allows the predictive model to switch between a benchmark model without jumps and an alternative model with a jump component … Intermediate. Our results indicate that this simple strategy significantly outperforms the individual models and a series of … competing strategies such as forecast combinations and shrinkage methods. A mean-variance investor who targets a constant Sharpe …

speculation or unbalanced regulation with the WTI futures market can create market distortion and regulatory arbitrage. …This study analyzes the efficiency of the crude palm oil (CPO) futures market by conducting a variance ratio test and … holds for both the CPO and WTI futures markets despite the significant difference in their liquidity. Using a scaling …

analysis, it has been discovered that gold is useful as a portfolio hedge and as a hedge against inflation because it is not …Purpose The argument whether gold is a hedge or haven is a debatable issue. Mainly, hedge is a class of asset that is … negatively correlated with another asset or portfolio on average. On the other hand, a safe haven is an asset or portfolio which …

We document that an oil price boom triggers dissatisfaction with one's income, and confirm that this is not driven by … compared to other households (whose heads work in other sectors and/or districts). The estimated drop in satisfaction is … changes in real economic conditions. Unique data from Kazakhstan allows us to exploit time, sectoral and spatial variation to …

their income during the boom compared to other households (whose heads work in other sectors and/or districts). The …We document that an oil price boom triggers dissatisfaction with one's income, and that this dissatisfaction is … and spatial variation to identify the impact of the recent oil boom on reported satisfaction with income. Oil related …

-run interest rates or industrial production. An adverse linkage between crude oil prices and industrial production has been proved … commodities, financial markets and industrial production. We find that the production in the US economy has an important effect on …, contrary to a large positive one. Also, it was found that, in the short-run, oil price volatility is not influenced by short …

In this paper we investigate the time-varying relationship between oil and natural gas in the UK. We develop a model … where relative prices can move between pricing-regimes; markets switch between being decoupled and integrated. Our model … endogenously accounts for periods where oil and natural gas temporarily decouple due to gas specific pricing. We show that gas …

, in India, the derivatives on natural rubber are not traded actively and regularly. We have examined the possibility of a … or error, correction models. We have developed a vector autoregressive [VAR(2)] model to forecast the rubber price, and … forecast model and across hedge tool for the natural rubber price by using crude oil futures in India. Results of the Johansen …

The impact of COVID-19, due to the wide-spread demand and supply destruction and downward movement of crude oil prices … is of concern for all those connected with the oil and gas industry. In this study, an attempt has been made to estimate … the price volatility of crude oil and natural gas listed on multi commodity exchange of India (MCX). We measured the …

in oil) and non-commercial traders (who are not involved physically with oil). Based on the theoretical model we find …, high uncertainty about future oil demand, and the oil price deviation from fundamentals or the price trend is small, we …In this paper we analyse the relative importance of fundamental and speculative demand on oil futures price levels and …