Similar Search Results

STAR-GARCH models for stock market interactions in the Pacific Basin region, Japan and US

Busetti, Giorgio; Manera, Matteo - 2003

We investigate the financial interactions between countries in the Pacific Basin region (Korea, Singapore, Malaysia, Hong Kong and Taiwan), Japan and US. The originality of the paper is the use of STAR-GARCH models, instead of standard correlation-cointegration techniques. For each country in...

Persistent link: https://www.econbiz.de/10011591386

How does stock market volatility react to oil shocks?

Bastianin, Andrea; Manera, Matteo - 2015 - Revised: June 2015

Persistent link: https://www.econbiz.de/10011765234

Food versus fuel : causality and predictability in distribution

Bastianin, Andrea; Galeotti, Marzio; Manera, Matteo - 2013 - This draft: March 14th 2013

This paper examines the relationship between biofuels and commodity food prices in the U.S. from a new perspective. While a large body of literature has tried to explain the linkages between sample means and volatilities associated with ethanol and agricultural price returns, little is known...

Persistent link: https://www.econbiz.de/10009737363

Asymmetric error correction models for the oil-gasoline price relationship

Grasso, Margherita (contributor); Manera, Matteo (contributor) - 2005

Persistent link: https://www.econbiz.de/10003357807

A weekly structural VAR model of the US crude oil market

Valenti, Daniele; Bastianin, Andrea; Manera, Matteo - 2022

We present a weekly structural Vector Autoregressive (VAR) model of the US crude oil market. Exploiting weekly data we can explain short-run crude oil price dynamics, including those related with the COVID-19 pandemic and with the Russia's invasion of Ukraine. The model is set identified with a...

Persistent link: https://www.econbiz.de/10013254444

Investment-uncertainty relationship in the oil and gas industry

Ahmadi, Maryam; Manera, Matteo; Sadeghzadeh, Mehdi - 2018

Recent studies on oil market demonstrate endogeneity of oil price by modeling it as a function of consumption and precautionary demands and producers’ supply. However, studies analysing the effect of oil price uncertainty on investment, do not disentangle uncertainties raised by underlying...

Persistent link: https://www.econbiz.de/10011824181

The effects of environmental risk on consumption : an empirical analysis on the Mediterranean countries

Baiardi, Donatella; Manera, Matteo; Menegatti, Mario - 2014

significantly influence consumption dynamics. Our estimates of the indexes of relative risk aversion and relative prudence, as well …

Persistent link: https://www.econbiz.de/10010347224

Consumption and precautionary saving : an empirical analysis under both financial and environmental risks

Baiardi, Donatella; Manera, Matteo; Menegatti, Mario - 2011

: financial risk and environmental risk. The analysis is carried out using time series data for six advanced economies in the … period 1965-2007. The results support the theoretical conclusions that both financial risk alone and the interaction between … empirical analysis performed with one-argument utility functions. Finally, we provide new estimates of indexes of relative risk …

Persistent link: https://www.econbiz.de/10009235901

Uncertainty and stock returns in energy markets: a quantile regression approach

Cedic, Samir; Mahmoud, Alwan; Manera, Matteo; Uddin, … - 2021

The aim of this paper is to analyze the relationship between different types of uncertainty and stock returns of the renewable energy and the oil & gas sectors. We use the quantile regression approach developed by Koenker and d'Orey (1987; 1994) to assess which uncertainties are the potential...

Persistent link: https://www.econbiz.de/10012510024