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Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps. (2015). Sévi, Benoît ; Sevi, Benoit.
In: Economic Modelling.
RePEc:eee:ecmode:v:44:y:2015:i:c:p:243-251.

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Cites: 49

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Cocites: 23

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  1. The impact of co-jumps in the oil sector. (2020). Mauad, Roberto ; Laurini, Márcio ; Lucena, Fernando Antonio.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919301758.

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  2. Analyzing volatility spillovers between oil market and Asian stock markets. (2020). Tiwari, Aviral ; Tingqiu, Cao ; Sarwar, Suleman.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719304957.

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  3. The quantile dependence of commodity futures markets on news sentiment. (2019). Todorova, Neda ; Omura, Akihiro.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:39:y:2019:i:7:p:818-837.

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  4. Long-term swings and seasonality in energy markets. (2019). Platania, Federico ; Novales, Alfonso ; Moreno, Manuel.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1929.

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  5. Jumps in commodity markets. (2019). Prokopczuk, Marcel ; Benno, Duc Binh.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:13:y:2019:i:c:p:55-70.

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  6. Long-term swings and seasonality in energy markets. (2019). Novales, Alfonso ; Moreno, Manuel ; Platania, Federico.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:279:y:2019:i:3:p:1011-1023.

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  7. Performance ranking (dis)similarities in commodity markets. (2018). Zhang, Hanxiong ; Vortelinos, Dimitrios I ; Auer, Benjamin R.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:35:y:2018:i:c:p:115-137.

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  8. Convenience yield, realised volatility and jumps: Evidence from non-ferrous metals. (2018). Omura, Akihiro ; Todorova, Neda ; Chung, Richard ; Li, Bin.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:70:y:2018:i:c:p:496-510.

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  9. Jumps in Commodity Markets. (2017). Prokopczuk, Marcel ; Benno, Duc Binh.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-615.

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  10. Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market. (2016). DA FONSECA, José ; Ziveyi, Jonathan ; Ignatieva, Katja.
    In: Energy Economics.
    RePEc:eee:eneeco:v:56:y:2016:i:c:p:215-228.

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  11. Aggregation and long-memory: An analysis based on the discrete Fourier transform. (2016). Shi, Wendong ; Sun, Jingwei .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:53:y:2016:i:c:p:470-476.

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  12. Market risk of BRIC Eurobonds in the financial crisis period. (2015). VORTELINOS, DIMITRIOS ; Lakshmi, Geeta .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:39:y:2015:i:c:p:295-310.

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