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Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
Chen, Ping-Yu; Chang, Chia-Lin; Chen, Chi-Chung; … - Department of Economics and Finance, College of … - 2013
mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models … price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in …
Persistent link: https://www.econbiz.de/10010907445
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Investment and oil price volatility
Sharma, Susan Sunila; Narayan, Paresh Kumar - In: Economics Bulletin 32 (2012) 2, pp. 1428-1433
In this note, we consider the relationship between oil price volatility and firm returns for 560 firms listed on the … New York Stock Exchange. Using daily time series data from 2000 to 2008, we find that oil price volatility increases firm …
Persistent link: https://www.econbiz.de/10011278529
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The Fundamental and Speculative Components of the Oil Spot Price: A Real Option Value Approach
Dicembrino, Claudio; Scandizzo, Pasquale Lucio - Centro di Studi Internazionali Sull'Economia e la … - 2012
during last fifteen years have led the unstable path and the volatility persistence in the international oil market. We …
Persistent link: https://www.econbiz.de/10010542263
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Investment and oil price volatility
Narayan, Paresh Kumar; Sharma, Susan Sunila - Deakin University, Faculty of Business and Law, School … - 2011
In this note, we consider the relationship between oil price volatility and firm returns for 560 firms listed on the … New York Stock Exchange. Using daily time series data from 2000 to 2008, we find that oil price volatility increases firm …
Persistent link: https://www.econbiz.de/10009366884
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Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
Chen, Ping-Yu; Chang, Chia-Lin; Chen, Chi-Chung; … - Institute of Economic Research, Kyoto University - 2013
mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models … price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in …
Persistent link: https://www.econbiz.de/10010604584
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Modelling Return and Volatility of Oil Price using Dual Long Memory Models
BOUBAKER, Heni; SGHAIER, Nadia - Institut de Préparation à l'Administration et à la … - 2014
This paper investigates the dynamic properties of both return and volatility of the oil price. The analysis is carried …
Persistent link: https://www.econbiz.de/10010764008
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Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
Chang, Chia-Lin; McAleer, Michael; Chen, Ping-Yu; Chen, … - Facultad de Ciencias Económicas y Empresariales, … - 2013
mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models … price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in …
Persistent link: https://www.econbiz.de/10010778726
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Another Look at the Interaction Between Oil Price Uncertainty and Exchange Rate Volatility: The Case of Small Open Economies
Selmi, Refk; Bouoiyour, Jamal; Ayachi, Fethi - Volkswirtschaftliche Fakultät, … - 2012
Several studies considered oil price as exchange rate determinants. The novelty of our paper is to test if the lagged oil price are statistically significant predictors of Moroccan and Tunisian exchange rate. We consider a stricter GARCH specifications (linear versus nonlinear, symmetric versus...
Persistent link: https://www.econbiz.de/10011108802
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Oil Price and Exchange Rate Volatility in Nigeria
Ogundipe, Adeyemi; Ogundipe, Oluwatomisin - Volkswirtschaftliche Fakultät, … - 2013
the effects of oil price, external reserves and interest rate on exchange rate volatility in Nigeria using annual data … exchange rate volatility in Nigeria; which implies that exchange rate is susceptible to changes in oil price. The study … rate volatility significantly in Nigeria. …
Persistent link: https://www.econbiz.de/10011109692
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How Does Stock Market Volatility React to Oil Shocks?
Bastianin, Andrea; Manera, Matteo - Fondazione ENI Enrico Mattei (FEEM) - 2015
We study the impact of oil price shocks on U.S. stock market volatility. We derive three different structural oil shock … variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate … stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous …
Persistent link: https://www.econbiz.de/10011162062