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A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
Baumeister, Christiane - 2016
market expectation of the price of the underlying asset. Although this expectation in principle may be recovered by adjusting … the futures price by the estimated risk premium, a common problem is that there are as many measures of the market … long-standing problem of how to estimate the market expectation of the price of crude oil. We provide a new measure of oil …
Persistent link: https://www.econbiz.de/10012996209
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Time-Varying Spot and Futures Oil Price Dynamics
Caporale, Guglielmo Maria - 2013
, but the relative contribution of the two types of market turns out to be highly unstable, especially for the most deferred …
Persistent link: https://www.econbiz.de/10013094836
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Model Averaging in Risk Management with an Application to Futures Markets
Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - 2021
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...
Persistent link: https://www.econbiz.de/10013316571
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Price Effects on Compound Commodities
Minagawa, Junichi - 2016
We explore effects of simultaneous price changes for the demand of a group of goods, which we refer to as a compound commodity. Specifically, we consider unit and proportional cost components (e. g., taxes, transportation costs, etc.) imposed on the compound commodity. We find that there is a...
Persistent link: https://www.econbiz.de/10012981296
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What Drives Home Market Advantage?
Cosar, Kerem - 2015
In the automobile industry, as in many tradable goods markets, firms earn their highest market share within their … domestic market. This home market advantage persists despite substantial integration of international markets during the past … several decades. The goal of this paper is to quantify the supply- and demand-driven sources of the home market advantage and …
Persistent link: https://www.econbiz.de/10013012565
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Mergers and Partial Ownership
Foros, Øystein - 2010
In this paper we compare the profitability of a merger to the profitability of a partial ownership arrangement and find that partial ownership arrangements can be more profitable for the acquiring and acquired firm because they can result in a greater dampening of competition. We also derive...
Persistent link: https://www.econbiz.de/10013148773
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Variable Selection and Inference for Multi-Period Forecasting Problems
Pesaran, M. Hashem - 2011
This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both univariate and multivariate models. Theoretical results and Monte Carlo simulations suggest that iterated forecasts dominate direct forecasts when estimation error is a...
Persistent link: https://www.econbiz.de/10012756285
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Forecasting Random Walks Under Drift Instability
Pesaran, M. Hashem - 2011
This paper considers forecast averaging when the same model is used but estimation is carried out over different estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or more structural breaks. It is shown that compared to...
Persistent link: https://www.econbiz.de/10012756639
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Assessing Forecast Uncertainties in a VECX Model for Switzerland : An Exercise in Forecast Combination Across Models and Observation Windows
Assenmacher, Katrin - 2009
We investigate the effect of forecast uncertainty in a cointegrating vector error correction model for Switzerland. Forecast uncertainty is evaluated in three different dimensions. First, we investigate the effect on forecasting performance of averaging over forecasts from different models....
Persistent link: https://www.econbiz.de/10012766904
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The Economic Roots of the Rise of Trumpism
Komlos, John - 2018
Donald Trump won the election in 2016 largely because enough voters in three states, all in the Rustbelt, who had voted for Barack Obama in both 2008 and 2012, switched their vote from Democratic to Republican. Economic dislocations played a crucial role in these swing states or democratic...
Persistent link: https://www.econbiz.de/10012924354