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A general approach to recovering market expectations from futures prices with an application to crude oil
Baumeister, Christiane; Kilian, Lutz - 2016
has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting, and for …
Persistent link: https://www.econbiz.de/10011434566
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A general approach to recovering market expectations from futures prices with an application to crude oil
Baumeister, Christiane; Kilian, Lutz - 2014
energy-intensive durables, for the debate on speculation in oil markets, and for oil price forecasting. …
Persistent link: https://www.econbiz.de/10010409922
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A general approach to recovering market expectations from futures prices with an application to crude oil
Baumeister, Christiane; Kilian, Lutz - 2016
has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting and for the …
Persistent link: https://www.econbiz.de/10011452269
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A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
Baumeister, Christiane - 2016
has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting, and for …
Persistent link: https://www.econbiz.de/10012996209
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Testing volatility in Nigeria stock market using GARCH models
Atoi, Ngozi V. - In: CBN journal of applied statistics 5 (2014) 2, pp. 65-93
forecasting volatility model with the most appropriate error distribution. The results suggest the presence of leverage effect … forecasting model that could guarantee a sound policy decisions. …
Persistent link: https://www.econbiz.de/10011489480
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Forecasting Oil Prices With Penalized Regressions, Variance Risk Premia and Google Data
Lycheva, Maria; Mironenkov, Alexey; Kurbatskii, Alexey; … - 2023
forecasting performances across most of the forecasting horizons. Moreover, we found that models using the VRP as an additional … forecasting performances were not statistically different for most models, and only the Principal Component Regression (PCR) and … the Partial least squares (PLS) regression were consistently excluded from the set of best forecasting models. These …
Persistent link: https://www.econbiz.de/10014349277
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The impacts of oil price shocks on stock market volatility : evidence from the G7 countries
Bastianin, Andrea; Conti, Francesca; Manera, Matteo - 2015
We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a structural VAR model to identify the causes underlying the oil price shocks and gauge the differential impact that oil supply and oil demand innovations have on financial volatility....
Persistent link: https://www.econbiz.de/10011438638
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How does stock market volatility react to oil shocks?
Bastianin, Andrea; Manera, Matteo - 2014
We study the impact of oil price shocks on US stock market volatility. We derive three different structural oil shock variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate structural VAR models, one for each oil price...
Persistent link: https://www.econbiz.de/10010476423
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Impact of oil prices on stock market development in selected oil exporting Sub-Saharan African countrie
Muritala, Adewale T.; Ijaiya, Adeniyi M.; Adekunle, Ahmed O. - In: Financial internet quarterly 16 (2020) 2, pp. 1-13
This study examines the dynamic impacts of oil prices on stock market development in four oil exporting sub-Saharan African countries in the period of 1989-2015. The Arbitrage Pricing Theory (APT) is used as the theoretical framework where stock market prices are hypothesized to be fully...
Persistent link: https://www.econbiz.de/10012284869
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Exploring the nexus between oil prices and sectoral stock prices : nonlinear evidence from Kuwait stock exchange
Kisswani, Khalid M.; Elian, Mohammad I. - In: Cogent economics & finance 5 (2017) 1, pp. 1-17
This paper investigates the relationship between oil prices (Brent and West Texas Intermediate (WTI)) and Kuwait Stock Exchange (KSE) prices at the sector level. In a nonlinear autoregressive distributed lag (NARDL) model, ten major sectors in Kuwait are studied using daily data from 3 January...
Persistent link: https://www.econbiz.de/10011598070