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Connectedness between the crude oil futures and equity markets during the pre- and post-financialisation eras

Wadud, Sania; Durand, Robert B.; Gronwald, Marc - 2021

and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price … volatility, namely, seasonality and maturity effects for the pre-financialisation (1993-2003) and post-financialisation (2004 … futures' volatility before the financialisation period, open interest as a measure of liquidity has a negative effect after …

Persistent link: https://www.econbiz.de/10012599014

Oil market efficiency, quantity of information, and oil market turbulence

Gronwald, Marc; Wadud, Sania; Dogah, Kingsley - 2024

This paper analyses the informational efficiency of the WTI crude oil markets using a recently proposed quantitative measure for market inefficiency. The procedure measures the extent to which observed oil price behaviour deviates from the Random Walk benchmark which represents an efficient...

Persistent link: https://www.econbiz.de/10014490913

The dependence structure between carbon emission allowances and financial markets : a copula analysis

Gronwald, Marc; Ketterer, Janina; Trück, Stefan - 2011

during the period of the financial crisis. In a Value-at-Risk (VaR) analysis, finally, we further illustrate the advantages … of copula methods. In particular the Student-t copula provides an appropriate quantification of VaR at different …

Persistent link: https://www.econbiz.de/10009011778

Informational efficiency of world oil markets : one great pool, but with varying depth

Gronwald, Marc; Wadud, Sania; Dogah, Kingsley - 2024

This paper investigates the informational efficiency of global crude oil markets using a recently introduced quantitative measure for market inefficiency. The methodology assesses the deviation of observed oil price behavior from the Random Walk benchmark, representing an efficient market. The...

Persistent link: https://www.econbiz.de/10014505288

Evaluating emission trading as a policy tool : evidence from conditional jump models

Gronwald, Marc; Ketterer, Janina - 2009

This paper, first, empirically investigates European emission allowance (EUA) prices and, second, evaluates emission trading as a policy measure. Applying combined jump GARCH models yields strong evidence of conditional jump behavior. This implies that EUA prices are subject to unexpected...

Persistent link: https://www.econbiz.de/10003854402

A characterization of oil price behavior : evidence from jump models

Gronwald, Marc - 2011

This paper is concerned with the statistical behavior of oil prices in two ways. It, firstly, applies a combined jump GARCH in order to characterize the behavior of daily, weekly as well as monthly oil prices. Secondly, it relates its empirical results to implications of Hotelling-type resource...

Persistent link: https://www.econbiz.de/10009377786

Explosive oil prices

Gronwald, Marc - 2013

This paper deals with three aspects of spectacular oil price episodes such as the one witnessed in 2008. First, the concept of temporary explosiveness is proposed as an empirical method for capturing this type of behavior. The application of a recently proposed recursive unit root test shows...

Persistent link: https://www.econbiz.de/10009786017

The economics of bitcoins : market characteristics and price jumps

Gronwald, Marc - 2014

autoregressive jump-intensity GARCH model; a model tested and proven by the empirical finance community. Results suggest that Bitcoin …

Persistent link: https://www.econbiz.de/10010464707