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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

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

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

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

Interpreting the oil risk premium : do oil price shocks matter?

Valenti, Daniele; Manera, Matteo; Sbuelz, Alessandro - 2018

This paper provides an analysis of the link between the global market for crude oil and oil futures risk premium at the aggregate level. It off ers empirical evidence on whether the compensation for risk required by the speculators depends on the type of the structural shock of interest....

Persistent link: https://www.econbiz.de/10011794500