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Persistent link: https://www.econbiz.de/10005119466
The Dynamic Conditional Correlation model of Engle has made the estimation of multivariate GARCH models feasible for reasonably big vectors of securities’ returns. In the present paper we show how Engle’s twosteps estimate of the model can be easily extended to elliptical conditional...
Persistent link: https://www.econbiz.de/10005119196
This paper tests a partially Segmented ICAPM using an asymmetric multivariate GARCH specification for two developed markets, two emerging markets and World market. We find that this asymmetric process provides a significantly better fit of the data than a standard symmetric process. The evidence...
Persistent link: https://www.econbiz.de/10005119439
We give the reader a tour of good energy optimization models that explicitly deal with uncertainty. The uncertainty … usually stems from unpredictability of demand and/or prices of energy, or from resource availability and prices. Since most … energy investments or operations involve irreversible decisions, a stochastic programming approach is meaningful. Many of the …
Persistent link: https://www.econbiz.de/10005125661
. World energy prices are used to bypass issues of endogeneity regarding primary exports. A one percent increase in world … energy price is estimated to decrease a net energy exporter’s real manufacturing exports by almost half a percent. Similarly …, after instrumentation, a one percent increase in an energy exporting country’s net energy exports is estimated decrease the …
Persistent link: https://www.econbiz.de/10005062648
energy supply and the affect that they have had on prices, on the economy and on society. For each commodity we have analysed …
Persistent link: https://www.econbiz.de/10005407790
by 15% in 2010. The reasons for this situation stem from a combination of economic growth and an inefficient energy …
Persistent link: https://www.econbiz.de/10005407804
OIL AS AN ENERGY PROPELLER, IS THE LARGEST INTERNATIONALLY TRADED COMMODITY THAT SHOWS HIGHLY VISIBLE INTERPLAY OF …
Persistent link: https://www.econbiz.de/10005412462
This work considers effects of energy market liberalisation in the countries of the former Soviet Union (FSU). Our … specialised model makes it possible to evaluate effects in a general equilibrium set-up. Energy market reforms are widely … second is an attempt to simulate an increase in the export capacity of energy commodities into the European markets. In …
Persistent link: https://www.econbiz.de/10005412653
Spanish energy domain. The model rests on our prior estimation of a demand system which is especially designed for … simultaneous analysis of different energy goods and uses household data from 1973 to 1995. Our objective is to obtain in … effects of energy taxes that resemble a 50 Euro tax on CO2 (carbon dioxide) emissions. The results show a significant response …
Persistent link: https://www.econbiz.de/10005560966