What matters when developing oil price volatility forecasting frameworks
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Forecasting"
DOI: 10.1002/for.2815
Abstract: Forecasting oil price volatility is considered of major importance for numerous stakeholders, including, policy makers, industries and investors. This paper examines and evaluates the main factors that oil price volatility forecasters should take before constructing… read more here.
Keywords: price volatility; oil price; volatility; forecasting ... See more keywords
Factors of carbon price volatility in a comparative analysis of the EUA and sCER
Sign Up to like & getrecommendations! Published in 2017 at "Annals of Operations Research"
DOI: 10.1007/s10479-015-1864-y
Abstract: The paper proposes three hypotheses for the factors of carbon price volatility on the basis of the existing literature, and then uses ensemble empirical model decomposition and variance ratio to analyze the carbon price volatility… read more here.
Keywords: factors carbon; market; price; price volatility ... See more keywords
Climate variability and the volatility of global maize and soybean prices
Sign Up to like & getrecommendations! Published in 2017 at "Food Security"
DOI: 10.1007/s12571-017-0702-2
Abstract: Volatility in the price of agricultural commodities is one of the main factors affecting food security. Many studies have analyzed agricultural market instability from different points of view, but the effect of climate oscillations on… read more here.
Keywords: volatility; variability; price; price volatility ... See more keywords
Oil price volatility and economic growth: Evidence from advanced economies using more than a century’s data
Sign Up to like & getrecommendations! Published in 2019 at "Applied Energy"
DOI: 10.1016/j.apenergy.2018.10.049
Abstract: This paper uses a number of different panel data estimators, including fixed effects, bias-corrected least squares dummy variables (LSDVC), generalised methods of moments (GMM), feasible generalised least squares (FGLS), and random coefficients (RC) to analyse… read more here.
Keywords: price volatility; oil price; growth; oil ... See more keywords
Price volatility and residential electricity decisions: Experimental evidence on the convergence of energy generating source
Sign Up to like & getrecommendations! Published in 2017 at "Energy Economics"
DOI: 10.1016/j.eneco.2016.07.012
Abstract: The recent trend in most developed countries has been toward greater reliance on renewable or “green” energy sources. This paper investigates how price volatility in residential electricity rates impacts consumers' preferences for green power. Using… read more here.
Keywords: energy; volatility; electricity; plan ... See more keywords
OPEC in the news
Sign Up to like & getrecommendations! Published in 2019 at "Energy Economics"
DOI: 10.1016/j.eneco.2018.12.025
Abstract: This paper introduces a newspaper article count index related to OPEC that rises in response to important OPEC meetings and events connected with OPEC production levels. I use this index to measure how interest in… read more here.
Keywords: price volatility; oil price; index; price ... See more keywords
A closer look into the global determinants of oil price volatility
Sign Up to like & getrecommendations! Published in 2021 at "Energy Economics"
DOI: 10.1016/j.eneco.2020.105092
Abstract: Abstract In this paper we investigate global determinants of oil price volatility by employing a time-varying parameter vector autoregressive (TVP-VAR) model. We focus on realised volatility and consider the impact from a set of potential… read more here.
Keywords: price volatility; oil price; volatility; oil ... See more keywords
New empirical evidence in support of the theory of price volatility of storable commodities under rational expectations in spot and futures markets
Sign Up to like & getrecommendations! Published in 2021 at "Energy Economics"
DOI: 10.1016/j.eneco.2021.105375
Abstract: Abstract The impact of futures markets on the spot price volatility of storable commodities can be either stabilizing or destabilizing. The underlying theoretical model determines that the impact depends on whether the dominant/prevailing disturbance in… read more here.
Keywords: price volatility; storable commodities; spot; volatility storable ... See more keywords
Food price volatility and household food security: Evidence from Nigeria
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DOI: 10.1016/j.foodpol.2021.102061
Abstract: Abstract Food prices vary seasonally, particularly in areas with rainfed agricultural production and imperfect markets, and are also subject to volatility arising from macroeconomic and climatic shocks, such as global supply shocks and abrupt policy… read more here.
Keywords: price volatility; food security; food; price ... See more keywords
Forecasting oil price volatility using spillover effects from uncertainty indices
Sign Up to like & getrecommendations! Published in 2020 at "Finance Research Letters"
DOI: 10.1016/j.frl.2020.101885
Abstract: Abstract We consider spillovers between oil price volatility and key uncertainty indicators and we extend the applicability of the spillover index beyond economic inference, by generating forecasts of oil price volatility. The paper shows that… read more here.
Keywords: oil price; price volatility; uncertainty;
Crude oil price volatility and equity return predictability: A comparative out-of-sample study
Sign Up to like & getrecommendations! Published in 2020 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2020.101521
Abstract: Abstract We evaluate the predictive power afforded by crude oil price volatility relative to widely used variables in the financial literature, such as the dividend yield, earnings-to-price ratio, the default yield spread as well several… read more here.
Keywords: oil price; price; crude oil; price volatility ... See more keywords