An information diffusion-based model of oil futures price
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DOI: 10.1016/j.eneco.2012.10.009
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- Gong, Xu & Wen, Fenghua & Xia, X.H. & Huang, Jianbai & Pan, Bin, 2017. "Investigating the risk-return trade-off for crude oil futures using high-frequency data," Applied Energy, Elsevier, vol. 196(C), pages 152-161.
- Ayoub, Mahmoud & Qadan, Mahmoud, 2024. "Ambiguity and risk in the oil market," Economic Modelling, Elsevier, vol. 132(C).
- James Ming Chen & Mobeen Ur Rehman, 2021. "A Pattern New in Every Moment: The Temporal Clustering of Markets for Crude Oil, Refined Fuels, and Other Commodities," Energies, MDPI, vol. 14(19), pages 1-58, September.
- Nian, Fuzhong & Liu, Jinshuo, 2021. "Feedback driven message spreading on network," Chaos, Solitons & Fractals, Elsevier, vol. 149(C).
- Xie Haibin & Zhou Mo & Hu Yi & Yu Mei, 2014. "Forecasting the Crude Oil Price with Extreme Values," Journal of Systems Science and Information, De Gruyter, vol. 2(3), pages 193-205, June.
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More about this item
Keywords
Financialization; Information diffusion; Component GARCH; Volatility; Oil futures price;All these keywords.
JEL classification:
- Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
- G1 - Financial Economics - - General Financial Markets
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
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