The impact of co-jumps in the oil sector
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DOI: 10.1016/j.ribaf.2020.101197
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Cited by:
- Semeyutin, Artur & Gozgor, Giray & Lau, Chi Keung Marco & Xu, Bing, 2021. "Effects of idiosyncratic jumps and co-jumps on oil, gold, and copper markets," Energy Economics, Elsevier, vol. 104(C).
- Oladosu, Gbadebo, 2022. "Bubbles in US gasoline prices: Assessing the role of hurricanes and anti–price gouging laws," Journal of Commodity Markets, Elsevier, vol. 27(C).
- Max Resende & Alexandre Ferreira, 2021. "A machine learning approach to risk disclosure reporting," Economics Bulletin, AccessEcon, vol. 41(2), pages 234-251.
- Cui, Jinxin & Alshater, Muneer M. & Mensi, Walid, 2023. "Higher-order moment risk spillovers and optimal portfolio strategies in global oil markets," Resources Policy, Elsevier, vol. 86(PA).
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More about this item
Keywords
Oil prices; Jumps; Stochastic volatility (SV); Risk management;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
- Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
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