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A characterization of oil price behavior : evidence from jump models

Gronwald, Marc - In: Energy economics 34 (2012) 5, pp. 1310-1317

Persistent link: https://www.econbiz.de/10009688098

A characterization of oil price behavior : evidence from jump models

Gronwald, Marc - 2011

; conditional jumps ; GARCH ; Hotelling ; climate change ; deterministic trend … GARCH in order to characterize the behavior of daily, weekly as well as monthly oil prices. Secondly, it relates its … empirical results to implications of Hotelling-type resource extraction models. The empirical analysis shows that oil prices are …

Persistent link: https://www.econbiz.de/10009377786

Nexus of Oil Price Pass-Through and Exchange Rate : Evidence from US and China

Zhang, Xiaoyu - 2019

Due to technological innovation and energy consumption growth in recent years, US and China become increasingly important players in the world crude oil market and are growingly exposed to not only supply and demand shocks but also foreign exchange risks. To better understand the nexus of crude...

Persistent link: https://www.econbiz.de/10012866878

A Characterization of Oil Price Behavior - Evidence from Jump Models

Gronwald, Marc - 2021

GARCH in order to characterize the behavior of daily, weekly as well as monthly oil prices. Secondly, it relates its … empirical results to implications of Hotelling-type resource extraction models. The empirical analysis shows that oil prices are … characterized by GARCH as well as conditional jump behavior and that a considerable portion of the total variance is triggered by …

Persistent link: https://www.econbiz.de/10013315950

Explosive oil prices

Gronwald, Marc - 2013

This paper deals with three aspects of spectacular oil price episodes such as the one witnessed in 2008. First, the concept of temporary explosiveness is proposed as an empirical method for capturing this type of behavior. The application of a recently proposed recursive unit root test shows...

Persistent link: https://www.econbiz.de/10009786017

Modeling and forecasting crude oil price volatility : evidence from historical and recent data

Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - 2015

heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 … outperformed by other models, with long memory GARCH-type models coming out second best. …

Persistent link: https://www.econbiz.de/10010488966

The Demographic Transition and the Ecological Transition : Enriching the Environmental Kuznets Curve Hypothesis

Galeotti, Marzio; Lanza, Alessandro; Piccoli, Maria … - 2013

The impact of population growth on the environment is an issue that is highly debated yet comparatively under-researched empirically. This is true despite a vast number of published articles on the link between population and environmental changes speculating on the sign of the environment...

Persistent link: https://www.econbiz.de/10014177977

Changing Patterns of Trade in the World Iron Ore and Steel Market : An Econometric Analysis

Labson, Stephen - 2016

An econometric model of world trade in iron or and steel was developed to examine the impact on world supply, demand, trade, and prices due to prolonged growth in Chinese industrial production. The model - built in 1993 adequately predicted the phenomenal growth in production and prices that...

Persistent link: https://www.econbiz.de/10013000870

Summary of the Paper Entitled : Forecasting Fuel Prices with the Chilean Exchange Rate

Pincheira, Pablo M.; Jarsun, Nabil - 2021

This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil-related products: gasoline, propane and heating oil. The...

Persistent link: https://www.econbiz.de/10013243891

Rationality in Precious Metals Forward Markets : Evidence of Behavioural Deviations in the Gold Markets

Aggarwal, Raj - 2014

We offer the first examination of whether the gold forward rate is an unbiased predictor of the future gold spot rate. We find strong evidence that it is not, particularly at longer maturities. Building on Aggarwal and Zong's (2008) approach to allow for investor risk aversion, we then examine...

Persistent link: https://www.econbiz.de/10013053946