Papers in the literature have thus far overlooked the projected increase in U.S. diesel car share when looking at asymmetries in petroleum pricing. This paper addresses this issue by comparing retail gasoline and diesel prices in order to see whether they rise faster than they fall given the...

This paper deals with the analysis of two observed features in historical oil price data; in particular, persistence and cyclicity. Using monthly data from September 1859 to October 2013, we observe that the series presents two peaks in the spectrum, one occurring at the long run or zero...

This paper explores the relevance of asymmetry and long memory in modeling and forecasting the conditional volatility and market risk of four widely traded commodities (crude oil, natural gas, gold, and silver). A broad set of the most popular linear and nonlinear GARCH-type models is used to...

This paper extends previous studies by investigating the relevance of structural breaks and long memory in modeling and forecasting the conditional volatility of oil spot and futures prices using a variety of GARCH-type models. Our results can be summarized as follows. First, we provide evidence...

In this paper we model the adjustment process of European Union Allowance (EUA) prices to the releases of announcements at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that the high-frequency EUA price dynamics are very well...

A model of rational addiction (RA) with optimal inventories is developed and empirically tested using data on purchases in Japan. If a consumer has information regarding a future price increase, then she may hoard addictive goods; in this case, the optimal inventory period increases with the...

This paper establishes monotonicity of the chi-square test statistic. As the more efficient parameter estimator is plugged into the test statistic, the degrees of freedom of the resulting chi-square test statistic monotonically increase. -- cell ; chi-square test ; Fisher information ;...

This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...

In this paper, we propose a robust approach against heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models. First, we establish the asymptotic validity of the Wald test based on the widely used panel heteroskedasticity and autocorrelation...

This study analyzes how the stock market returns, the factor loadings from the Carhart (1997) 4-factor model, and the idiosyncratic volatility of shares in energy firms have been affected by the Fukushima nuclear accident. Unlike existing studies, which provide evidence of a wealth transfer from...