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Spillovers between sovereign bonds and the banking sector : evidence from Italy

Cafiso, Gianluca; Rivolta, Giulia - 2025

largest Italian banks as a sample over the period from 2003 to 2023. Our objective is to quantify and compare volatility …

Persistent link: https://www.econbiz.de/10015372003

Equity, commodity, and distillate risks during industrial transformation : innovation in the oil & gas industry using GARCH difference-in-decompositions

Carson, Scott Alan - 2024

The oil and gas industry’s early 2000’s fracking and horizontal drilling revolution realigned the industry and larger economies. This study uses New Growth Theory to evaluate innovation across an industry with various integrated but distinct upstream, midstream, and downstream units. Two...

Persistent link: https://www.econbiz.de/10015145025

Jump processes in natural gas markets

Mason, Charles F.; Wilmot, Neil - 2014

Natural gas is likely to become increasingly important in the future. Understanding the stochastic underpinnings of natural gas prices will be critical, both to policy analysts and to market participants. To this end, we investigate the potential presence of jumps in natural gas spot prices in...

Persistent link: https://www.econbiz.de/10010235818

UK natural gas : gas-specific or oil driven pricing?

Asche, Frank; Oglend, Atle; Osmundsen, Petter - 2013

In this paper we investigate the time-varying relationship between oil and natural gas in the UK. We develop a model where relative prices can move between pricing-regimes; markets switch between being decoupled and integrated. Our model endogenously accounts for periods where oil and natural...

Persistent link: https://www.econbiz.de/10010212645

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

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

Disentangling timing uncertainty of event-driven connectedness among oil-based energy commodities

Kočenda, Evžen; Bartušek, Daniel - 2024

historical events that triggered abrupt and enduring increases in volatility connectedness. Geopolitical events are more …

Persistent link: https://www.econbiz.de/10015125481

Model Averaging in Risk Management with an Application to Futures Markets

Pesaran, M. Hashem (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003641741

Aggregate insider trading and stock market volatility in the UK

Caporale, Guglielmo Maria; Kyriacou, Kyriacos; … - 2023

This paper examines the relationship between aggregate insider trading (AIT) and stock market volatility using monthly … specifically, a Vector Autoregression (VAR) model is estimated and Impulse Response analysis as well as Forecast Error Variance …-run increase in stock market volatility; this can be attributed to a combination of insiders manipulating the timing and content of …

Persistent link: https://www.econbiz.de/10014304456

The short and the long of it : stock-flow matching in the US housing market

Smith, Eric; Xie, Zoe; Fang, Lei - 2022

This paper investigates the US housing market from just before the Great Recession onward (2006-2019) and assesses the viability of stock-flow matching in generating the observed outcomes. The paper documents that the probability a house sells declines sharply after listing for two weeks....

Persistent link: https://www.econbiz.de/10013419282