Oil Price Dynamics and Speculation: A Multivariate Financial Approach

By G. Cifarelli, G. Paladino. 2008

198 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/28ffa4414c7de359913c8e23540e4269470b2baa

Citations in the corpus

• Interaction between oil and US dollar exchange rate: nonlinear causality, time-varying influence and structural breaks in volatility (2018, unknown): “Cifarelli and Paladino (2010) documented a negative correlation between the volatility of real oil prices and the real USD exchange rate using a multivariate GARCH-inmean (GARCH-M) model.”
• Oil price dynamics , macro-nance interactions and the role of nancial speculation (2012, unknown): “…behavior in the oil futures market has actually been documented in various papers (Vansteenkiste, 2011; Reitz and Slopek, 2008; ter-Ellen and Zwinkles, 2010; Ci¤arelli and Paladino, 2010), the empirical evidence on the e¤ects of nancial speculation in the oil futures market is controversial.”
• The role of market fundamentals and speculation in recent price changes for crude oil (2011, unknown): “Consistent with this hypothesis, the role of extrapolative expectations in the recent price rise is confirmed empirically (Cifarelli and Paladino, 2010).”
• Modeling returns and volatility transmission between oil price and US–Nigeria exchange rate (2013, unknown): “, 2008), to multivariate models such as VAR, VECM, Multivariate GARCH models and Simultaneous Equation Models (see Rautava, 2004; Krichene, 2005; Huang and Guo, 2007; Cifarelli and Paladino, 2010; and Ding and Vo, 2012).”
• The economic value of co-movement between oil price and exchange rate using copula-based GARCH models (2011, unknown): “9 Following Cifarelli and Paladino (2010), this study uses the Tuesday prices of the WTI crude oil and USDX futures; when a holiday occurs on Tuesday, Monday's observation is used in its place. this effect, we employ the GJR-GARCH model, proposed by Glosten et al. (1993), to take into account the as”
• Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011, unknown): “Cifarelli and Paladino (2010) proposed a constant conditional”
• What has driven oil prices since 2000? A structural change perspective (2011, unknown): “By examining dynamics in oil prices and the relationship between the oil price changes and fundamentals, many studies in the literature (Chevillon and Rifflart, 2009; Cifarelli and Paladino, 2009; Kaufmann and Ullman, 2009) support that increasing speculation has been one of the important driving fo”