The paper contributes to the limited literature modelling the term structure of crude oil
markets. We explain the term structure of crude oil prices using the dynamic Nelson–Siegel …

This paper examines whether nonlinear models, like Principal Components Combining,
neural networks and GARCH are more accurate on realized volatility forecasting than the …

This paper investigates permanent and transitory spillover effects from Brent oil futures to
four agricultural futures–corn, wheat, soybean and canola. We construct permanent and …

This article investigates whether time variation in the returns' co‐movement of oil and Baltic
Dirty Tanker Index can be linked to oil market uncertainty. We measure uncertainty using a …

This paper investigates the dynamics of stock price volatility for different vessel-type
segments of the US, water transportation industry. We measure market exposure by a …

We develop two news-based investor attention measures from the news trends function of
the Bloomberg terminal and investigate their predictive power for returns on crude oil futures …

It has traditionally been assumed that the refining margin is stationary given that it is a linear
combination of cointegrated time series, ie, crude oil and its main refining products (mainly …

This article develops a multichain Markov switching dynamic conditional correlation ARCH
model with idiosyncratic jump dynamics to investigate whether the state of the crude oil …

This paper examines dynamic hedges in the natural gas futures markets for different
horizons and explores the gains from devising risk management strategies. Despite the …

In this paper we investigate the oil spot price dynamics and volatility in Brazilian Reais (the
local currency). The current policy on price adjustments of refined products caused …