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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

Conditional correlations in the returns on oil companies stock prices and their determinants

Giovannini, Massimo; Grasso, Margherita; Lanza, Alessandro - 2004

The identification of the forces that drive stock returns and the dynamics of their associated volatilities is a major concern in empirical economics and finance. This analysis is particularly relevant for determining optimal hedging strategies based on whether shocks to the volatilities of...

Persistent link: https://www.econbiz.de/10011603089

How does stock market volatility react to oil shocks?

Bastianin, Andrea; Manera, Matteo - 2014

We study the impact of oil price shocks on US stock market volatility. We derive three different structural oil shock … variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate … stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous …

Persistent link: https://www.econbiz.de/10010476423

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

Global oil market and the US stock returns

Ahmad, Maryam; Manera, Matteo; Sadeghzadeh, Mehdi - 2015

This paper provides an analysis of the link between the oil market and the U.S. stock market returns at the aggregate as well as industry levels. We empirically model oil price changes as driven by speculative demand shocks along with consumption demand and supply shocks in the oil market. We...

Persistent link: https://www.econbiz.de/10011391816

How does stock market volatility react to oil shocks?

Bastianin, Andrea; Manera, Matteo - 2015 - Revised: June 2015

Persistent link: https://www.econbiz.de/10011765234