We examine the impact of oil price and oil price volatility on US illiquidity premiums (return on illiquid-minus-liquid stocks), using the US Oil Fund options implied volatility OVX index. We use daily data from 2007 to 2018, taking into account the structural break in June 2009 and controlling...

In this work, we test the price sensitivity of sector indices to changes in the oil price over the period 2001 to 2021 using the kernel method and the non-linear autoregressive method with distributed lags (NARDL) proposed by Shin et al., (2014). We capture both short-term and long-term...

Climate change has inspired the interest of the academic community in the most diverse areas of knowledge. This study tests and revisits the environmental Kuznets curve assumptions for Portugal. The econometric strategy used in this research is time series (ARIMA model, OLS estimator, ARCH...

The U.S. Energy Information Administration (EIA) regularly publishes monthly and quarterly forecasts of the price of crude oil for horizons up to two years, which are widely used by practitioners. Traditionally, such out-of-sample forecasts have been largely judgmental, making them difficult to...

Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset....

Futures markets are a potentially valuable source of information about market expectations. Exploiting this information has proved difficult in practice, because the presence of a timevarying risk premium often renders the futures price a poor measure of the market expectation of the price of...

The predominant fear in capital markets is that of a price spike. Commodity markets differ in that there is a fear of both upward and down jumps, this results in implied volatility curves displaying distinct shapes when compared to equity markets. The use of a novel functional data analysis...