In this paper, we review studies of oil volatility prediction from a new perspective: that of
investors who require economic evaluations of forecasting performance. Our results indicate …

In this paper, we investigate the dynamic impact of financial stress on crude oil volatility by
employing a time-varying transition probabilities Markov regime-switching GARCH model …

OVX (Crude oil volatility index), as a measure of oil market uncertainty and new volatility
derivatives published by CBOE (Chicago Board Options Exchange) during the 2008 global …

Since 2009, global financial crisis has eased gradually and world economy has begun to
recover slowly. Meanwhile, both Brent and WTI (West Texas Intermediate) crude oil prices …

In the present study, the daily settlement data of Shanghai crude oil futures and world's
major crude oils are selected. The role of Shanghai crude oil futures is studied regarding its …

In the current paper, we investigate the problem of how do crude oil futures hedge crude oil
spot risk after the COVID-19 outbreak. Specifically, given that noise, conditional higher …

Since oil prices are typically governed by nonlinear and chaotic behavior, it's become rather
difficult to capture the dominant properties of their fluctuations. In recent years …

Most of existing studies on crude oil futures hedging aim to minimizing the variance of
hedged portfolio. In this paper, we evaluate the hedging performance in a different …

Risk and return are two fundamentals that have an impact on an investor's or hedger's
investing choices. Based on the proposed synchronous movement intensity index, this …

Critical transitions in the crude oil price are important in market management. Previous
methods have focused on generic early warning signals in complex systems if a critical …