ogst
Home All issues Volume 72 / No 1 (January–February 2017) Oil Gas Sci. Technol. – Rev. IFP Energies nouvelles, 72 1 (2017) 3 References
Open Access
Issue
Oil Gas Sci. Technol. – Rev. IFP Energies nouvelles
Volume 72, Number 1, January–February 2017
Article Number 3
Number of page(s) 10
DOI https://doi.org/10.2516/ogst/2016024
Published online 02 February 2017
  • Baek E., Brock W. (1992) A general test for nonlinear Granger causality: bivariate model, Working paper, Iowa State University and University of Wisconsin, Madison. [Google Scholar]
  • Bampinas G., Panagiotidis T. (2015) On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing, Working paper, WP 15-04, The Rimini Centre for Economic Analysis, Italy. [Google Scholar]
  • Bollerslev T. (1986) Generalized autoregressive conditional heteroskedasticity, J. Econom. 31, 307–327. [Google Scholar]
  • Bredin D., Elder J., Fountas S. (2011) Oil volatility and the option value of waiting: an analysis of the G-7, J. Fut. Mark. 31, 679–702. [CrossRef] [Google Scholar]
  • Chatrath A., Miao H., Ramchander S., Wang T. (2015) The forecasting efficacy of risk-neutral moments for crude oil volatility, J. Forecast. 34, 177–190. [CrossRef] [MathSciNet] [Google Scholar]
  • Dave D., Aye G.C. (2015) Oil price uncertainty and Savings in South Africa, OPEC Energy Review 39, 285–297. [CrossRef] [Google Scholar]
  • Dées S., Gasteuil A., Kaufmann R., Mann M. (2008) Assessing the factors behind oil price changes, Working paper No. 855, European Central Bank. [Google Scholar]
  • Duffie D., Gray S. (1995) Volatility in energy prices, in Managing energy price risk, Jamson R. (ed.), Risk Publications, London, pp. 39–55. [Google Scholar]
  • Elder J., Serletis A. (2010) Oil price uncertainty, J. Money, Credit Bank. 42, 1138–1159. [CrossRef] [Google Scholar]
  • Engle R.F., Granger C.W.J. (1987) Co-integration and error-correction: representation, estimation and testing, Econometrica 55, 251–276. [CrossRef] [MathSciNet] [Google Scholar]
  • Engle R.F. (1982) Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation, Econometrica 50, 987–1007. [Google Scholar]
  • Ewing B.T., Hammoudeh S.M., Thompson M.A. (2006) Examining asymmetric behavior in US petroleum futures and spot prices, Energy J. 27, 9–23. [CrossRef] [Google Scholar]
  • Fattouh B. (2007) Structural model, the demand-supply framework and informal approaches, University of London, London, UK. [Google Scholar]
  • Figlewski S. (1997) Forecasting volatility, Financ. Mark. Inst. Instrum. 6, 2, 1–88. [CrossRef] [Google Scholar]
  • Garefalakis A., Dimitras A., Koemtzopoulos D., Spinthiropoulos K. (2011) Determinant factors of Hong Kong stock market, Inter. J. of Fin. Mar. and Der. 62, 50–64. [Google Scholar]
  • Granger C. (1999) Empirical modeling in economics, Cambridge University Press, UK. [CrossRef] [Google Scholar]
  • Guo H., Kliensen K. (2005) Oil price volatility and US macroeconomic activity, Fed. Res. Bank of St. Louis Rev. 87, 6, 669–683. [Google Scholar]
  • Hiemstra C., Jones J. (1994) Testing for linear and nonlinear Granger causality in the stock price-volume relation, J. Finance 49, 1639–1664. [Google Scholar]
  • Jo S. (2014) The effects of oil price uncertainty on global real economic activity, J. Money, Credit Bank. 46, 1113–1135. [CrossRef] [Google Scholar]
  • Kaufmann R. (2011) The role of market fundamentals and speculation in recent price changes for crude oil, Energy Policy 39, 105–115. [CrossRef] [Google Scholar]
  • Kaufmann R., Ullman B. (2009) Oil prices, speculation and fundamentals: interpreting causal relationship among spot and futures prices, Energy Econ. 31, 550–558. [CrossRef] [Google Scholar]
  • Kuper G. (2002) Measuring oil price volatility, Department of Economics & SOM, University of Groningen, The Netherlands. [Google Scholar]
  • Lemonakis C., Vassakis K., Garefalakis A., Papa P. (2016a) SMEs performance and subsidies in it investments: a vis-à-vis approach, J. of Theor. and App. Infor. Tech. 87, 2, 266–275. [Google Scholar]
  • Lemonakis C., Vassakis K., Garefalakis A., Michailidou D. (2016b) Cooperations characteristics for potential innovative in crisis: the Greek paradigm, Corp. Owner. and Control 14, 1, 30–37. [Google Scholar]
  • Matar W., Al-Fattah S.M., Atalla T., Pierru A. (2013) An introduction to oil market volatility analysis, OPEC Energy Rev. 37, 3, 247–269. [CrossRef] [Google Scholar]
  • Pindyck R.S. (2004) Volatility and commodity price dynamics, J. Fut. Mark. 24, 1029–1047. [CrossRef] [Google Scholar]
  • Plourde A., Watkins G.C. (1998) Crude oil prices between 1985 and 1994: how volatile in relation to other commodities? Resour. Energy Econ. 20, 245–262. [CrossRef] [Google Scholar]
  • Poon S.-H., Granger C.W.J. (2003) Forecasting volatility in financial markets: a review, J. Econ. Lit. 41, 2, 478–539. [CrossRef] [Google Scholar]
  • Robe M.A., Wallen J. (2016) Fundamentals, derivatives market information and oil price volatility, J. Futures Mark. 36, 317–344. [CrossRef] [Google Scholar]
  • Romano A.A., Scandurra G. (2012) Price asymmetries and volatility in the Italian gasoline market, OPEC Energy Rev. 36, 215–229. [CrossRef] [Google Scholar]
  • Salisu A.A. (2014) Modeling oil price volatility before, during and after the global financial crisis, OPEC Energy Rev. 38, 469–495. [CrossRef] [Google Scholar]
  • Salisu A., Fasanya I. (2012) Modelling oil price volatility with structural breaks, Energy Policy 52, 554–562. [CrossRef] [Google Scholar]
  • Sariannidis N., Galyfianakis G., Drimpetas E. (2015) The effect of financial and macroeconomic factors on the oil market, Inter. J. of Ener. Econ. and Pol. 5, 4, 1084–1091. [Google Scholar]
  • Sariannidis N., Koskosas I., Garefalakis A., Antoniadis I. (2009) Volatility of stock returns: the case of the Belgian Stock Exchange, Inter. J. of Bus. For. and Mark. Intel. 1, 111–121. [Google Scholar]
  • Sharma H., Dharmaraja S. (2016) Effect of outliers on volatility forecasting and value at risk estimation in crude oil markets, OPEC Energy Rev. 40, 276–299. [CrossRef] [Google Scholar]
  • Zhang Y.-J., Wei Y.-M. (2010) The crude oil market and the gold market: evidence for co-integration, causality and price discovery, Resour. Policy 35, 3, 168–177. [CrossRef] [Google Scholar]

Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.

Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.

Initial download of the metrics may take a while.