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On the economic determinants of oil production : theoretical analysis and empirical evidence for small exporting countries

Cologni, Alessandro; Manera, Matteo - 2011

In this paper, decisions regarding production in oil exporting countries are studied by means of theoretical analysis and empirical investigation. Under the assumptions of exogenous oil prices and world oil demand, we are able to describe the relationship between oil production levels and...

Persistent link: https://www.econbiz.de/10009231652

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

Busetti, Giorgio; Manera, Matteo - 2003

, Hong Kong and Taiwan), Japan and US. The originality of the paper is the use of STAR-GARCH models, instead of standard … provide evidence for the leading role of Japan in the period 1988-1990 (pre-Japanese crisis years), whereas our results …

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

Statistical and economic evaluation of time series models for forecasting arrivals at call centers

Bastianin, Andrea; Galeotti, Marzio; Manera, Matteo - 2017

Call centers' managers are interested in obtaining accurate forecasts of call arrivals because these are a key input in staffing and scheduling decisions. Therefore their ability to achieve an optimal balance between service quality and operating costs ultimately hinges on forecast accuracy. We...

Persistent link: https://www.econbiz.de/10011599302

Futures price volatility in commodities markets : the role of short term vs long term speculation

Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2013

This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt …-2010 analyzed at weekly frequency. Using GARCH models we find that speculation significantly affects volatility of returns: short … term speculation has a positive and significant impact on volatility, while long term speculation generally has a negative …

Persistent link: https://www.econbiz.de/10009756298

Returns in commodities futures markets and financial speculation : a multivariate GARCH approach

Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2012

This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that...

Persistent link: https://www.econbiz.de/10009535531

Understanding dynamic conditional correlations between commodities futures markets

Behmiri, Niaz Bashiri; Manera, Matteo; Nicolini, Marcella - 2016

We estimate dynamic conditional correlations between 10 commodities futures returns in energy, metals and agriculture markets over the period 1998-2014 with a DCC-GARCH model. We look at the factors influencing those correlations, adopting a pooled mean group (PMG) estimator. Macroeconomic...

Persistent link: https://www.econbiz.de/10011451631

Causality, connectedness, and volatility pass-through among energy-metal-stock-carbon markets : new evidence from the EU

Pakrooh, Parisa; Manera, Matteo - 2024

volatility transmission from Brent Oil, UK Natural Gas, Rotterdam Coal, Gold, Silver, Copper, and EuroStoxx600 future prices to … models, and Time-Varying parameter Vector Auto Regressive models with Stochastic Volatility with the use of a comprehensive … markets significantly influencing volatility in EUA prices. The time-varying spillover effect is most pronounced with a one …

Persistent link: https://www.econbiz.de/10014634608

Forecasting volatility in European stock markets with non-linear GARCH models

Forte, Gianfranco; Manera, Matteo - 2002

This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock price indexes. Forecasts produced by each...

Persistent link: https://www.econbiz.de/10011598042