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Fiscal sustainability, volatility and oil wealth : a stochastic analysis of fiscal spending rules
Wijnbergen, Sweder van; Budina, Nina - 2011
Whether fiscal policy is sustainable depends on a government's future revenue and expenditure streams, both of which are highly uncertain. In commodity-rich countries, this problem is intensified by unpredictable and volatile commodity prices. We show how spending rules for oil income and...
Persistent link: https://www.econbiz.de/10011386438
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Herding, information cascades and volatility spillovers in futures markets
McAleer, Michael; Radalj, Kim - 2013
Persistent link: https://www.econbiz.de/10009784945
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Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA
Chang, Chia-Lin; McAleer, Michael; Zuo, Guangdong - 2017 - Revised: May 2017
volatility of carbon emissions, it is not surprising that crude oil and coal have recently become a very important research topic … causality and volatility spillovers in spot and futures prices of carbon emissions, crude oil, and coal. A likelihood ratio test … is developed to test the multivariate conditional volatility Diagonal BEKK model, which has valid regularity conditions …
Persistent link: https://www.econbiz.de/10011658757
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Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH
Brännäs, Kurt; Gooijer, Jan G. de - 2000
The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...
Persistent link: https://www.econbiz.de/10011303289
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Success and failure of technical trading strategies in the cocoa futures market
Boswijk, Herman Peter; Griffioen, Gerwin; Hommes, Cars H. - 2001
-study suggests a connectionbetween the succes or failure of technical trading and the relative magnitudesof trend and volatility of …
Persistent link: https://www.econbiz.de/10011313922
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Is power production flexibility a substitute for storability? : evidence from electricity futures prices
Kilic, Mehtap; Huisman, Ronald - 2010
time as a shortage in production volume cannot be compensated with supply from inventories. However, if the installed power …
Persistent link: https://www.econbiz.de/10011381018
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Success and failure of technical trading strategies in the cocoa futures market
Boswijk, Herman Peter; Griffioen, Gerwin; Hommes, Cars H. - 2000
Persistent link: https://www.econbiz.de/10001554489
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Risk-averse and risk-seeking investor preferences for oil spot and futures
Hooi Hooi Lean; McAleer, Michael; Wong, Wing Keung - 2013
Persistent link: https://www.econbiz.de/10010191274
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Risk measures for autocorrelated hedge fund returns
Di Cesare, Antonio; Stork, Philip; Vries, Casper G. de - 2011
Persistent link: https://www.econbiz.de/10009230368
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Out of Africa : what drives the pressure to emigrate?
Dalen, Hendrik P. van; Groenewold, George; Schoorl, … - 2004
This paper evaluates the strength of social and economic forces that affect the pressure to emigrate 'out of Africa' for four distinctly different African countries (Morocco, Egypt, Senegal and Ghana). In general, great expectations about attaining a higher living standard and expected low job...
Persistent link: https://www.econbiz.de/10011333875