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Discerning trends in international metal prices in the presence of non-stationary volatility

Addison, Tony; Ghoshray, Atanu - 2020

volatility of primary commodity prices-metals are no exception. Recent events have led experts to believe that trends have been … for many countries. However, estimating the underlying trend has proven to be difficult, given the persistence and … trends over certain lengths of time remains a contentious issue. We combine robust econometric procedures to calculate the …

Persistent link: https://www.econbiz.de/10012265553

Discerning trends in international metal prices in the presence of nonstationary volatility

Addison, Tony; Ghoshray, Atanu - In: Resource and energy economics 71 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014251874

Heavy metals : might as well jump

Wilmot, Neil A. - In: International Journal of Financial Studies : open … 7 (2019) 2/33, pp. 1-14

metal price series is investigated, as well as time-varying volatility. The results demonstrate that allowing for jumps and … time-varying volatility provides statistically important improvements in the modelling or prices, relative to GBM. These …

Persistent link: https://www.econbiz.de/10012038566

Pandemics and their impact on oil and metal prices

Addison, Tony; Ghoshray, Atanu - 2020

We examine the effect of pandemics on selected commodity prices-in particular, those of zinc, copper, lead, and oil. We set up a vector autoregressive model and analyse data since the mid-nineteenth century to determine how prices reacted to pandemics such as the 1918 Spanish Flu, 1957 Asian...

Persistent link: https://www.econbiz.de/10012320991

Predicting multi-scale positive and negative stock market bubbles in a panel of G7 countries : the role of oil price uncertainty

Van Eyden, Reneé; Gupta, Rangan; Sheng, Xin; Nielsen, … - In: Economies : open access journal 13 (2025) 2, pp. 1-25

While there is a large body of literature on oil uncertainty-equity prices and/or returns nexus, an associated important question of how oil market uncertainty affects stock market bubbles remains unanswered. In this paper, we first use the Multi-Scale Log-Periodic Power Law Singularity...

Persistent link: https://www.econbiz.de/10015210403

Electricity Pricing Using a Periodic GARCH-M Model with Conditional Skewness and Kurtosis Components

Ioannides, Filippos; Kosmidou, Kyriaki; Savva, Christos S. - 2021

This paper extends the investigation of the stochastic properties of electricity price growth rates beyond their first two conditional moments allowing for the impact of seasonality on their parameters. The main contributions include the breakdown of electricity price risk into its pure and...

Persistent link: https://www.econbiz.de/10013249671

A cointegration analysis of agricultural, energy and bio-fuel spot and futures prices

Allen, David E.; Chang, Chia-Lin; McAleer, Michael; … - 2016

vary according to whether they are in low or high volatility regimes. …

Persistent link: https://www.econbiz.de/10011479769

How is volatility in commodity markets linked to oil price shocks?

Ahmadi, Maryam; Behmiri, Niaz Bashiri; Manera, Matteo - 2015

This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities … functions, the response of volatility of each commodity to an oil price shock differs significantly depending on the underlying …

Persistent link: https://www.econbiz.de/10011438674

Oil market efficiency, quantity of information, and oil market turbulence

Gronwald, Marc; Wadud, Sania; Dogah, Kingsley - 2024

This paper analyses the informational efficiency of the WTI crude oil markets using a recently proposed quantitative measure for market inefficiency. The procedure measures the extent to which observed oil price behaviour deviates from the Random Walk benchmark which represents an efficient...

Persistent link: https://www.econbiz.de/10014490913

Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities

Robiyanto, Robiyanto; Nugroho, Bayu Adi; Handriani, Eka; … - In: Financial innovation : FIN 6 (2020) 53, pp. 1-29

The previous studies have shown that capital market integration has increased in the ASEAN-5, implying that investors making investment diversification across ASEAN capital markets could only earn limited diversification advantages. To diversify their portfolios, equity investors must find other...

Persistent link: https://www.econbiz.de/10012418412