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...

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...

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...

OPEC producers, individually or collectively, often make statements regarding the “fair price” of crude oil. In some cases, the officials commenting are merely affirming the price prevailing in the crude oil market at the time. In many cases, however, we document that they explicitly...

This paper examines the impact of COVID-19 pandemic on oil prices, CO2 emissions and stock market volatility over the period January 22, 2020 – March 30, 2020 using an unrestricted VAR. We demonstrate that although the increasing number of COVID-19 infections causeda decrease in the price of...

We construct downside variance risk premiums from the crude oil and gold option data and use them as proxies for market downside uncertainty risks. We find that these downside variance risk premiums contain commodity market specifc pricing information. Further- more, the gold market's exposure...

This paper focuses on forecasting quarterly energy prices of commodities, such as oil, gas and coal, using the Global VAR dataset proposed by Mohaddes and Raissi (2018). This dataset includes a number of potentially informative quarterly macroeconomic variables for the 33 largest economies,...

The OPEC Website holds an interesting FAQS (Frequently Asked Questions) about oil industry. The questions are very simple. Anybody could ask them. And the answers are still as simple as could be. You do not need to be an economist to understand these quite complicated issues - as we used to...

I use detailed field-level data on Norwegian offshore oil production and a semi-parametric additive model to control for the production profile of fields to estimate the effect of oil prices on production. I find no significant evidence of a concurrent reaction of field production to oil prices,...

The time-varying correlation between oil prices returns and European industrial sector indices returns, considering the origin of the oil price shock, is investigated. A time-varying multivariate heteroskedastic framework is employed to test the above hypothesis based on data from 10 European...