Does something change in the oil market with the COVID-19 crisis?
Tài liệu tham khảo
Aggarwal, 2019, When stock futures dominate price discovery, J. Futures Mark., 39, 263, 10.1002/fut.21973
Baillie, 2002, Price discovery and common factor models, J. Financ. Mark., 5, 309, 10.1016/S1386-4181(02)00027-7
Bakas, 2020, Commodity price volatility and the economic uncertainty of pandemics, Econ. Lett., 193, 109283, 10.1016/j.econlet.2020.109283
Bentzen, 2007, Does OPEC influence crude oil prices? Testing for co-movements and causality between regional crude oil prices, Appl. Econ., 39, 1375, 10.1080/00036840600606344
Booth, 1999, Price discovery in the German equity index derivatives markets, 19, 619
Booth, 1999, Price discovery in the German equity index derivatives markets, J. Futures Mark., 19, 619, 10.1002/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M
Bopp, 1987, Are petroleum futures prices good predictors of cash value, 7, 705
Bourghelle, 2021, Oil price volatility in the context of Covid-19, International Economics, 167, 39, 10.1016/j.inteco.2021.05.001
Cabrera, 2009, Do futures lead price discovery in electronic foreign exchange markets?, J. Futures Mark., 29, 137, 10.1002/fut.20352
Chakraborty, 2003, On multivariate quantile regression, J. Stat. Plann. Inference, 110, 109, 10.1016/S0378-3758(01)00277-4
Chakravarty, 2004, Informed Trading in Stock and Option Markets, 59, 1235
Chu, 1999, Price discovery on the S&P 500 index markets: an analysis of spot index, index futures, and SPDRs, Int. Rev. Financ. Anal., 8, 21, 10.1016/S1057-5219(99)00003-4
de Jong, 2002, Measures of contributions to price discovery: a comparison, J. Financ. Mark., 5, 323, 10.1016/S1386-4181(02)00028-9
Engle, 1987, Co-integration and error correction: representation, estimation, and testing, Econometrica, 55, 251, 10.2307/1913236
Ewing, 2008, Threshold cointegration analysis of crude oil benchmarks, Energy J., 29, 79
Garbade, 1983, Price movements and price discovery in futures and cash markets, Rev. Econ. Stat., 65, 289, 10.2307/1924495
Gonzalo, 1995, Estimation of common long-memory components in cointegrated systems, J. Bus. Econ. Stat., 13, 27
Gregory, 1996, Residual-based tests for cointegration in models with regime shifts, J. Econom., 70, 99, 10.1016/0304-4076(69)41685-7
Harris, 2009, The need for a unified approach to price discovery: CFS and IS metrics before and after reg NMS, SSRN Electron. J., 10.2139/ssrn.1107527
Hasbrouck, 1995, One security, many markets, Determining the Contributions to Price Discovery, 50, 1175
Hasbrouck, 1995, One security, many markets: determining the contributions to price discovery, J. Finance, 50, 1175, 10.1111/j.1540-6261.1995.tb04054.x
Irwin, 1933, Future trading upon organized commodity markets in the United States, G. Wright Hoffman., 41, 257
Lehmann, 2002, Some desiderata for the measurement of price discovery across markets, J. Financ. Mark., 5, 259, 10.1016/S1386-4181(02)00025-3
Lien, 2009, A new information share measure, J. Futures Mark., 29, 377, 10.1002/fut.20356
Lien, 2014, Price Discovery in Interrelated Markets, 34, 203
Lien, 2019, Quantile information share, J. Futures Mark., 39, 38, 10.1002/fut.21940
Lien, 2020, Quantile information share under Markov regime-switching, J. Futures Mark., 41
Mizrach, 2008, Information shares in the US Treasury market, J. Bank. Finance, 32, 1221, 10.1016/j.jbankfin.2007.10.007
Nippani, 2004, SARS: a non-event for affected countries' stock markets?, Appl. Financ. Econ., 14, 1105, 10.1080/0960310042000310579
Ozturk, 2016, Intraday price discovery in fragmented markets, J. Financ. Mark., 32
Palao, 2020, Is the leadership of the Brent-WTI threatened by China's new crude oil futures market?, J. Asian Econ., 70, 101237, 10.1016/j.asieco.2020.101237
Perron, 1989, The Great crash, the oil price shock, and the unit root hypothesis, Econometrica, 57, 1361, 10.2307/1913712
Phillips, 1987, Time series regression with a unit root, Econometrica, 55, 277, 10.2307/1913237
Putniņš, 2013, What do price discovery metrics really measure?, J. Empir. Finance, 23, 68, 10.1016/j.jempfin.2013.05.004
Rittler, 2012, Price discovery and volatility spillovers in the European Union emissions trading scheme: a high-frequency analysis, J. Bank. Finance, 36, 774, 10.1016/j.jbankfin.2011.09.009
Schwarz, 1994, Price discovery in petroleum markets: arbitrage, cointegration, and the time interval of analysis, 14, 147
Wang, 2013, The impact of natural disasters on stock markets: evidence from Japan and the US, Comp. Econ. Stud., 55, 672, 10.1057/ces.2013.16
Wlazlowski, 2011, Causality in crude oil prices, Appl. Econ., 43, 3337, 10.1080/00036841003636250
Yan, 2007, A structural analysis of price discovery measures, J. Financ. Mark., 13, 1
Yang, 2020, Return and volatility transmission between China's and international crude oil futures markets, A first look, 40, 860
Zivot, 1992, Further evidence on the Great crash, the oil-price shock, and the unit-root hypothesis, J. Bus. Econ. Stat., 10, 251