In this paper we discuss a simple strategy for pricing and hedging illiquid financial products, such as the Japanese crude oil cocktail (JCC) index, the most popular OTC energy derivative in Japan. First, we review the existing literature for computing optimal hedge ratios (OHR) and we propose a...

The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should be implemented. Relative to the previous literature, this paper is novel in several respects. First of all, we test and systematically evaluate the ability of several...

The relevance of oil in the world economy explains why considerable effort has been devoted to the development of different types of econometric models for oil price forecasting. Several specifications have been proposed in the economic literature. Some are based on financial theory and...

The relevance of oil in the world economy explains why considerable effort has been devoted to the development of different types of econometric models for oil price forecasting. Several specifications have been proposed in the economic literature. Some are based on financial theory and...

In this paper we discuss a simple econometric strategy for pricing and hedging illiquid financial products, such as the Japanese crude oil cocktail (JCC) index, the most popular OTC energy derivative in Japan. First, we review the existing literature for computing optimal hedge ratios (OHR) and...

In this paper a simple strategy for pricing and hedging a swap on the Japanese crude oil cocktail (JCC) index is discussed. The empirical performance of different econometric models is compared in terms of their computed optimal hedge ratios, using monthly data on the JCC over the period January...

This paper analyses energy efficiency in the EU, both in terms of reductions in energy intensity and in terms of physical indicators, looking at the differences among sectors and among Member States. We test econometrically the existence of convergence in energy intensity across Europe. We find...