Browsing by Author "Wang, Rui"
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Speculation and Return Volatility: Evidence from the WTI Crude Oil Market
Wang, Rui (2013-11-22)Based on the data of the Commitments of Traders reports from 2000 to 2013, this paper investigates the impact of speculative futures trading on the return volatility of WTI crude oil. The threshold GARCH specification ...