type of the structural shock of interest. Understanding the response of the risk premium to unexpected changes in the price … premium and unexpected rise in the price of oil? On average, what should speculators expect to receive as a compensation for … risk premium and the changes in the price of oil triggered by shocks to economic fundamentals. Second, this analysis shows …

Recent studies on oil market demonstrate endogeneity of oil price by modeling it as a function of consumption and … precautionary demands and producers’ supply. However, studies analysing the effect of oil price uncertainty on investment, do not … decompose oil price volatility to be driven by structural shocks that are recognized in oil market literature, over and above …

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 …

In this paper we investigate crude oil and products price dynamics. We present a comparison among ten price series of … crude oils and fourteen price series of petroleum products, considering four distinct market areas (Mediterranean, North … and product price dynamics using cointegration and error correction models. Subsequently we use the error correction …

In this paper we investigate crude oil and products price dynamics. We present a comparison among ten price series of … crude oils and fourteen price series of petroleum products, considering four distinct market areas (Mediterranean, North … and product price dynamics using cointegration and error correction models. Subsequently we use the error correction …

as well as industry levels. We empirically model oil price changes as driven by speculative demand shocks along with … market price movements over and above the oil market, in order to quantify the pure effect of oil price shocks on returns …. The results show that stock returns respond to oil price shocks differently, depending on the causes behind the shocks …

This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the … estimate the effects of oil price shocks on the price volatility of metals, allowing for the asymmetric responses. We use daily … effect for copper and no leverage effect for nickel and palladium. Finally, price volatility of metals differently reacts to …