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Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost … contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed …. -- cointegration ; oil market ; futures prices ; price discovery …
Persistent link: https://www.econbiz.de/10003965099
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The dependence structure between carbon emission allowances and financial markets : a copula analysis
Gronwald, Marc; Ketterer, Janina; Trück, Stefan - 2011
This paper applies different copulas in order to investigate the complex dependence structure between EU emission allowance (EUA) futures returns and those of other commodities, equity and energy indices. The analysis yields important insights into the relationship between carbon, commodities...
Persistent link: https://www.econbiz.de/10009011778
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Macro news and commodity returns
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2015
This paper adopts a VAR-GARCH approach to model the dynamic linkages between both the mean and the variance of macro news and commodity returns (Gold, Corn, Wheat, Soybeans, Silver, Platinum, Palladium, Copper, Aluminium and Crude Oil) over the period 01/01/2001-26/09/2014. The chosen...
Persistent link: https://www.econbiz.de/10011346863
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A general approach to recovering market expectations from futures prices with an application to crude oil
Baumeister, Christiane; Kilian, Lutz - 2016
Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset....
Persistent link: https://www.econbiz.de/10011434566
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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
This paper examines the effect of financialisation of futures markets has on the relationship between crude oil futures 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...
Persistent link: https://www.econbiz.de/10012599014
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UK natural gas : gas-specific or oil driven pricing?
Asche, Frank; Oglend, Atle; Osmundsen, Petter - 2013
where relative prices can move between pricing-regimes; markets switch between being decoupled and integrated. Our model …-specific pricing is primarily related to fall/winter peak-load gas pricing and that mean reversion in relative prices is dependent on …
Persistent link: https://www.econbiz.de/10010212645
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Informational efficiency of world oil markets : one great pool, but with varying depth
Gronwald, Marc; Wadud, Sania; Dogah, Kingsley - 2024
connection between the literature on oil market integration and that focusing on the informational efficiency of oil prices. …
Persistent link: https://www.econbiz.de/10014505288
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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
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Frequency volatility connectedness and portfolio hedging of U.S. energy commodities
Kočenda, Evžen; Moravcová, Michala - 2024
We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show that the total connectedness increased over time, likely due to the increasing financialization of energy commodities. It fluctuates with respect to (i) different investment...
Persistent link: https://www.econbiz.de/10014456134
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Evaluating market consolidation in mobile communications
Genakos, Christos; Valletti, Tommaso M.; Verboven, Frank - 2017
We study the dual relationship between market structure and prices and between market structure and investment in … mobile telecommunications. Using a uniquely constructed panel of mobile operators’ prices and accounting information across … 33 OECD countries between 2002 and 2014, we document that more concentrated markets lead to higher end user prices …
Persistent link: https://www.econbiz.de/10011659539