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Forecasting crude oil market volatility in the context of economic slowdown in emerging markets
MORARD, Bernard; BĂLU, Florentina Olivia - In: Theoretical and Applied Economics XVIII(2014) (2014) 5(594), pp. 19-36
Crude Oil is a commodity with huge strategic importance to all countries in the world. But in the recent years, the oil …, and, implicitly, the prices volatility in financial and commodity markets has also increased. In this paper we empirically … forecast the volatility of this market. Our research questions are how crude oil price volatility has changed in the recent …
Persistent link: https://www.econbiz.de/10011004936
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Nigeria; Poverty Reduction Strategy Paper: National Economic Empowerment and Development Strategy
International Monetary Fund (IMF); International … - 2005
This Poverty Reduction Strategy Paper for Nigeria highlights the National Economic Empowerment and Development Strategy (NEEDS). NEEDS gives special support to agriculture, industry, small and medium-scale enterprises, and oil and gas. Under the plan, the government will seek long-term capital...
Persistent link: https://www.econbiz.de/10005591671
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The Future of Oil; Geology Versus Technology
Chauvet, Marcelle; Selody, Jack G.; Laxton, Douglas; … - International Monetary Fund (IMF) - 2012
We discuss and reconcile two diametrically opposed views concerning the future of world oil production and prices. The … the fact that world oil production has plateaued since 2005 despite historically high prices, and that spare capacity has … model of the world oil market that encompasses both views. The model performs far better than existing empirical models in …
Persistent link: https://www.econbiz.de/10011242439
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Total Factor Productivity and Monetary Policy: Evidence from Conditional Volatility
Apergis, Nicholas; Miller, Stephen M. - 2007
This paper empirically assesses whether monetary policy affects real economic activity through its affect on the aggregate supply side of the macroeconomy. Analysts typically argue that monetary policy either does not affect the real economy, the classical dichotomy, or only affects the real...
Persistent link: https://www.econbiz.de/10009430116
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The month-of-the-year effect on Bucharest Stock Exchange
Panait, Iulian - In: Hyperion Economic Journal 1 (2013) 1, pp. 19-26
This study investigates the presence of month-of-the-year effect on Bucharest Stock Exchange using a both a linear regression and a GARCH-M model with dummy variables for both the mean and the variance equation. We have collected monthly returns for five Romanian official exchange indices and...
Persistent link: https://www.econbiz.de/10010855990
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MODELING THE VOLATILITY OF THE BET-FI INDEX
GHERGUT, Dan Ion; OANCEA, Bogdan; CAPATINA, Claudia - In: Romanian Statistical Review 61 (2013) 7, pp. 27-41
(Bucharest Exchange Trading Investment Funds) volatility, developed by the Bucharest Stock Exchange (BSE). We tried to identify … an econometric model to model the volatility of the BET-FI index. The analysis was performed using GARCH models, which … the BET-FI index volatility for the period 03.01.2008 - 04.12.2013 (1332 daily values ) and we noticed which are the …
Persistent link: https://www.econbiz.de/10010860034
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The Impact of Exchange Rate Volatility on Trade: A Panel Study on Pakistan’s Trading Partners
Khan, Abdul Jalil; Azim, Parvez; Syed, Shabib Haider - In: Lahore Journal of Economics 19 (2014) 1, pp. 31-66
This study investigates the impact of domestic and foreign currency-valued exchange rate volatility on the export and … least-squares dummy variable technique with fixed-effects estimation to measure the volatility impact on both demand … functions. The study evaluates a series of exchange rates from 1970:01 to 2009:12 to compare the long-run impact of volatility …
Persistent link: https://www.econbiz.de/10010861908
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On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process
Mazur, Błażej; Pipień, Mateusz - In: Central European Journal of Economic Modelling and … 4 (2012) 2, pp. 95-116
We discuss the empirical importance of long term cyclical effects in the volatility of financial returns. Following … significant long term cyclical patterns in volatility with a strongly supported periodic component corresponding to a 14 year …-t and to the changes of the volatility equation from regular GARCH to the Asymmetric GARCH. …
Persistent link: https://www.econbiz.de/10010875622
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Influence of the Greek Crisis on the Risk Perception of European Economies
Kliber, Agata - In: Central European Journal of Economic Modelling and … 5 (2013) 2, pp. 125-161
In the article the author analyses the impact of the Financial Crisis, especially the Greek fiscal one, on the sCDS prices in Europe. The aim of the article is to assess the ability of the sCDS premia to price the risk of countries before and during the Greek crisis. The author analyses sCDS...
Persistent link: https://www.econbiz.de/10010875628
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GARCH AND VOLUME EFFECTS IN THE AUSTRALIAN STOCK MARKETS
XIAO, JINGLIANG; BROOKS, ROBERT D; WONG, WING-KEUNG - In: Annals of Financial Economics (AFE) 05 (2009) 01, pp. 0950005-1
This paper explores the relationship between volume and volatility in the Australian Stock Market in the context of a … volatility is not likely to be eliminated after its discovery. In addition, our findings reject the pure random walk hypothesis …
Persistent link: https://www.econbiz.de/10010936583