Time-varying spillover effects and investment strategies between WTI crude oil, natural gas and Chinese stock markets related to belt and road initiative

How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method

“…They observe that gold is an effective hedge for G-7 stocks, while silver and platinum are the weak hedge for G-7 stocks. Dai & Zhu [22] employ a DCC-GARCH t-Copula model to hedge stock markets through crude oil and natural gas futures. The empirical results show that crude and gas futures are cheap hedges.…”

“…(2) Volatility modeling is an important prerequisite to ensure successful hedge ratio estimation. GARCH family is the most common method to describe volatility in the hedging modeling, which is limited to describing conditional variance [17] , [18] , [19] , [20] , [21] , [22] , [23] . However, conditional higher moments are frequently reported in financial assets [34] , [35] .…”

The Growth of Oil Futures in China: Evidence of Market Maturity through Global Crises

“…That is, a subsample running from March 26, 2018, to November 16, 2019 (hereafter referred to as P1), a sub-sample running from November 17, 2019, to December 30, 2019 (hereafter referred to as the P2 period), and a subsample running from December 31, 2019, to October 1, 2020 (hereafter referred to as the P3 period). Variable selection explicitly surrounded Chinese crude oil markets, combined with a selection of the largest energy markets in the world, including West Texas Intermediate oil, Brent crude oil, DME Oman oil, and futures markets relating to fuel oil, coking coal, thermal coal, iron ore, ethylene glycol, and methanol, many of which have been analysed across several previous studies such as those presented by Kong et al (2019), Mensi et al (2021) and Dai and Zhu (2022). We split the data sample, in the same manner, following Corbet et al (2020b).…”

COVID-19 forecasts via stock market indicators

“…For further recent studies of technical indicators applied to stock market returns the author may also wish to compare with e.g. 12 – 15 .…”