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The relationships between crude and product prices are crucial throughout oil markets and especially so within the refining industry, where they define the refinery margin between cost of inputs (crudes) and value of outputs (products). The oil market is global but regional factors are also...
Persistent link: https://www.econbiz.de/10013067163
We derive a general joint affine term structure model of US government bond yields and the convenience yields on physical commodities. We apply this framework separately to oil and gold. Our results show clear links between bond and commodity markets, since bond factors play a significant role...
Persistent link: https://www.econbiz.de/10013026902
-Ukraine war period compared to COVID-19 period and is shown to have least variation during the GFC period. WTI crude oil and DJGI … observe that GOLD offers better diversification opportunity as well as leading movement against WTI and DJGI during disruptive …
Persistent link: https://www.econbiz.de/10014500724
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In this paper we utilise the risk factors from both the finance and energy economics literatures to develop an improved asset pricing model (the Augmented-Four-Factor Model or AFFM) in the context of the European energy utility sector. In addition, we undertake inter-sectoral and inter-temporal...
Persistent link: https://www.econbiz.de/10012997935
This study finds crude oil prices (`oil prices') affect market or portfolio expected returns on the NSE only via inducement of changes to risk aversion parameters of the `representative agent' who has exposure to both stock market return volatility risk and oil price risk. I refer to this effect...
Persistent link: https://www.econbiz.de/10012903916
specific asset, focusing on energy commodities futures, namely Brent and WTI crude oils, natural gas and heating oil. After …
Persistent link: https://www.econbiz.de/10010407507
The identification of the forces that drive stock returns and the dynamics of their associated volatilities is a major concern in empirical economics and finance. This analysis is particularly relevant for determining optimal hedging strategies based on whether shocks to the volatilities of...
Persistent link: https://www.econbiz.de/10011603089
oil (Brent and WTI) and Gasoline returns are negatively skewed while other energy returns such as Heating oil, Kerosene …
Persistent link: https://www.econbiz.de/10013405890