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This paper investigates the intraday volatility pattern of the E-mini SP500 hourly returns. In order to account for the observed long memory and periodicity in returns volatility we introduce the Fractionally Integrated Periodic EGARCH and the Seasonal Fractional Integrated Periodic EGARCH. For...
Persistent link: https://www.econbiz.de/10014204671
Current world capacity of hydrocarbon liquefaction is around 400,000 barrels per day (kb/d), providing a marginal share of the global liquid fuel supply. This study performs a broad review of technical, economic, environmental, and supply chains issues related to coal-to-liquids (CTL) and...
Persistent link: https://www.econbiz.de/10014158067
The increase of oil and natural gas prices since the year 2000 stimulated the planning and construction of new coal-fired electricity generating plants and coal-to-liquids (CTL) plants in the US. However, many of these projects have been canceled or abandoned since 2007. Using a set of 145...
Persistent link: https://www.econbiz.de/10013031682
English Abstract: This paper reviews the theory of Credit Default Swaps (CDS), the main characteristics of the CDS market, and how to estimate the non-default component of the yield spreads as the basis between the actual CDS premium and the hypothetical CDS premium implied by bond yields. We...
Persistent link: https://www.econbiz.de/10013037117
This paper suggests that there was a negative bubble in oil prices in 2014/15, which decreased them beyond the level justified by economic fundamentals. This proposition is corroborated by two sets of bubble detection strategies: the first set consists of tests for financial bubbles, while the...
Persistent link: https://www.econbiz.de/10012988565
Bitcoin is an open source decentralized digital currency and a payment system. It has raised a lot of attention and interest worldwide and an increasing number of articles are devoted to its operation, economics and financial viability. This article reviews the econometric and mathematical tools...
Persistent link: https://www.econbiz.de/10012989169
The article builds indices of social well-being based on Google Trends Data for predicting VCIOM indices. The Google indices were computed using a Google Trends dataset for 2006–2016 containing 512 search queries relative to housing conditions, income, education, etc., and applying factor...
Persistent link: https://www.econbiz.de/10012914543
This part completes the consultation series dealing with bitcoin price modelling. Particularly, the analysis focuses on the econometric approaches suggested to model bitcoin price dynamics, the tests used for detecting the existence of financial bubbles in bitcoin prices and the methodologies...
Persistent link: https://www.econbiz.de/10012914549