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A Monte Carlo simulation comparing DEA, SFA and two simple approaches to combine efficiency estimates

Andor, Mark; Hesse, Frederik - 2011

In certain circumstances, both researchers and policy makers are faced with the challenge of determining individual efficiency scores for each decision making unit (DMU) under consideration. In this study, we use a Monte Carlo experimentation to analyze the optimal approach to determining...

Persistent link: https://www.econbiz.de/10009374359

An application of models of speculative behaviour to oil prices

Shi, Shu-ping; Arora, Vipin - 2011

We estimate three different models of speculative behaviour using oil price data. There are two major results: (i) The three-regime model of Brooks and Katsaris (2005) and a three-regime variant of van Norden and Schaller (2002) fit the oil price data reasonably well; and (ii) Both models show...

Persistent link: https://www.econbiz.de/10009153468

The stoNED age : the departure into a new era of efficiency analysis? ; a Monte Carlo comparison of stoNED and the 'oldies' (SFA and DEA)

Andor, Mark Andreas; Hesse, Frederik - 2013

Based on the seminal paper of Farrell (1957), researchers have developed several methods for measuring efficiency. Nowadays, the most prominent representatives are nonparametric data envelopment analysis (DEA) and parametric stochastic frontier analysis (SFA), both introduced in the late 1970s....

Persistent link: https://www.econbiz.de/10009687787

The StoNED age : the departure into a new era of efficiency analysis? ; an MC study comparing StoNED and the "oldies" (SFA and DEA)

Andor, Mark Andreas; Hesse, Frederik - 2012

Persistent link: https://www.econbiz.de/10009611648

Identifying Spikes and Seasonal Components in Electricity Spot Price Data : A Guide to Robust Modeling

Janczura, Joanna - 2012

An important issue in fitting stochastic models to electricity spot prices is the estimation of a component to deal … pattern are usually quite sensitive to extreme observations, known as electricity price spikes. Improved robustness of the … estimation of the seasonal and stochastic components of electricity spot prices using either the original or filtered data. We …

Persistent link: https://www.econbiz.de/10013105296

The StoNED Age : The Departure into a New Era of Efficiency Analysis? – A Monte Carlo Comparison of StoNED and the 'Oldies' (SFA and DEA)

Andor, Mark - 2013

Based on the seminal paper of Farrell (1957), researchers have developed several methods for measuring effi ciency. Nowadays, the most prominent representatives are nonparametric data envelopment analysis (DEA) and parametric stochastic frontier analysis (SFA), both introduced in the late 1970s....

Persistent link: https://www.econbiz.de/10013088557

Predictive Performance and Bias - Evidence from Natural Gas Markets

Kremser, Thomas Reinhard - 2014

This paper sheds light on the differences and similarities in natural gas trading at the National Balancing Point in the UK and the Henry Hub located in the US. For this, we analyze traders' expectations and implement a mechanical forecasting model that allows traders to predict future spot...

Persistent link: https://www.econbiz.de/10013067409

Intraday Momentum and Return Predictability : Evidence from the Crude Oil Market

Wen, Zhuzhu - 2020

Intraday return predictability has firstly been identified in the equity markets, and we extend the analysis to the crude oil market by using high-frequency United States Oil Fund data from 2006 to 2018. We find a different intraday prediction pattern in the oil market, where only the first...

Persistent link: https://www.econbiz.de/10012839627

Downside Uncertainty Shocks in the Oil and Gold Markets

Roh, Tai-Yong - 2020

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...

Persistent link: https://www.econbiz.de/10012839629

Forecasting Energy Commodity Prices : A Large Global Dataset Sparse Approach

Ferrari, Davide - 2020

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,...

Persistent link: https://www.econbiz.de/10012844415