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Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices

Casoli, Chiara; Lucchetti, Riccardo - 2021

In this article, we propose a cointegration-based Permanent-Transitory decomposition for nonstationary Dynamic Factor … Models. Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a …-term stationary one. A Monte Carlo experiment shows that taking into account the cointegration structure in the DFM leads to a much …

Persistent link: https://www.econbiz.de/10012596987

The role of outliers and oil price shocks on volatility of metal prices

Behmiri, Niaz Bashiri; Manera, Matteo - 2015

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...

Persistent link: https://www.econbiz.de/10011327443

Conditional correlations in the returns on oil companies stock prices and their determinants

Giovannini, Massimo; Grasso, Margherita; Lanza, Alessandro - 2004

cointegration techniques in modelling the conditional mean, as well as multivariate GARCH models for the conditional variances. We …

Persistent link: https://www.econbiz.de/10011603089

Long-run models of oil stock prices

Lanza, Alessandro; Manera, Matteo; Grasso, Margherita; … - 2003

-Mobil, Royal Dutch Shell, Total-Fina-Elf) using multivariate cointegration techniques and vector error correction models. Weekly …

Persistent link: https://www.econbiz.de/10011592924

Futures price volatility in commodities markets : the role of short term vs long term speculation

Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2013

This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt four indexes of speculation: Working's T, the market share of non-commercial traders, the percentage of net long speculators over total open interest in future markets, which...

Persistent link: https://www.econbiz.de/10009756298

Forecasting inflation in Argentina

Garegnani, Lorena; Gómez Aguirre, Maximiliano - 2018

In 2016 the Central Bank of Argentina began to announce inflation targets. In this context, providing authorities with good estimates of relevant macroeconomic variables is crucial for making pertinent corrections in order to reach the desired policy goals. This paper develops a group of models...

Persistent link: https://www.econbiz.de/10011882797

Time-varying local projections

Ruisi, Germano - 2019

In recent years local projections have become a more and more popular methodology for the estimation of impulse responses. Besides being relatively easy to implement, the main strength of this approach relative to the traditional VAR one is that there is no need to impose any specific assumption...

Persistent link: https://www.econbiz.de/10012040644

Optimal pairs trading strategies in a cointegration framework

Huang, Zhe; Martin, Franck - 2017

Persistent link: https://www.econbiz.de/10011713000

Are money demand equations still alive and kicking? : historical evidence of cointegration for the UK, using nonlinear techniques

Escribano, Álvaro; Rodríguez, Juan-Andrés; Arranz, … - 2025

Persistent link: https://www.econbiz.de/10015395823

Detecting sparse cointegration

Gonzalo, Jesús; Pitarakis, Jean-Yves - 2024

Persistent link: https://www.econbiz.de/10015395838