In this paper it is shown how the GARCH properties of the oil price changes can be employed to forecast the oil price distribution at short-term horizons. The forecasting approach is semiparametric and it is based on the bootstrapping approach. The results of an out of sample forecasting...

In this paper we analyse the effects of regulatory activity - specifically periodic price reviews in the English and Welsh water industry - using information on share price volatility. In controlling for different volatility components we identify and discuss general market, industry and firm...

Have convergence of European economies and introduction of the euro produced some effects on European stock markets? Theory suggests that stabilization of fundamentals should decrease variance of stock returns for historically unstable stock markets. We test this proposition with daily data for...

We introduce a model for the analysis of intraday volatility of exchange rates returns, based on the structural time series methodology. The stochastic seasonal component is useful to model intra-day effects which may be different from one day to the other. The model is estimated with high...

The paper considers a neoclassical model set in the cost function approach to estimate primary energy factor demands for the Italian economy, using a translog cost function specification. Cointegration theory is employed to estimate the long-run factor share model, and the general to specific...

In the paper we assess the convergence hypothesis for the Italian economy over the period 1951-2000, using a new methodological approach. The approach is based on a two-step recursive principal components estimator, allowing to monitor the progress of the convergence process over time and to...

This paper analyses stock market volatility for the regulated electricity, gas and water utility industries in the UK for the period 1991-2002. Using a conditional approach, we decompose stock market volatility in components characterised by different degrees of persistence and bearing different...

In this paper we present new results for the frequency domain principal components estimator of the cointegration space for stationary long memory processes of Morana (2004), concerning asymptotic properties, identification of the cointegration space and the linkage with the frequency domain...

What is the relation between the stock market and income distribution? There are many potential links between the two, some of which associated with the relations of each of these with the rate of economic growth. An empirical analysis set in the framework of the neoclassical growth model shows...