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Hamilton, James D. - 2013

If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the arbitrageurs who take the other side of the contracts may receive compensation for their assumption of nondiversifiable risk in the form of positive expected returns from their...

Persistent link: https://www.econbiz.de/10012459606

Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices

Chen, Joseph - 2000

This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...

Persistent link: https://www.econbiz.de/10012471074

Volatility Forecasting

Andersen, Torben G. - 2005

Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …

Persistent link: https://www.econbiz.de/10012467497

Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets

Froot, Kenneth A. - 1987

Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...

Persistent link: https://www.econbiz.de/10012476706

Did Iraq Cheat the United Nations? Underpricing, Bribes, and the Oil for Food Program

Hsieh, Chang-Tai - 2005

From 1997 through early 2003, the United Nations Oil for Food Program allowed Iraq to export oil in exchange for humanitarian supplies. We measure the extent to which this program was corrupted by Iraq's attempts to deliberately set the price of its oil below market prices in an effort to...

Persistent link: https://www.econbiz.de/10012467483

Crude Oil Price Differentials and Pipeline Infrastructure

McRae, Shaun - 2017

Crude oil production in the United States increased by nearly 80 percent between 2008 and 2016, mostly in areas that were far from existing refining and pipeline infrastructure. The production increase led to substantial discounts for oil producers to reflect the high cost of alternative...

Persistent link: https://www.econbiz.de/10012453543

The External Costs of Transporting Petroleum Products by Pipelines and Rail : Evidence From Shipments of Crude Oil from North Dakota

Clay, Karen - 2017

petroleum products by rail and pipelines. While crude oil transportation has generated intense policy debate about rail and …

Persistent link: https://www.econbiz.de/10012453859

Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

Trolle, Anders B. - 2006

We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude …-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic volatility in … stochastic volatility. The model features correlations between innovations to futures prices and volatility, quasi …

Persistent link: https://www.econbiz.de/10012465916

The Predictive Content of Energy Futures : An Update on Petroleum, Natural Gas, Heating Oil and Gasoline

Chinn, Menzie D. - 2005

This paper examines the relationship between spot and futures prices for energy commodities (crude oil, gasoline, heating oil markets and natural gas). In particular, we examine whether futures prices are (1) an unbiased and/or (2) accurate predictor of subsequent spot prices. We find that while...

Persistent link: https://www.econbiz.de/10012467654

Risky Oil : It's All in the Tails

Baumeister, Christiane; Huber, Florian; Marcellino, … - National Bureau of Economic Research - 2024

shocks are driven by a stochastic volatility model. We show that our nonparametric approach improves in terms of tail … stochastic volatility, and the simple random walk. We illustrate the practical relevance of our new approach by tracking the …

Persistent link: https://www.econbiz.de/10014544801

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