Causality and volatility spillovers among petroleum prices of WTI, gasoline and heating oil in different locations
By Shawkat Hammoudeh, Huimin Li, B. Jeon. 2003
123 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment
View Paper: https://www.semanticscholar.org/paper/f0cb30caf8c34a794c4125719d835247ba7a2f23
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In Economics and Econometrics
- Matteo Manera
- Alessandro Lanza
- Michael Mcaleer
- S. Ling
- Duc Khuong Nguyen
- Bernardo da Veiga
- Marcelo C. Medeiros
- Mohamed Arouri
In Renewable Energy, Sustainability and the Environment
Citations in the corpus
- Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets (2010, unknown): “12 should be hedged by a short position of $ t in another crude oil asset at time t (Hammoudeh et al. (2009)). The average values of the optimal hedge ratio ( t ) using estimates from the VARMA-GARCH model are presented in the first column of Table 8. By following the estimated hedge strategy, t”
- Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach (2010, unknown): “Investigating information transmissions among NYMEX WTI crude prices, NYMEX gasoline prices, NYMEX heating oil prices, and among international gasoline spot markets, including the Rotterdam and Singapore markets, Hammoudeh et al. (2003) conclude that the NYMEX gasoline market is the true leader. In ”
- Modelling dynamic conditional correlations in WTI oil forward and futures returns (2004, background): “Hammoudeh et al. (2003) also investigated information transmission among NYMEX WTI crude prices, NYMEX gasoline prices, NYMEX heating oil prices, and among international gasoline spot markets, including the Rotterdam and Singapore markets, and found the NYMEX gasoline market to be the true leader.”