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Forecasting Accuracy of Crude Oil Futures Prices
Kumar, Manmohan S. - 1991
This paper undertakes an investigation into the efficiency of the crude oil futures market and the forecasting accuracy of futures prices. Efficiency of the market is analysed in terms of the expected excess returns to speculation in the futures market. Accuracy of futures prices is compared...
Persistent link: https://www.econbiz.de/10014395895
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Transitory and permanent shocks in the global market for crude oil
Rebei, Nooman; Sbia, Rashid - 2020
This paper documents the determinants of real oil price in the global market based on SVAR model embedding transitory and permanent shocks on oil demand and supply as well as speculative disturbances. We find evidence of significant differences in the propagation mechanisms of transitory versus...
Persistent link: https://www.econbiz.de/10012251290
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Asian Flu or Wall Street Virus? : Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia
Chan-Lau, Jorge A. - 2002
This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility … ""stock market correction"" period. There is also evidence of structural breaks in the stock price and volatility dynamics …
Persistent link: https://www.econbiz.de/10014399563
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On the Sources of Oil Price Fluctuations
Unalmis, Deren - 2009
Analyzing macroeconomic impacts of oil price changes requires first to investigate different sources of these changes and their distinct effects. Kilian (2009) analyzes the effects of an oil supply shock, an aggregate demand shock, and a precautionary oil demand shock. The paper''s aim is to...
Persistent link: https://www.econbiz.de/10014402212
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Oil prices and GCC stock markets : new evidence from smooth transition models
Cheikh, Nidhaleddine Ben; Ben Naceur, Samy; Kanaan, … - 2018
Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...
Persistent link: https://www.econbiz.de/10011852573
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Macro-Hedging for Commodity Exporters
Borensztein, Eduardo - 2009
through two channels. First, by reducing export income volatility and allowing for a smoother consumption path. Second, by …
Persistent link: https://www.econbiz.de/10014402269
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Looking Beyond the Fiscal : Do Oil Funds Bring Macreconomic Stability?
Shabsigh, Ghiath - 2007
reduce macroeconomic volatility. The econometric estimation results from a 30-year panel data set of 15 countries with and … without oil funds suggest that oil funds are associated with reduced volatility of broad money and prices and lower inflation …. However, there is a statistically weak negative association between the presence of an oil fund and volatility of the real …
Persistent link: https://www.econbiz.de/10014400575
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Modeling Stochastic Volatility with Application to Stock Returns
Krichene, Noureddine - 2003
A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for … volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion … specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential …
Persistent link: https://www.econbiz.de/10014400143
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Do commodity futures help forecast spot prices?
Reichsfeld, David A.; Roache, Shaun K. - 2011
Persistent link: https://www.econbiz.de/10009422245
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Do Commodity Futures Help Forecast Spot Prices?
Reichsfeld, David - 2011
We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test whether this performance is affected by market conditions. We reject efficient markets based on in-sample tests but, out-of-sample, we find that the forecast from the futures...
Persistent link: https://www.econbiz.de/10014397825