Similar Search Results

Forecasting the oil-gasoline price relationship : should we care about the rockets and the feathers?

Bastianin, Andrea; Galeotti, Marzio; Manera, Matteo - 2014

the price of crude oil to the price of gasoline is asymmetric. Although there have been many contributions documenting … forecasting performance of econometric models incorporating asymmetric price transmission from crude oil to gasoline. In this …, while the ECM implies symmetric price transmission from crude oil to gasoline. We quantify the forecast accuracy gains due …

Persistent link: https://www.econbiz.de/10010251557

A fear index to predict oil futures returns

Chevallier, Julien; Sévi, Benoît - 2013

This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also...

Persistent link: https://www.econbiz.de/10010189497

Rockets and feathers revisited : an international comparison on European gasoline markets

Galeotti, Marzio; Lanza, Alessandro; Manera, Matteo - 2002

asymmetries that arise from short-run deviations in input prices and from the speed at which the gasoline price reverts to its … gasoline sells for different sums of national currencies; v) bootstrapping of F tests of asymmetries, in order to overcome the …This paper re-examines the issue of asymmetries in the transmission of shocks to crude oil prices onto the retail price …

Persistent link: https://www.econbiz.de/10011596079

Food versus fuel : causality and predictability in distribution

Bastianin, Andrea; Galeotti, Marzio; Manera, Matteo - 2013 - This draft: March 14th 2013

This paper examines the relationship between biofuels and commodity food prices in the U.S. from a new perspective. While a large body of literature has tried to explain the linkages between sample means and volatilities associated with ethanol and agricultural price returns, little is known...

Persistent link: https://www.econbiz.de/10009737363

Biofuels and food prices : searching for the causal link

Bastianin, Andrea; Galeotti, Marzio; Manera, Matteo - 2013

We analyze the relationship between the prices of ethanol, agricultural commodities and livestock in Nebraska, the U.S. second largest ethanol producer. The paper focuses on long-run relations and Granger causality linkages between ethanol and the other commodities. The analysis takes possible...

Persistent link: https://www.econbiz.de/10009737408

European gasoline markets : price transmission asymmetries in mean and variance

Torrado, María; Escribano, Álvaro - 2020

Persistent link: https://www.econbiz.de/10012158754

Evaluation of mixed frequency approaches for tracking near-term economic developments in North Macedonia

Ramadani, Gani; Petrovska, Magdalena; Bucevska, Vesna - 2021

Aggregate demand forecasting, also known as nowcasting when it applies to current quarter assessment, is of notable interest to policy makers. This paper concentrates on the empirical methods dealing with mixed-frequency data. In particular, it focuses on the MIDAS approach and its later...

Persistent link: https://www.econbiz.de/10012696077

Forecasting Macedonian inflation : evaluation of different models for short-term forecasting

Petrovska, Magdalena; Ramadani, Gani; Naumovski, Nikola; … - 2017

The primary goal of this paper is to describe several models that are currently used at the National Bank of the Republic of Macedonia (NBRM) for short-term forecasting of inflation - Autoregressive integrated moving average models (aggregated and disaggregated approach), three equation...

Persistent link: https://www.econbiz.de/10011717605

System integration of wind and solar power in integrated assessment models : a cross-model evaluation of new approaches

Pietzcker, Robert C.; Ueckerdt, Falko; Carrara, Samuel; … - 2017

Mitigation-Process Integrated Assessment Models (MP-IAMs) are used to analyze long-term transformation pathways of the energy system required to achieve stringent climate change mitigation targets. Due to their substantial temporal and spatial aggregation, IAMs cannot explicitly represent all...

Persistent link: https://www.econbiz.de/10011599310

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

1
2
3
4
5
6
7
8
9
10
Next
Last