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Identifying Price Bubble Periods in the Energy Sector

Sharma, Shahil; Escobari, Diego - 2017

In this paper we test for the existence of single and multiple episodes of explosive behavior in three energy sector indices (crude oil, heating oil, and natural gas) and five energy sector spot prices (West Texas Intermediate (WTI), Brent, heating oil, natural gas, and jet fuel). The results...

Persistent link: https://www.econbiz.de/10015258652

The Interdependence between Commodity-Price and GDP Cycles: A Frequency-Domain Approach

Ojeda-Joya, Jair; Jaulin-Mendez, Oscar; Bustos-Pelaez, Juan - 2015

long-run frequencies; therefore, commodity-price trends and super-cycles are demand driven. Third, there is some causality …

Persistent link: https://www.econbiz.de/10015262258

Forecasting Realized Volatility of Agricultural Commodities

Degiannakis, Stavros; Filis, George; Klein, Tony; … - 2019

We forecast the realized and median realized volatility of agricultural commodities using variants of the Heterogeneous …-sample analysis shows that the variants of the HAR model which decompose volatility measures into their continuous path and jump … volatility decomposition or relative transformations of volatility, in the forecasting models. …

Persistent link: https://www.econbiz.de/10015265266

The Mean Squared Prediction Error Paradox

Pincheira, Pablo; Hardy, Nicolas - 2021

In this paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of efficiency are not met, the forecast displaying the lowest MSPE will also display the...

Persistent link: https://www.econbiz.de/10015241474

Forecasting oil price realized volatility: A new approach

Degiannakis, Stavros; Filis, George - 2016

This paper adds to the extremely limited strand of the literature focusing on the oil price realized volatility … the oil price realized volatility for 1-day until 66-day ahead. To do so, we concentrate on the Brent crude oil and … are highly accurate in predicting future movements of oil price volatility. (iv) The forecasting accuracy of the models is …

Persistent link: https://www.econbiz.de/10015250580

Quantifying the impact of Ramadan on global raw sugar prices

Kazi Abrar, Hossain; Syed Abul, Basher; A.K. Enamul, Haque - 2017

Each year during the month of Ramadan (Muslim fasting month) consumption of sugar increased dramatically across the globe as Muslims traditionally break their fast with some sweet drinks or products. Since Muslims use lunar calendar, the months are not fully aligned with the Gregorian calendar...

Persistent link: https://www.econbiz.de/10015254300

Factors Determining FDI to Nigeria: An Empirical Investigation

Dinda, Soumyananda - 2008

This study empirically investigates the determinants of foreign direct investment (FDI) to Nigeria during 1970-2006. This study suggests that the endowment of natural resources, trade intensity, macroeconomic risk factors like inflation and exchange rates are significant determinants of FDI flow...

Persistent link: https://www.econbiz.de/10015225210

Factors determining FDI to Nigeria: an empirical investigation

Dinda, Soumyananda - 2008

Persistent link: https://www.econbiz.de/10015233017

On Efficient Utilization of Egypt's Energy Resources: Oil and Natural Gas

Selim, Tarek - 2007

The focus of this research is analysis and forecast for Egypt's energy resources of oil and natural gas. Running a risk of an oil shortage in the near term, Egypt's strategic energy resource should shift from oil to natural gas. Given an international energy market with high price variations for...

Persistent link: https://www.econbiz.de/10015271187

Trends in Resource Extraction and Implications for Sustainability in Canada

Mariam, Yohannes - 1999

There is a disagreement on the concept, definition and application of the paradigm of sustainable development. The definition that has been accepted by many involves several components, and it is difficult to measure or quantify indicators. Depending on the structure of the economy, it is...

Persistent link: https://www.econbiz.de/10015249117