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How is volatility in commodity markets linked to oil price shocks?
Ahmadi, Maryam; Behmiri, Niaz Bashiri; Manera, Matteo - 2015
This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities … functions, the response of volatility of each commodity to an oil price shock differs significantly depending on the underlying …
Persistent link: https://www.econbiz.de/10011438674
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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
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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
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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
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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
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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