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Modelling futures price volatility in energy markets: Is there a role for financial speculation?

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  1. Bohl, Martin T. & Siklos, Pierre L. & Stefan, Martin & Wellenreuther, Claudia, 2020. "Price discovery in agricultural commodity markets: Do speculators contribute?," Journal of Commodity Markets, Elsevier, vol. 18(C).
  2. Gong, Xu & Lin, Boqiang, 2018. "The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market," Energy Economics, Elsevier, vol. 74(C), pages 370-386.
  3. Yao, Wei & Alexiou, Constantinos, 2022. "Exploring the transmission mechanism of speculative and inventory arbitrage activity to commodity price volatility. Novel evidence for the US economy," International Review of Financial Analysis, Elsevier, vol. 80(C).
  4. Ji, Qiang & Zhang, Hai-Ying & Geng, Jiang-Bo, 2018. "What drives natural gas prices in the United States? – A directed acyclic graph approach," Energy Economics, Elsevier, vol. 69(C), pages 79-88.
  5. Derek Bunn, Julien Chevallier, Yannick Le Pen, and Benoit Sevi, 2017. "Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
  6. Guo, Jiaqi & Long, Shaobo & Luo, Weijie, 2022. "Nonlinear effects of climate policy uncertainty and financial speculation on the global prices of oil and gas," International Review of Financial Analysis, Elsevier, vol. 83(C).
  7. Zhang, Xiaokong & Chai, Jian & Tian, Lingyue & Pan, Yue & Wang, Jiaoyan, 2024. "What drives the high-risk spillover of benchmark oil prices into China's LNG market?," Energy, Elsevier, vol. 306(C).
  8. Niaz Bashiri Behmiri & Matteo Manera & Marcella Nicolini, 2016. "Understanding Dynamic Conditional Correlations between Commodities Futures Markets," Working Papers 2016.17, Fondazione Eni Enrico Mattei.
  9. Xiao, Jihong & Wen, Fenghua & He, Zhifang, 2023. "Impact of geopolitical risks on investor attention and speculation in the oil market: Evidence from nonlinear and time-varying analysis," Energy, Elsevier, vol. 267(C).
  10. Bohl, Martin T. & Siklos, Pierre L. & Wellenreuther, Claudia, 2018. "Speculative activity and returns volatility of Chinese agricultural commodity futures," Journal of Asian Economics, Elsevier, vol. 54(C), pages 69-91.
  11. Debopam Rakshit & Ranjit Kumar Paul & Md Yeasin & Walid Emam & Yusra Tashkandy & Christophe Chesneau, 2023. "Modeling Asymmetric Volatility: A News Impact Curve Approach," Mathematics, MDPI, vol. 11(13), pages 1-14, June.
  12. Martin T. Bohl & Martin Stefan, 2020. "Return dynamics during periods of high speculation in a thinly traded commodity market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 145-159, January.
  13. Lan, Hao & Moreira, Fernando & Zhao, Sheng, 2023. "Can a house resale restriction policy curb speculation? Evidence from a quasi-natural experiment in China," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 841-859.
  14. Yin, Libo & Zhou, Yimin, 2016. "What drives long-term oil market volatility? Fundamentals versus speculation," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 10, pages 1-26.
  15. Christina Anderl & Guglielmo Maria Caporale, 2024. "Expectations and Speculation in the Natural Gas Markets," CESifo Working Paper Series 11341, CESifo.
  16. Xiao, Jihong & Wang, Yudong, 2022. "Macroeconomic uncertainty, speculation, and energy futures returns: Evidence from a quantile regression," Energy, Elsevier, vol. 241(C).
  17. Cheng Che & Xin Geng & Huixian Zheng & Yi Chen & Xiaoguang Zhang, 2022. "The Pricing Mechanism Analysis of China’s Natural Gas Supply Chain under the “Dual Carbon” Target Based on the Perspective of Game Theory," Sustainability, MDPI, vol. 14(15), pages 1-21, August.
  18. Afees A. Salisu & Raymond Swaray, 2020. "Forecasting the Return Volatility of Energy Prices: A GARCH-MIDAS Approach," World Scientific Book Chapters, in: Stéphane Goutte & Duc Khuong Nguyen (ed.), HANDBOOK OF ENERGY FINANCE Theories, Practices and Simulations, chapter 3, pages 47-71, World Scientific Publishing Co. Pte. Ltd..
  19. Zhu, Xuehong & Zhang, Hongwei & Zhong, Meirui, 2017. "Volatility forecasting using high frequency data: The role of after-hours information and leverage effects," Resources Policy, Elsevier, vol. 54(C), pages 58-70.
  20. Bohl, Martin T. & Sulewski, Christoph, 2019. "The impact of long-short speculators on the volatility of agricultural commodity futures prices," Journal of Commodity Markets, Elsevier, vol. 16(C).
  21. Bohl, Martin T. & Pütz, Alexander & Sulewski, Christoph, 2021. "Speculation and the informational efficiency of commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 23(C).
  22. Martin T. Bohl & Martin Stefan & Claudia Wellenreuther, 2019. "An Introduction to ESMA’s Commitments of Traders Reports: Do Hedgers Really Hedge?," CQE Working Papers 8619, Center for Quantitative Economics (CQE), University of Muenster.
  23. Wiggins, Seth & Etienne, Xiaoli L., 2017. "Turbulent times: Uncovering the origins of US natural gas price fluctuations since deregulation," Energy Economics, Elsevier, vol. 64(C), pages 196-205.
