1002/fut.20317openalex-extracted
Volatility dynamics of NYMEX natural gas futures prices
inferredcites →https://doi.org/10.1002/jae.628openalex-extracted
Crack spread hedging: accounting for time‐varying volatility spillovers in the energy futures markets
inferredcites →https://doi.org/10.1007/978-94-011-2518-5_2openalex-extracted
Theory and Empirical Evidence
inferredcites →https://doi.org/10.1016/0165-1765(80)90024-5openalex-extracted
Efficient tests for normality, homoscedasticity and serial independence of regression residuals
inferredcites →https://doi.org/10.1016/0304-4076(86)90063-1openalex-extracted
Generalized autoregressive conditional heteroskedasticity
inferredcites →https://doi.org/10.1016/0304-4076(92)90064-xopenalex-extracted
ARCH modeling in finance
inferredcites →https://doi.org/10.1016/0304-4076(92)90104-yopenalex-extracted
Testing the null hypothesis of stationarity against the alternative of a unit root
inferredcites →https://doi.org/10.1016/0378-4266(95)00015-1openalex-extracted
An evaluation of volatility forecasting techniques
inferredcites →https://doi.org/10.1016/j.eneco.2007.11.004openalex-extracted
Estimation of value-at-risk for energy commodities via fat-tailed GARCH models
inferredcites →https://doi.org/10.1016/j.eneco.2008.01.011openalex-extracted
Comparison of historically simulated VaR: Evidence from oil prices
inferredcites →https://doi.org/10.1016/j.eneco.2008.04.002openalex-extracted
Estimating ‘Value at Risk’ of crude oil price and its spillover effect using the GED-GARCH approach
inferredcites →https://doi.org/10.1016/j.eneco.2008.05.001openalex-extracted
Electronic trading system and returns volatility in the oil futures market
inferredcites →https://doi.org/10.1016/j.eneco.2008.09.006openalex-extracted
Forecasting volatility of crude oil markets
inferredcites →https://doi.org/10.1016/j.eneco.2008.11.001openalex-extracted
Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models
inferredcites →https://doi.org/10.1016/j.eneco.2009.01.014openalex-extracted
Forward curves, scarcity and price volatility in oil and natural gas markets
inferredcites →https://doi.org/10.1016/j.eneco.2009.02.005openalex-extracted
Extreme Value Theory and Value at Risk: Application to oil market
inferredcites →https://doi.org/10.1016/j.enpol.2005.07.004openalex-extracted
Energy risk management and value at risk modeling
inferredcites →https://doi.org/10.1016/j.jbankfin.2007.12.020openalex-extracted
A Markov regime switching approach for hedging energy commodities
inferredcites →https://doi.org/10.1016/j.jeconom.2005.08.008openalex-extracted
Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
inferredcites →https://doi.org/10.1016/j.rfe.2006.10.002openalex-extracted
Long memory in energy futures prices
inferredcites →https://doi.org/10.1016/s0140-9883(01)00087-1openalex-extracted
A Markov switching model of the conditional volatility of crude oil futures prices
inferredcites →https://doi.org/10.1016/s0140-9883(02)00111-1openalex-extracted
Estimating oil price ‘Value at Risk’ using the historical simulation approach
inferredcites →https://doi.org/10.1016/s0140-9883(03)00052-5openalex-extracted
Market risk in commodity markets: a VaR approach
inferredcites →https://doi.org/10.1016/s0140-9883(99)00020-1openalex-extracted
Oil price shocks and stock market activity
inferredcites →https://doi.org/10.1016/s0164-0704(96)80001-2openalex-extracted
Oil price volatility and the macroeconomy
inferredcites →https://doi.org/10.1016/s1058-3300(02)00071-xopenalex-extracted
The macroeconomic determinants of technology stock price volatility
inferredcites →https://doi.org/10.1023/b:mecc.0000006156.99584.28openalex-extracted
Calendar
inferredcites →https://doi.org/10.1080/07474939208800229openalex-extracted
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
inferredcites →https://doi.org/10.1080/07474939208800245openalex-extracted
A simple bera-jarque normality test for nonparametric residuals
inferredcites →https://doi.org/10.1080/13518470701773593openalex-extracted
Commodity volatility modelling and option pricing with a potential function approach
inferredcites →https://doi.org/10.1086/296288openalex-extracted
Evaluating Natural Resource Investments
inferredcites →https://doi.org/10.1093/biomet/65.2.297openalex-extracted
On a Measure of Lack of Fit in Time Series Models
inferredcites →https://doi.org/10.1093/biomet/75.2.335openalex-extracted
Testing for a Unit Root in Time Series Regression
inferredcites →https://doi.org/10.1093/oso/9780198774310.003.0001openalex-extracted
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
inferredcites →https://doi.org/10.1111/0022-1082.00248openalex-extracted
Equilibrium Forward Curves for Commodities
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb02721.xopenalex-extracted
The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging
inferredcites →https://doi.org/10.1257/002205103765762743openalex-extracted
Forecasting Volatility in Financial Markets: A Review
inferredcites →https://doi.org/10.2139/ssrn.502802openalex-extracted
Futures Prices in a Production Economy with Investment Constraints
inferredcites →https://doi.org/10.2307/1912773openalex-extracted
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
inferredcites →https://doi.org/10.2307/2329325openalex-extracted
Backwardation in Oil Futures Markets: Theory and Empirical Evidence
inferredcites →https://doi.org/10.2307/2938260openalex-extracted
Conditional Heteroskedasticity in Asset Returns: A New Approach
inferredcites →https://doi.org/10.3386/w12000openalex-extracted
Equilibrium Exhaustible Resource Price Dynamics
inferredcites →https://doi.org/10.5547/issn0195-6574-ej-vol16-no4-2openalex-extracted
Oil Shocks and the Macroeconomy: The Role of Price Variability*
inferredcites →https://doi.org/10.5547/issn0195-6574-ej-vol27-no3-2openalex-extracted
Examining Asymmetric Behavior in US Petroleum Futures and Spot Prices
inferredcites →https://doi.org/10.1016/j.enpol.2007.07.020openalex-snapshot
Modelling oil price volatility
inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01254.xopenalex-snapshot
Equilibrium Exhaustible Resource Price Dynamics
inferredcites →https://doi.org/10.1214/aos/1176344136openalex-snapshot
Estimating the Dimension of a Model

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.1016/j.eneco.2016.03.001openalex-snapshot
Market conditions, trader types and price–volume relation in energy futures markets
inferred← citeshttps://doi.org/10.1111/opec.12008openalex-snapshot
Oil prices, US inflation, US money supply and the US dollar
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