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The role of outliers and oil price shocks on volatility of metal prices
Behmiri, Niaz Bashiri; Manera, Matteo - 2015
This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we estimate the effects of oil price shocks on the price...
Persistent link: https://www.econbiz.de/10011327443
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Jumps and Stochastic Volatility in Oil Prices : Time Series Evidence
Larsson, Karl - 2014
In this paper we examine the empirical performance of affine jump diffusion models with stochastic volatility in a time series study of crude oil prices. We compare four different models and estimate them using the Markov Chain Monte Carlo method. The support for a stochastic volatility model...
Persistent link: https://www.econbiz.de/10013070384
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Speculation and Recent Volatility in the Price of Oil
Einloth, James Thomas - 2014
As the price of crude oil doubled from June 2007 to June 2008, suspicion grew that price was being driven higher by speculation rather than fundamental supply and demand. After having seen the price drop 70 percent from its peak, this explanation may appear more plausible than ever. This paper...
Persistent link: https://www.econbiz.de/10013070697
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The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices
Behmiri, Niaz - 2015
This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we estimate the effects of oil price shocks on the price...
Persistent link: https://www.econbiz.de/10013015934
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Bitcoin for Energy Commodities Before and After the December 2013 Crash : Diversifier, Hedge or Safe Haven?
Bouri, Elie - 2017
energy commodities because energy, in the form of electricity, is an essential input in the Bitcoin production. For the …
Persistent link: https://www.econbiz.de/10012961939
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Hedging cryptos with Bitcoin futures
Liu, Francis; Packham, Natalie; Lu, Meng-Jou; Härdle, … - 2021 - This version: December 16, 2021
hedge ratio. Extensive out-of-sample tests give insights in the practice of hedging various cryptos and crypto indices … dependence structures between BTC-not-involved assets and the futures. As a consequence, results of hedging other assets and …
Persistent link: https://www.econbiz.de/10012797474
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A call on Art investments
Kraeussl, Roman; Wiehenkamp, Christian - 2010
investors and the hedging of exposures remains dificult. This paper proposes to overcome these problems by introducing a call … hedging risk. Even if this is not entirely possible, the replication approach serves as pricing benchmark for investors who …
Persistent link: https://www.econbiz.de/10010303744
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Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed …
Persistent link: https://www.econbiz.de/10003949493
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A call on Art investments
Kräussl, Roman; Wiehenkamp, Christian - 2010
investors and the hedging of exposures remains dificult. This paper proposes to overcome these problems by introducing a call … hedging risk. Even if this is not entirely possible, the replication approach serves as pricing benchmark for investors who …
Persistent link: https://www.econbiz.de/10003947461
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Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed …
Persistent link: https://www.econbiz.de/10003965099