Asymmetric and time-frequency volatility connectedness between China and international crude oil markets with portfolio implications
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DOI: 10.1016/j.ribaf.2023.102039
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Cited by:
- Kočenda, Evžen & Moravcová, Michala, 2024.
"Frequency volatility connectedness and portfolio hedging of U.S. energy commodities,"
Research in International Business and Finance, Elsevier, vol. 69(C).
- Evžen Kočenda & Michala Moravcová & Evžen Kocenda, 2024. "Frequency Volatility Connectedness and Portfolio Hedging of U.S. Energy Commodities," CESifo Working Paper Series 10889, CESifo.
- Wen, Danyan & Wang, Huihui & Wang, Yudong & Xiao, Jihong, 2024. "Crude oil futures and the short-term price predictability of petroleum products," Energy, Elsevier, vol. 307(C).
- 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).
- Mensi, Walid & Ahmadian-Yazdi, Farzaneh & Al-Kharusi, Sami & Roudari, Soheil & Kang, Sang Hoon, 2024. "Extreme Connectedness Across Chinese Stock and Commodity Futures Markets," Research in International Business and Finance, Elsevier, vol. 70(PA).
- Zhu, Bangzhu & Tian, Chao & Wang, Ping, 2024. "Exploring the relationship between Chinese crude oil futures market efficiency and market micro characteristics," Energy Economics, Elsevier, vol. 134(C).
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More about this item
Keywords
Oil market; Time-frequency domain; Volatility spillovers; High-frequency data; Trading strategy;All these keywords.
JEL classification:
- Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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