The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange … and monetary) can account for volatility of real exchange rates in emerging economies, with international financial …

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …

In this paper we investigate the time-varying relationship between oil and natural gas in the UK. We develop a model … endogenously accounts for periods where oil and natural gas temporarily decouple due to gas specific pricing. We show that gas … the time of the year. Most of the reversion back to oil occurs in spring and summer when demand for gas to heating and …

In this paper we estimate a dominant firm-competitive fringe model for the crude oil market using quarterly data on oil … indicate that world GDP is the main driver of long-run oil prices, however, supply (depletion) factors have become more …

power if their country is oil-poor, but can stay in power by bribing the people if their country is oil-rich. Dictators from …

When natural gas prices are subject to periodic decoupling from oil prices, for instance due to peak-load pricing … address these issues. Our regime switching model uses price data to infer whether pricing is oil-driven (integrated) or gas …-specific (decoupled). We find that UK natural gas (ICE) and oil (Brent) are cointegrated for the majority of the sample considered (1997 …