This paper investigates the behaviour of the pooled ols estimator in a panel model with stationary and nonstationary regressores as both N amd T go to infinity. the nonstationary regressor is assumed I(1) ,the stationary regressor is set i.i.d.The investigation is carried through four Monte...

We propose a model diagnostic device to compare different linear and non linear parametric time series models of real GDP business cycle.The comparison appears of remarkable economic importance since different models have very different implications in term of long run persistence of negative...

For a long time fuels such as gas, coal or oil have been the most important cost items for power generation accounting for 70% of the variable costs (Crampes and Fabra, 2005), since they were usually marginal generation technologies that set wholesale prices (Bosco et al., 2010). Intuitively,...

Using daily data from July 2005 to February 2011 for WTI, Dubai and Brent futures contracts, we employ a VAR-BEKK model to investigate crude oil markets integration on the second moment. We also quantify the size and persistence of these connections through the analysis of Volatility Impulse...

We investigate evidence on the effects of OPEC announcements on world oil prices by examining announcements from both official conferences and ministerial meetings on major international crudes, including the key benchmarks and several other heavy and light grades. With data from 1982 to 2008,...

This article extends an option pricing model and studies the properties of implied probability distribution functions (PDFs) recovered from American interest rate futures options. The model relaxes the restricting assumption of lognormally distributed returns accommodating a wide variety of...

The relationship between stock market returns and volatilities has been extensively investigated in the academic literature. In this paper the relationship between Commodity Returns and volatility is investigated for the first time. We shared the feeling that the relationship between return and...