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Big fish : oil markets and speculation
Cologni, Alessandro; Scarpa, Elisa; Sitzia, Francesco … - 2015
actors. In this paper, we formulate a new theory able to describe "hedging needs" as well as the role of speculators in the … the sample February 2000 November 2014, using WTI and CFTC data. Our theory is well supported by econometric evidence. In …
Persistent link: https://www.econbiz.de/10010532119
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The role of outliers and oil price shocks on volatility of metal prices
Behmiri, Niaz Bashiri; Manera, Matteo - 2015
outliers, outliers bias the parameters estimation of the GARCH-type models, and removing outliers improves the performance of …
Persistent link: https://www.econbiz.de/10011327443
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Informed trading in oil-futures market
Rousse, Olivier; Sévi, Benoît - 2016
The weekly release of the U.S. inventory level by the DOE-EIA is known as the market mover in the U.S. oil futures market and to be a significant piece of information for all world oil markets in which the WTI is a price benchmark. We uncover suspicious trading patterns in the WTI futures...
Persistent link: https://www.econbiz.de/10011591602
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Conditional correlations and volatility spillovers between crude oil and stock index returns
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669344
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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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Modelling the global price of oil : is there any role for the oil futures-spot spread?
Valenti, Daniele - 2018
opposite sign. The following model provides an economic interpretation of the residual structural shock, namely the financial … market shock. This new shock is designed to capture an unanticipated change in the benefit of holding crude oil inventories …
Persistent link: https://www.econbiz.de/10011794647
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On the realized volatility of the ECX CO2 Emissions 2008 Futures Contract: distribution, dynamics and forecasting
Chevallier, Julien; Sévi, Benoît - 2009
The recent implementation of the EU Emissions Trading Scheme (EU ETS) in January 2005 created new financial risks for emitting firms. To deal with these risks, options are traded since October 2006. Because the EU ETS is a new market, the relevant underlying model for option pricing is still a...
Persistent link: https://www.econbiz.de/10008840052
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Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669351
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Oil currencies in the face of oil shocks : what can be learned from time-varying specifications?
Allegret, Jean-Pierre; Couharde, Cécile; Mignon, Valérie - 2015
Persistent link: https://www.econbiz.de/10011414092
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Macroeconomic and financial effects of oil price shocks : evidence for the Euro area
Morana, Claudio - 2016
following the slump points to the accommodation of the shock by the ECB, concurrent with the implementation of the Quantitative …
Persistent link: https://www.econbiz.de/10011451685