A threshold effect of COVID-19 risk on oil price returns
- 1 April 2023
- journal article
- research article
- Published by Elsevier BV in Energy Economics
- Vol. 120, 106618
- https://doi.org/10.1016/j.eneco.2023.106618
Abstract
No abstract availableKeywords
This publication has 27 references indexed in Scilit:
- Psychological barriers in oil futures marketsEnergy Economics, 2016
- A five-factor asset pricing modelJournal of Financial Economics, 2015
- Index Investment and the Financialization of CommoditiesCFA Magazine, 2012
- Oil price uncertainty and the Canadian economy: Evidence from a VARMA, GARCH-in-Mean, asymmetric BEKK modelEnergy Economics, 2012
- Clustering and psychological barriers: the importance of numbersJournal of Futures Markets, 2001
- Sample Splitting and Threshold EstimationEconometrica, 2000
- On Persistence in Mutual Fund PerformanceThe Journal of Finance, 1997
- Residual-based tests for cointegration in models with regime shiftsJournal of Econometrics, 1996
- Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive ModelThe Annals of Statistics, 1993
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix EstimationEconometrica, 1991