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This paper investigates the performance of various conditional volatility models to forecast the second moment of tanker freight rates. Justified by existing theoretical and empirical evidence, we focus on asymmetric Markov regime-switching models to study the major global routes for long-haul...
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In this paper, we assess whether and to what extent financial activity in the oil futures markets has contributed to destabilize oil prices in recent years. We define a destabilizing financial shock as a shift in oil prices that is not related to current and expected fundamentals, and thereby...
Persistent link: https://www.econbiz.de/10009160021
Exploiting the unique institutional setting of Hong Kong's real estate market, we uncover a curious ripple effect of haunted houses on the prices of nearby houses. Prices drop on average 19% for units that become haunted, 9% for units on the same floor, 6% for units in the same block, and 1% for...
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equilibrium fragmentation during the Cushing bottleneck period. Analysis of implied moments reveals that Brent and WTI risk … during market disruptions such as the Cushing bottleneck, so there is potential for diversifying extreme risks using both …
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