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Modelling the global price of oil : is there any role for the oil futures-spot spread?
Valenti, Daniele - 2018
In this work, we propose an analysis of the global market for crude oil based on a revised version of the Structural Vector Autoregressive (SVAR) model introduced by Kilian and Murphy (2014). On this respect, we replace the global proxy for above-ground crude oil inventories with the oil...
Persistent link: https://www.econbiz.de/10011794647
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On the Macroeconomic Determinants of Long-Term Volatilities and Correlations in U.S. Stock and Crude Oil Markets
Conrad, Christian - 2014
Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price returns with respect to the stance of the U.S. macroeconomy. We find that variables that contain information on current and future economic activity are helpful predictors of...
Persistent link: https://www.econbiz.de/10013066427
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A weekly structural VAR model of the US crude oil market
Valenti, Daniele; Bastianin, Andrea; Manera, Matteo - 2022
We present a weekly structural Vector Autoregressive (VAR) model of the US crude oil market. Exploiting weekly data we can explain short-run crude oil price dynamics, including those related with the COVID-19 pandemic and with the Russia's invasion of Ukraine. The model is set identified with a...
Persistent link: https://www.econbiz.de/10013254444
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Understanding the Estimation of Oil Demand and Oil Supply Elasticities
Kilian, Lutz - 2020
This paper examines the advantages and drawbacks of alternative methods of estimating oil supply and oil demand elasticities and of incorporating this information into structural VAR models. I not only summarize the state of the literature, but also draw attention to a number of econometric...
Persistent link: https://www.econbiz.de/10012822493
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Understanding the Estimation of Oil Demand and Oil Supply Elasticities
Kilian, Lutz - 2020
This paper examines the advantages and drawbacks of alternative methods of estimating oil supply and oil demand elasticities and of incorporating this information into structural VAR models. I not only summarize the state of the literature, but also draw attention to a number of econometric...
Persistent link: https://www.econbiz.de/10014048765
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Macroeconomic uncertainty and the impact of oil shocks
Van Robays, Ine - 2012
production volatility, significantly increases the responsiveness of oil prices to oil shocks. This implies a lower price … volatility. Also the impact of oil shocks on economic activity appears to be significantly stronger in uncertain times. -- oil …
Persistent link: https://www.econbiz.de/10009621702
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Oil Price Shocks and Stock Market Returns : Evidence from Oil-Importing and Oil-Exporting Countries
Yang, Li - 2012
While the relationship between oil prices and stock markets is of great interest to economists, previous studies do not differentiate oil-exporting countries from oil-importing countries when they investigate the effects of oil price shocks on stock market returns. In this paper, we address this...
Persistent link: https://www.econbiz.de/10013096494
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Nonlinear Intermediary Pricing in the Oil Futures Market
Bierbaumer, Daniel - 2018
vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into … and increases the hedging costs of producers and processors of oil when volatility is high …
Persistent link: https://www.econbiz.de/10012926240
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Dynamic Roughness in the Term Structure of Oil Markets Volatility
Alfeus, Mesias; Sklibosios Nikitopoulos, Christina; … - 2023
This paper analyses the attributes and the significance of the roughness of oil market volatility. We employ unspanned … stochastic volatility models driven by rough Brownian motions that yield semi-analytical prices for futures options entailing … futures and provide empirical evidence of the roughness in oil volatility. Introducing just one additional parameter, the …
Persistent link: https://www.econbiz.de/10014260238
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Carbon credits and crude oil : an investigation of the price returns interaction in the international market
Salles, André Assis de; Lima, Renato Barros - In: Naše gospodarstvo : NG 70 (2024) 1, pp. 1-12
long-term interaction between these variables. The volatility models show a significant association between the …
Persistent link: https://www.econbiz.de/10014529944