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Correlation as a Pricing Factor for Oil Derivatives

Six, Pierre - 2012

The goal of our paper is to show how correlation between convenience yield and commodity spot price must be and can be integrated to valuate commodity derivatives. This incorporation can be done in addition to usual factors: market prices of risk (Casassus and Collin-Dufresne, 2005) and/or...

Persistent link: https://www.econbiz.de/10013103546

The Survey of Oil Income on the Oil Exporting Countries Members’

Ahmadian, Sepide - 2012

Petroleum Exporting Countries in the crude oil exports have single-product, in other words income from selling oil or … the equation to import Petroleum Exporting Countries: the price of oil that can be a positive effect ordering that the … real imports that are probably through wealth. The Petroleum Exporting Countries to some extent of the price of oil higher …

Persistent link: https://www.econbiz.de/10013104639

The Emergence of Biofuels and the Co-Movement Between Crude Oil and Agricultural Prices

Penaranda, Francisco - 2015

Biofuels are becoming an alternative to non-renewable energy sources but we know little about the economic mechanisms influencing their prices. This paper studies the interrelationships between the spot prices of oil and those of agricultural commodities used as biofuel feedstocks. Using daily...

Persistent link: https://www.econbiz.de/10013039251

Oil Exports and the Iranian Economy

Esfahani, Hadi Salehi - 2009

This paper develops a long run growth model for a major oil exporting economy and derives conditions under which oil revenues are likely to have a lasting impact. This approach contrasts with the standard literature on the "Dutch disease" and the "resource curse", which primarily focus on short...

Persistent link: https://www.econbiz.de/10013154686

Oil Exports and the Iranian Economy

Esfahani, Hadi Salehi - 2009

Persistent link: https://www.econbiz.de/10013154980

Volatility Spillovers between Returns on Crude Oil Futures and Oil Company Stocks

Chang, Chia-Lin - 2009

The purpose of this paper is to investigate the volatility spillovers between the returns on crude oil futures and oil company stocks using alternative multivariate GARCH models, namely the CCC model of Bollerslev (1990), VARMA-GARCH model of Ling and McAleer (2003), and VARMA-AGARCH model of...

Persistent link: https://www.econbiz.de/10013159693

The Use of Copulas in Hedging Oil and Market Price Risk for US Oil and Gas Investors : Empirical Investigation

Liu, Jingzhen - 2017

Using copulas, we investigate the pairwise dependence structures between two risk factors, oil price and aggregate market index price, and the US oil and gas sub-sector indices. We also explore the out-of-sample hedging performance of a hedging strategy by minimizing the conditional...

Persistent link: https://www.econbiz.de/10012951539

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

Country-Specific Oil Supply Shocks and the Global Economy : A Counterfactual Analysis

Mohaddes, Kamiar - 2017

This paper investigates the global macroeconomic consequences of country-specific oilsupply shocks. Our contribution is both theoretical and empirical. On the theoretical side, we develop a model for the global oil market and integrate this within a compact quarterly model of the global economy...

Persistent link: https://www.econbiz.de/10012971221

United States - Military Intervention in Iraq as a Subsidy on Crude Oil

Poulshock, Michael - 2019

This fictional World Trade Organization panel decision explores whether a foreign military intervention that benefits an industry of the intervening state can be considered a “subsidy” under WTO law

Persistent link: https://www.econbiz.de/10012860866