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Chevallier, Julien - In: Energy Economics 33 (2011) 6, pp. 1267-1282

This paper constitutes the first exercise of nonparametric modeling applied to carbon markets. The framework of analysis is carefully detailed, and the empirical application unfolds in the case of BlueNext spot and ECX futures prices. The data is gathered in daily frequency from April 2005 to...

Persistent link: https://www.econbiz.de/10010576110

Oil price risk exposure: The case of the U.S. Travel and Leisure Industry

Mohanty, Sunil; Nandha, Mohan; Habis, Essam; Juhabi, Eid - In: Energy Economics 41 (2014) C, pp. 117-124

We investigate the oil price risk exposure of the U.S. Travel and Leisure industry. In this paper, we utilize the Fama–French–Carhart's (1997) four-factor asset pricing model augmented with oil price risk factor. The results of our study suggest that oil price sensitivities vary...

Persistent link: https://www.econbiz.de/10010729341

Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?

Beckmann, Joscha; Czudaj, Robert - In: Energy Economics 40 (2013) C, pp. 665-678

Although the link between oil prices and dollar exchange rates has been frequently analyzed, a clear distinction between prices and nominal exchange rate dynamics and a clarification of the issue of causality has not been provided. In addition, previous studies have mostly neglected...

Persistent link: https://www.econbiz.de/10010868790

Measuring contagion between energy market and stock market during financial crisis: A copula approach

Wen, Xiaoqian; Wei, Yu; Huang, Dengshi - In: Energy Economics 34 (2012) 5, pp. 1435-1446

In this paper, we apply time-varying copulas to investigate whether a contagion effect existed between energy and stock … dependence between crude oil and stock markets after the failure of Lehman Brothers, thus supporting the existence of contagion … the paired markets. This indicates that significant increases in tail dependence are an actual dimension of the contagion …

Persistent link: https://www.econbiz.de/10010593867

Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?

Wang, Yudong; Wu, Chongfeng - In: Energy Economics 34 (2012) 6, pp. 2167-2181

In this paper, we forecast energy market volatility using both univariate and multivariate GARCH-class models. First, we forecast volatilities of individual assets and find that multivariate models display better performance than univariate models. Second, we forecast crack spread volatility and...

Persistent link: https://www.econbiz.de/10010587994

Cointegration and causal relationships between energy consumption and output: Assessing the evidence from Australia

Shahiduzzaman, Md; Alam, Khorshed - In: Energy Economics 34 (2012) 6, pp. 2182-2188

In this paper, we describe our investigation of the cointegration and causal relationships between energy consumption and economic output in Australia over a period of five decades. The framework used in this paper is the single-sector aggregate production function, which is the first...

Persistent link: https://www.econbiz.de/10010588000

Forecasting Italian electricity zonal prices with exogenous variables

Gianfreda, Angelica; Grossi, Luigi - In: Energy Economics 34 (2012) 6, pp. 2228-2239

In the last few years we have observed the deregulation in electricity markets and an increasing interest in price dynamics has been developed especially to consider all stylized facts shown by spot prices. Only few papers have considered the Italian Electricity Spot market since it has been...

Persistent link: https://www.econbiz.de/10010588002

Oil price shocks and transportation firm asset prices

Aggarwal, Raj; Akhigbe, Aigbe; Mohanty, Sunil K. - In: Energy Economics 34 (2012) 5, pp. 1370-1379

The transportation sector is a major user of oil-based energy. Even as oil prices continue to fluctuate greatly, the impact of oil price changes on transportation firms has heretofore not been adequately examined. This paper fills this gap, documenting important new findings based on analysis of...

Persistent link: https://www.econbiz.de/10010593871

Oil price effects on personal consumption expenditures

Wang, Yu Shan - In: Energy Economics 36 (2013) C, pp. 198-204

This paper uses a logistic smooth transition model to examine the impact of rising oil prices on personal consumption expenditures in open and industrialized economies. The empirical results suggest a nonlinear and asymmetric relation between oil price changes and personal consumption...

Persistent link: https://www.econbiz.de/10010616841

Modeling and forecasting the volatility of petroleum futures prices

Kang, Sang Hoon; Yoon, Seong-Min - In: Energy Economics 36 (2013) C, pp. 354-362

We investigate volatility models and their forecasting abilities for three types of petroleum futures contracts traded on the New York Mercantile Exchange (West Texas Intermediate crude oil, heating oil #2, and unleaded gasoline) and suggest some stylized facts about the volatility of these...

Persistent link: https://www.econbiz.de/10010616864

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