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Ielpo, Florian; Sévi, Benoît - Institut de Préparation à l'Administration et à la … - 2014

Forecasting the density of returns is useful for many purposes in finance, such as risk manage- ment activities, portfolio choice or derivative security pricing. Existing methods to forecast the den- sity of returns either use prices of the asset of interest or option prices on this same asset....

Persistent link: https://www.econbiz.de/10010930520

Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps

Sévi, Benoît - Institut de Préparation à l'Administration et à la … - 2014

In this paper, we first provide empirical evidence of the existence of intraday jumps in the crude oil price series. We then show that these jumps, in conjunction with realized volatility measures, are important in modeling the convenience yield over the 2001-2010 period. Our empirical results...

Persistent link: https://www.econbiz.de/10010930522

Review of the Stochastic Properties of CO2 Futures Prices

Chevallier, Julien - Institut de Préparation à l'Administration et à la … - 2014

In this paper, we review the extant mathematical and environmental economics literatures on the stochastic properties of CO2 emission allowance futures prices. We explain the main findings arising from this literature from both continuous- and jump-diffusion models. Based on the Activity...

Persistent link: https://www.econbiz.de/10010891126

Energy price transmissions during extreme movements

Joëts, Marc - Institut de Préparation à l'Administration et à la … - 2013

This paper investigates price transmissions across European energy forward markets at distinct maturities during both normal times and extreme ?uctuation periods. To this end, we rely on the traditional Granger causality test (in mean) and its multivariate extension in tail distribution...

Persistent link: https://www.econbiz.de/10010860550

Causal relationship between asset prices and output in the US: Evidence from state-level panel Granger causality test

Emirmahmutoglu, Furkan; Apergis, Nicholas; Simo-Kengne, … - Institut de Préparation à l'Administration et à la … - 2014

This paper investigates the causal relationship between asset prices and per capita output across 50 US states and the District of Columbia over 1975 to 2012. A bootstrap panel Granger causality approach is applied on a trivariate VAR comprising of real house prices, real stock prices and real...

Persistent link: https://www.econbiz.de/10010891035

The Relationship between Population Growth and Economic Growth Over 1870-2013: Evidence from a Bootstrapped Panel-Granger Causality Test

Chang, Tsangyao; Chu, Hsiao-Ping; Deale, Frederick W.; … - Institut de Préparation à l'Administration et à la … - 2014

This study applies the bootstrap panel causality test proposed by Kónya (2006), which accounts for both dependency and heterogeneity across countries, to test the causal link between population growth and economic growth in 21 countries over the period of 1870-2013. With regards to the...

Persistent link: https://www.econbiz.de/10010891049

Revisiting the Environmental Kuznets Curve in a Global Economy

Shahbaz, Muhammad; Ozturk, Ilhan; Afza, Talat; Ali, Amjad - Institut de Préparation à l'Administration et à la … - 2014

The present study deals with an empirical investigation between CO2 emissions, energy intensity, economic growth and globalization using annual data over the period of 1970- 2010 for Turkish economy. We applied unit root test and cointegration approach in the presence of structural breaks. The...

Persistent link: https://www.econbiz.de/10010891072

Modeling the causal linkages between nuclear energy, renewable energy and economic growth in developed and developing countries

Omri, Anis; mabrouk, Nejah ben; Sassi-Tmar, Amel - Institut de Préparation à l'Administration et à la … - 2015

This paper investigates the causal relationship among energy consumption (i.e., nuclear energy and renewable

Persistent link: https://www.econbiz.de/10011252726

Nuclear energy, renewable energy, and economic growth in developed and developing countries : A modelling analysis from simultaneous-equation models

Omri, Anis; Chaibi, Anissa - Institut de Préparation à l'Administration et à la … - 2014

This paper investigates the causal relationship among two types of energy consumption (nuclear energy and renewable energy) and economic growth using dynamic simultaneous-equation panel data models for 17 developed and developing countries. Our results indicate that there is a unidirectional...

Persistent link: https://www.econbiz.de/10010754755

Do global factors impact BRICS stock markets? A quantile regression approach

Mensi, Walid; Hammoudeh, Shawkat; Reboredo, Juan Carlos; … - Institut de Préparation à l'Administration et à la … - 2014

This paper examines the dependence structure between the emerging stock markets of the BRICS countries (Brazil, Russia … period from September 1997 to September 2013 show that the BRICS stock markets exhibit asymmetric dependence with the global … display a symmetric tail independence with all those BRICS markets (except that of South Africa), even though the dependence …

Persistent link: https://www.econbiz.de/10010754739