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Effects of NYMEX trading on IPE Brent Crude futures markets: a duration analysis

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  • Lin, Sharon Xiaowen
  • Tamvakis, Michael N.

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  • Lin, Sharon Xiaowen & Tamvakis, Michael N., 2004. "Effects of NYMEX trading on IPE Brent Crude futures markets: a duration analysis," Energy Policy, Elsevier, vol. 32(1), pages 77-82, January.
    • Handle: RePEc:eee:enepol:v:32:y:2004:i:1:p:77-82
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    References listed on IDEAS

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    1. Joann Jasiak, 1996. "Persistence in Intertrade Durations," Working Papers 1999_8, York University, Department of Economics, revised Mar 1999.
    2. Luc Bauwens & Pierre Giot, 2000. "The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks," Annals of Economics and Statistics, GENES, issue 60, pages 117-149.
    3. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665, National Bureau of Economic Research, Inc.
    4. Lin, Sharon Xiaowen & Tamvakis, Michael N., 2001. "Spillover effects in energy futures markets," Energy Economics, Elsevier, vol. 23(1), pages 43-56, January.
    5. repec:adr:anecst:y:2000:i:60:p:05 is not listed on IDEAS
    6. Easley, David & O'Hara, Maureen, 1992. "Time and the Process of Security Price Adjustment," Journal of Finance, American Finance Association, vol. 47(2), pages 576-605, June.
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    Cited by:

    1. Xiufeng Yan, 2021. "Autoregressive conditional duration modelling of high frequency data," Papers 2111.02300, arXiv.org.
    2. Cody Yu-Ling Hsiao & Weishun Lin & Xinyang Wei & Gaoyun Yan & Siqi Li & Ni Sheng, 2019. "The Impact of International Oil Prices on the Stock Price Fluctuations of China’s Renewable Energy Enterprises," Energies, MDPI, vol. 12(24), pages 1-17, December.
    3. Zhang, Qi & Di, Peng & Farnoosh, Arash, 2021. "Study on the impacts of Shanghai crude oil futures on global oil market and oil industry based on VECM and DAG models," Energy, Elsevier, vol. 223(C).
    4. Ge, Yiqing & Tang, Ke, 2020. "Commodity prices and GDP growth," International Review of Financial Analysis, Elsevier, vol. 71(C).
    5. Sun, Chuanwang & Min, Jialin & Sun, Jiacheng & Gong, Xu, 2023. "The role of China's crude oil futures in world oil futures market and China's financial market," Energy Economics, Elsevier, vol. 120(C).
    6. Kaufmann, Robert K. & Ullman, Ben, 2009. "Oil prices, speculation, and fundamentals: Interpreting causal relations among spot and futures prices," Energy Economics, Elsevier, vol. 31(4), pages 550-558, July.
    7. Szymon Wlazlowski & Bjorn Hagstromer & Monica Giulietti, 2011. "Causality in crude oil prices," Applied Economics, Taylor & Francis Journals, vol. 43(24), pages 3337-3347.
    8. Lu, Feng-bin & Hong, Yong-miao & Wang, Shou-yang & Lai, Kin-keung & Liu, John, 2014. "Time-varying Granger causality tests for applications in global crude oil markets," Energy Economics, Elsevier, vol. 42(C), pages 289-298.
    9. repec:bla:jecsur:v:22:y:2008:i:4:p:711-751 is not listed on IDEAS
    10. Shen, Yifan & Shi, Xunpeng & Variam, Hari Malamakkavu Padinjare, 2018. "Risk transmission mechanism between energy markets: A VAR for VaR approach," Energy Economics, Elsevier, vol. 75(C), pages 377-388.
    11. Caporin, Massimiliano & Costola, Michele, 2022. "Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test," Energy Economics, Elsevier, vol. 111(C).
    12. Caporina, Massimiliano & Costola, Michele, 2021. "Time-varying granger causality tests for applications in global crude oil markets: A study on the DCC-MGARCH Hong test," SAFE Working Paper Series 324, Leibniz Institute for Financial Research SAFE.
    13. Kao, Chung-Wei & Wan, Jer-Yuh, 2012. "Price discount, inventories and the distortion of WTI benchmark," Energy Economics, Elsevier, vol. 34(1), pages 117-124.

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