Similar Search Results

Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - CESifo - 2013

This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...

Persistent link: https://www.econbiz.de/10010643340

Is It All Oil?

Asche, Frank; Osmundsen, Petter; Sandsmark, Maria - CESifo - 2005

After opening up of the Interconnector, the liberalized UK natural gas market and the regulated Continental gas markets became physically integrated. The oil-linked Continental gas price became dominant, due to both the large volume of the Continental market and to the fact that the significant...

Persistent link: https://www.econbiz.de/10005094192

Energy Taxes and Natural Gas Demand in EU-Countries

Asche, Frank; Osmundsen, Petter; Tveterås, Ragnar - CESifo - 2001

Producers or consumers faced with an increase in taxes are usually able to shift parts of it to other levels in the value chain. We examine who is actually bearing the burden of increased energy taxes in the EU-area - consumers or exporters. Traditional tax incidence theory presumes spot...

Persistent link: https://www.econbiz.de/10005196327

Gasoline Content Regulation and Compliance among US Refineries

Chakravorty, Ujjayant; Nauges, Céline; Thille, Henry - CESifo - 2012

The US refining industry is a leading producer of sulfur oxide and nitrogen oxide emissions. As a result of the Clean Air Act, it has been subject to a host of environmental regulations that prescribe the production processes firms can employ and limits their emissions based on the permits they...

Persistent link: https://www.econbiz.de/10010586073

The Optimal Energy Mix in Power Generation and the Contribution from Natural Gas in Reducing Carbon Emissions to 2030 and Beyond

Carraro, Carlo; Tavoni, Massimo; Longden, Thomas; … - CESifo - 2013

This paper analyses a set of new scenarios for energy markets in Europe to evaluate the consistency of economic incentives and climate objectives. It focuses in particular on the role of natural gas across a range of climate policy scenarios (including the Copenhagen Pledges and the EU Roadmap)...

Persistent link: https://www.econbiz.de/10010701083

Uncertainty and Economic Activity: A Global Perspective

Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, … - CESifo - 2014

slow down and contract. In this paper, we study the interrelation between financial markets volatility and economic … common factors affect volatility and economic activity with a time lag of at least a quarter. Under these assumptions, we … show analytically that volatility is forward looking and that the output equation of a typical VAR estimated in the …

Persistent link: https://www.econbiz.de/10010757723

Prediction Markets for Economic Forecasting

Snowberg, Erik; Wolfers, Justin; Zitzewitz, Eric - CESifo - 2012

Prediction markets - markets used to forecast future events - have been used to accurately forecast the outcome of political contests, sporting events, and, occasionally, economic outcomes. This chapter summarizes the latest research on prediction markets in order to further their utilization by...

Persistent link: https://www.econbiz.de/10010877703

Point and Density Forecasts for the Euro Area Using Bayesian VARs

Berg, Tim Oliver; Henzel, Steffen - CESifo - 2014

Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when the number of variables is large. In this paper we evaluate different variants of the BVAR with respect to their forecast accuracy for euro area real GDP growth and HICP...

Persistent link: https://www.econbiz.de/10010877728

Determinants of Country Beta Risk in Poland

Wdowinski, Piotr - CESifo - 2004

In the paper we analyze determinants of the capital market beta risk in Poland in the monthly period 1996-2002. The beta risk is measured as a time-varying parameter estimated in a regression of the Warsaw stock indexes (WIG and WIG20 separately) on major foreign stock market indexes (DJIA,...

Persistent link: https://www.econbiz.de/10005249463

Forecasting Time Series Subject to Multiple Structural Breaks

Pesaran, M. Hashem; Pettenuzzo, Davide; Timmermann, Allan - CESifo - 2004

This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …

Persistent link: https://www.econbiz.de/10005766178