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Current Issues on the Price of Oil : Decline, Forecasting, Volatility and Uncertainty
Bashiri Behmiri, Niaz - 2018
reflected in an increase in oil price volatility and uncertainty, which have relevant implications on the real economy …
Persistent link: https://www.econbiz.de/10012911766
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Crude oil futures trading and uncertainty
Czudaj, Robert L. - 2018
This paper examines the effect of different dimensions of uncertainty on expectations of WTI crude oil futures momentum traders at a daily level. We consider two concepts of uncertainty and two momentum trading indicators based on technical analysis. In addition, we also use wavelet techniques...
Persistent link: https://www.econbiz.de/10011979326
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Quantifying time-varying forecast uncertainty and risk for the real price of oil
Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021
, estimation of time-varying forecast biases and facets of miscalibration of individual forecast densities and time-varying inter …
Persistent link: https://www.econbiz.de/10012544443
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Does economic policy uncertainty outperform macroeconomic factor and financial market uncertainty in forecasting carbon emission price volatility? : evidence from China
Lu, Hengzhen; Gao, Qiujin; Li, Matthew C. - In: Applied economics 55 (2023) 54, pp. 6427-6443
Persistent link: https://www.econbiz.de/10014381870
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Explaining electricity forward premiums : evidence for the weather uncertainty effect
Obermüller, Frank - 2017
With the increasing share of volatile renewable energies, weather prediction becomes more important to electricity markets. The weather-driven uncertainty of renewable forecast errors could have price increasing impacts. This research sets up an analytic model to show that the day-ahead optimal...
Persistent link: https://www.econbiz.de/10011750347
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Forecasting inflation uncertainty in the United States and Euro area
Ftiti, Zied; Jawadi, Fredj - In: Computational economics 54 (2019) 1, pp. 455-476
Persistent link: https://www.econbiz.de/10012134205
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Time-series momentum : a Monte-Carlo approach
Cheng, Enoch; Struck, Clemens - 2019
This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … conventional backtesting procedures. We create 10,000 paths of different TSM strategies based on the S&P 500 and a cross …
Persistent link: https://www.econbiz.de/10011990919
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Forecasting volatility and the risk-return tradeoff : an application on the Fama-French benchmark market return
Vafiadis, Nikolaos - In: Journal of time series econometrics 7 (2015) 2, pp. 181-216
Persistent link: https://www.econbiz.de/10011291298
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Carbon Risk Factor Framework
Gurvich, Alex; Creamer, Germán G. - 2021
Sharpe ratios; however, it is efficiency factors that show outsized performance, albeit with significant volatility. Within …
Persistent link: https://www.econbiz.de/10013213844
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Long vs. short term asymmetry in volatility and the term structure of risk
Lönnbark, Carl - In: Finance research letters 23 (2017), pp. 202-209
Persistent link: https://www.econbiz.de/10011808396