The research investigated the impact of macroeconomic variables on volatility commodity futures market in India (together with oil futures, agricultural and metal futur...

I use daily futures price data to examine the behavior of natural gas and crude oil price volatility in the U.S. since 1990. I test whether there has been a significant trend in volatility, whether there was a short-term increase in volatility during the time of the Enron collapse, and whether natural gas and crude oil price volatilities are interrelated. I also measure the persistence of shock...

a r t i c l e i n f o Available online xxxx JEL classification: G15 O13 Q43 Keywords: Psychological barriers Clustering WTI Brent Multiple hypothesis testing WTI and Brent futures are tested for the presence of psychological barriers around $10 price levels, applying a multiple hypothesis testing approach for statistical robustness. Psychological barriers are found to be present in Brent prices...

In this paper we examine whether WTI and Brent crude oil spot and futures prices (at one, three and six months to maturity) contain a unit root with one and two structural breaks, employing weekly data over the period 1991-2004. To realize this objective we employ Lagrange Multiplier (LM) unit root tests with one and two endogenous structural breaks proposed by Lee and Stazicich (2003, 2004). W...

This paper presents an application of the recently developed method for simultaneous dimension reduction and metastability analysis of high-dimensional time series in the context of computational finance. Further extensions are included to combine state-specific principal component analysis (PCA) and state-specific regressive trend models to handle the high-dimensional, nonstationary data. The ...

There is a sizeable literature that tests for weak-form efficiency in commodity and energy spot and futures prices. While many studies now allow for multiple structural breaks to address the criticism that conventional unit root tests have low power to reject the unit root null in the presence of structural change, the extant literature overlooks the fact that conventional unit root tests are b...

This paper investigates the impact of soybean and crude oil futures on palm indexes by utilising monthly data from three listed in Bursa Malaysia, i.e., Asian index, Malaysian Plantation spanning January 2010 to June 2020. The impacts were analysed using Autoregressive Distributed Lag (ARDL) bounds test approach causality test. statistical findings revealed that index has a long-run relationshi...