  24. Gong, Xu & Lin, Boqiang, 2017. "Forecasting the good and bad uncertainties of crude oil prices using a HAR framework," Energy Economics, Elsevier, vol. 67(C), pages 315-327.
  25. Martin T. Bohl & Pierre L. Siklos & Claudia Wellenreuther, 2018. "Speculative activity and returns volatility of Chinese major agricultural commodity futures," CAMA Working Papers 2018-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  26. Luo, Jiawen & Demirer, Riza & Gupta, Rangan & Ji, Qiang, 2022. "Forecasting oil and gold volatilities with sentiment indicators under structural breaks," Energy Economics, Elsevier, vol. 105(C).
  27. Chien‐Chiang Lee & Chi‐Chuan Lee & Donald Lien, 2019. "Do country risk and financial uncertainty matter for energy commodity futures?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 366-383, March.
  28. Yanhong Feng & Xiaolei Wang & Shuanglian Chen & Yanqiong Liu, 2022. "Impact of Oil Financialization on Oil Price Fluctuation: A Perspective of Heterogeneity," Energies, MDPI, vol. 15(12), pages 1-20, June.
  29. Yao, Wei & Alexiou, Constantinos, 2024. "On the transmission mechanism between the inventory arbitrage activity, speculative activity and the commodity price under the US QE policy: Evidence from a TVP-VAR model," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1054-1072.
  30. Aviral Kumar Tiwari & Muhammad Tahir Suleman & Subhan Ullah & Muhammad Shahbaz, 2023. "Analyzing the connectedness between crude oil and petroleum products: Evidence from USA," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2278-2347, July.
  31. Chen, Rongda & Bao, Weiwei & Jin, Chenglu, 2021. "Investor sentiment and predictability for volatility on energy futures Markets: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 112-129.
  32. Martin T. Bohl & Alexander Pütz & Pierre L. Siklos & Christoph Sulewski, 2021. "Information transmission under increasing political tensions—Evidence from the Berlin Produce Exchange 1887–1896," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 226-244, February.
  33. Park, Jin Suk & Shi, Yukun, 2017. "Hedging and speculative pressures and the transition of the spot-futures relationship in energy and metal markets," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 176-191.
  34. Bonnier, Jean-Baptiste, 2022. "Forecasting crude oil volatility with exogenous predictors: As good as it GETS?," Energy Economics, Elsevier, vol. 111(C).
  35. Chan, Joshua C.C. & Grant, Angelia L., 2016. "Modeling energy price dynamics: GARCH versus stochastic volatility," Energy Economics, Elsevier, vol. 54(C), pages 182-189.
  36. Dedi, Valentina & Mandilaras, Alex, 2022. "Trader positions and the price of oil in the futures market," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 448-460.
  37. Martin T. Bohl & Christoph Sulewski, 2018. "The Impact of Long-Short Speculators on the Volatility of Agricultural Commodity Futures Prices," CQE Working Papers 7718, Center for Quantitative Economics (CQE), University of Muenster.
  38. Martin Bohl & Alexander Pütz & Christoph Sulewski, 2019. "Speculation and the Informational Efficiency of Commodity Futures Markets," CQE Working Papers 8919, Center for Quantitative Economics (CQE), University of Muenster.
  39. Rashid Khan, Haroon Ur & Islam, Talat & Yousaf, Sheikh Usman & Zaman, Khalid & Shoukry, Alaa Mohamd & Sharkawy, Mohamed A. & Gani, Showkat & Aamir, Alamzeb & Hishan, Sanil S., 2019. "The impact of financial development indicators on natural resource markets: Evidence from two-step GMM estimator," Resources Policy, Elsevier, vol. 62(C), pages 240-255.
  40. Dondukova Oyuna & Liu Yaobin, 2021. "Forecasting the Crude Oil Prices Volatility With Stochastic Volatility Models," SAGE Open, , vol. 11(3), pages 21582440211, July.
  41. Zouhaier Dhifaoui, 2022. "Determinism and Non-linear Behaviour of Log-return and Conditional Volatility: Empirical Analysis for 26 Stock Markets," South Asian Journal of Macroeconomics and Public Finance, , vol. 11(1), pages 69-94, June.
  42. Shrestha, Keshab & Subramaniam, Ravichandran & Peranginangin, Yessy & Philip, Sheena Sara Suresh, 2018. "Quantile hedge ratio for energy markets," Energy Economics, Elsevier, vol. 71(C), pages 253-272.
  43. Marinella Davide & Paola Vesco, 2016. "Alternative Approaches for Rating INDCs: a Comparative Analysis," Working Papers 2016.18, Fondazione Eni Enrico Mattei.
  44. Ederington, Louis H. & Fernando, Chitru S. & Hoelscher, Seth A. & Lee, Thomas K. & Linn, Scott C., 2019. "Characteristics of petroleum product prices: A survey," Journal of Commodity Markets, Elsevier, vol. 14(C), pages 1-15.
  45. Algirdas Justinas Staugaitis & Bernardas Vaznonis, 2022. "Financial Speculation Impact on Agricultural and Other Commodity Return Volatility: Implications for Sustainable Development and Food Security," Agriculture, MDPI, vol. 12(11), pages 1-27, November.
  46. Algirdas Justinas Staugaitis & Bernardas Vaznonis, 2022. "Short-Term Speculation Effects on Agricultural Commodity Returns and Volatility in the European Market Prior to and during the Pandemic," Agriculture, MDPI, vol. 12(5), pages 1-26, April.
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