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A Fear Index to Predict Oil Futures Returns

Chevallier, Julien; Sévi, Benoît - Fondazione ENI Enrico Mattei (FEEM) - 2013

This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also...

Persistent link: https://www.econbiz.de/10010678658

Modelling Asymmetric Dependence Using Copula Functions: An application to Value-at-Risk in the Energy Sector

Bastianin, Andrea - Fondazione ENI Enrico Mattei (FEEM) - 2009

that asymmetries show up in their unconditional distribution, as well as in their unconditional copula. The VaR forecasting …

Persistent link: https://www.econbiz.de/10005012145

Energy Demand and Temperature: A Dynamic Panel Analysis

Bigano, Andrea; Bosello, Francesco; Marano, Giuseppe - Fondazione ENI Enrico Mattei (FEEM) - 2006

This paper is a first attempt to investigate the effect of climate on the demand for different energy vectors from different final users. The ultimate motivation for this is to arrive to a consistent evaluation of the impact of climate change on key consumption goods and primary factors such as...

Persistent link: https://www.econbiz.de/10005385507

The Impact of Temperature Change on Energy Demand: A Dynamic Panel Analysis

Cian, Enrica De; Lanzi, Elisa; Roson, Roberto - Fondazione ENI Enrico Mattei (FEEM) - 2007

This paper presents an empirical study of energy demand, in which demand for a series of energy goods (Gas, Oil Products, Coal, Electricity) is expressed as a function of various factors, including temperature. Parameter values are estimated econometrically, using a dynamic panel data approach....

Persistent link: https://www.econbiz.de/10005570308

Energy Access Scenarios to 2030 for the Power Sector in Sub-Saharan Africa

Bazilian, Morgan; Nussbaumer, Patrick; Rogner, Hans-Holger - Fondazione ENI Enrico Mattei (FEEM) - 2011

-term forecasting methods for power planning, show roughly a threefold increase in installed generation capacity occurring by 2030, but …

Persistent link: https://www.econbiz.de/10009321002

A Trend Deduction Model of Fluctuating Oil Prices

Xu, Haiyan; Zhang, ZhongXiang - Fondazione ENI Enrico Mattei (FEEM) - 2011

Crude oil prices have been fluctuating over time and by a large range. It is the disorganization of oil price series that makes it difficult to deduce the changing trends of oil prices in the middle- and long-terms and predict their price levels in the short-term. Following a price-state...

Persistent link: https://www.econbiz.de/10009002695

Biofuels and Food Prices: Searching for the Causal Link

Bastianin, Andrea; Galeotti, Marzio; Manera, Matteo - Fondazione ENI Enrico Mattei (FEEM) - 2013

We analyze the relationship between the prices of ethanol, agricultural commodities and livestock in Nebraska, the U.S. second largest ethanol producer. The paper focuses on long-run relations and Granger causality linkages between ethanol and the other commodities.The analysis takes possible...

Persistent link: https://www.econbiz.de/10010633230

Forecasting the Oil-gasoline Price Relationship: Should We Care about the Rockets and the Feathers?

Bastianin, Andrea; Galeotti, Marzio; Manera, Matteo - Fondazione ENI Enrico Mattei (FEEM) - 2014

forecasting performance of econometric models incorporating asymmetric price transmission from crude oil to gasoline. In this … point forecasting, while it can be exploited to produce more accurate sign and probability forecasts. Finally, we highlight … that the forecasting performance of the estimated models is time-varying. …

Persistent link: https://www.econbiz.de/10010752411

Industrial Coal Demand in China: A Provincial Analysis

Manera, Matteo; Cattaneo, Cristina; Scarpa, Elisa - Fondazione ENI Enrico Mattei (FEEM) - 2008

The general concern on the environmental implications of the rising demand for coal registered in China during the last few years has induced considerable research effort to produce accurate forecasts of China’s energy requirements. Nevertheless, no previous study has modelled the coal demand...

Persistent link: https://www.econbiz.de/10004965192

Oil Price Forecast Evaluation with Flexible Loss Functions

Bastianin, Andrea; Manera, Matteo; Markandya, Anil; … - Fondazione ENI Enrico Mattei (FEEM) - 2011

The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that … frequencies on a common sample and common data. Fourth, we evaluate the forecasting performance of each selected model using …

Persistent link: https://www.econbiz.de/10009421234