Forecasting The Volatility Of Stock Market And Oil Futures Market
DOWNLOAD
Download Forecasting The Volatility Of Stock Market And Oil Futures Market PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Forecasting The Volatility Of Stock Market And Oil Futures Market book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Forecasting The Volatility Of Stock Market And Oil Futures Market
DOWNLOAD
Author : Dexiang Mei
language : en
Publisher: Scientific Research Publishing, Inc. USA
Release Date : 2020-12-17
Forecasting The Volatility Of Stock Market And Oil Futures Market written by Dexiang Mei and has been published by Scientific Research Publishing, Inc. USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-12-17 with Business & Economics categories.
The volatility has been one of the cores of the financial theory research, in addition to the stock markets and the futures market are an important part of modern financial markets. Forecast volatility of the stock market and oil futures market is an important part of the theory of financial markets research.
Research On The Volatility Of Oil Futures And European Stock Markets
DOWNLOAD
Author : Dexiang Mei
language : en
Publisher: Scientific Research Publishing, Inc.
Release Date : 2020-08-13
Research On The Volatility Of Oil Futures And European Stock Markets written by Dexiang Mei and has been published by Scientific Research Publishing, Inc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-08-13 with Juvenile Nonfiction categories.
The volatility has been one of the cores of the financial theory research, in addition to the futures market is an important part of modern financial markets, the futures market volatility is an important part of the theory of financial markets research.
Forecasting Oil Futures Market Volatility In A Financialized World
DOWNLOAD
Author : Kam C. Chan
language : en
Publisher:
Release Date : 2018
Forecasting Oil Futures Market Volatility In A Financialized World written by Kam C. Chan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
We analyze the relation between volatility and speculative activities in the crude oil futures market and provide short-term forecasts accordingly. By incorporating trading volume and opening interest (speculative ratio) into the volatility dynamics, we document the subtle interaction between the two measures of which the volatility-averse behavior of speculative activities plays a considerable role in the market. Moreover, by accounting for structural changes, we find significant evidence that this behavior currently becomes weaker than in the past, which implies the oil futures market is less informative and/or less risk-averse in recent time period. Our forecasts based on these features perform very well under the predictive preferences that are consistent with the volatility-averse behavior in the oil futures market. We provide discussions and policy inferences.
Oil Price Volatility And The Role Of Speculation
DOWNLOAD
Author : Samya Beidas-Strom
language : en
Publisher: International Monetary Fund
Release Date : 2014-12-12
Oil Price Volatility And The Role Of Speculation written by Samya Beidas-Strom and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-12-12 with Business & Economics categories.
How much does speculation contribute to oil price volatility? We revisit this contentious question by estimating a sign-restricted structural vector autoregression (SVAR). First, using a simple storage model, we show that revisions to expectations regarding oil market fundamentals and the effect of mispricing in oil derivative markets can be observationally equivalent in a SVAR model of the world oil market à la Kilian and Murphy (2013), since both imply a positive co-movement of oil prices and inventories. Second, we impose additional restrictions on the set of admissible models embodying the assumption that the impact from noise trading shocks in oil derivative markets is temporary. Our additional restrictions effectively put a bound on the contribution of speculation to short-term oil price volatility (lying between 3 and 22 percent). This estimated short-run impact is smaller than that of flow demand shocks but possibly larger than that of flow supply shocks.
Forecasting Accuracy Of Crude Oil Futures Prices
DOWNLOAD
Author : Mr.Manmohan S. Kumar
language : en
Publisher: International Monetary Fund
Release Date : 1991-10-01
Forecasting Accuracy Of Crude Oil Futures Prices written by Mr.Manmohan S. Kumar and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991-10-01 with Business & Economics categories.
This paper undertakes an investigation into the efficiency of the crude oil futures market and the forecasting accuracy of futures prices. Efficiency of the market is analysed in terms of the expected excess returns to speculation in the futures market. Accuracy of futures prices is compared with that of forecasts using alternative techniques, including time series and econometric models, as well as judgemental forecasts. The paper also explores the predictive power of futures prices by comparing the forecasting accuracy of end-of-month prices with weekly and monthly averages, using a variety of different weighting schemes. Finally, the paper investigates whether the forecasts from using futures prices can be improved by incorporating information from other forecasting techniques.
Oil Price Dynamics And Volatility
DOWNLOAD
Author : Cyril Youinou
language : en
Publisher:
Release Date : 2003
Oil Price Dynamics And Volatility written by Cyril Youinou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
Volatility Transmission Between The Oil And Stock Markets
DOWNLOAD
Author : Fidel Farias
language : en
Publisher: GRIN Verlag
Release Date : 2016-07-11
Volatility Transmission Between The Oil And Stock Markets written by Fidel Farias and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-07-11 with Business & Economics categories.
Diploma Thesis from the year 2010 in the subject Economics - Finance, grade: 1,3, University of Potsdam (Makroökonomische Theorie und Politik), language: English, abstract: Besonders in jüngster Zeit kommt der Analyse von Ölpreisvolatilität aus volkswirtschaftlicher Sicht eine bedeutende Rolle zu. Gegenwärtig werden bestimmte Rohstoffe wie Rohöl als relevante Anlageinstrumenten von Investoren benutzt, um sich gegen Risiken an den Finanzmärkten abzusichern. Diese Diplomarbeit beschäftigt sich mit der Berechnung von Ölpreisvolatilität in der Zeitperiode von Januar 2002 bis Juli 2009. Dabei werden Berechnungen von Ölpreisvolatilität während der Finanzkrise im Jahre 2008 untersucht. Diese Finanzkrise hat sich tiefgreifend auf die Entwicklung der Preise von Kapital- und Finanzgütern ausgewirkt. Dabei weisen die exzessiven gemessenen Werte von Preisvolatilität während der Finanzkrise auf eine strukturelle Veränderung der Preisbildung von Kapital- und Finanzgütern an den Kapital- und Finanzmärkten hin. Interessanterweise lassen sich bei der Analyse von Ölpreisvolatilität bedeutende Fakten feststellen, deren Existenz die gegenwärtig verwendeten statistischen Modelle, die sich mit der Messung von Preisvolatilität befassen, in künftigen Arbeiten komplementieren könnten. Im Rahmen dieser Diplomarbeit werden fünf wichtige statistische Modelle analysiert: ARCH, GARCH, BEKK-GARCH und Markov-switching Modell. Dazu wird aus den Ölpreisdaten der letzten 8 Jahre die tägliche Preisvolatilität berechnet, um mögliche Relationen zwischen der Volatilität am Ölmarkt und der Volatilität am Finanzmarkt zu untersuchen. Dabei werden diese implementierten Verfahren auf ihre Gültigkeit in Berechnung und Vorhersage von plötzlichen Preisveränderungen untersucht. Insbesondere wird darauf eingegangen unter welchen Bedingungen die Verfahrensergebnisse als zuverlässig gelten. Diese Diplomarbeit wurde im Rahmen eines Forschungspraktikums bei der Organisation erdölexportierender Länder (OPEC) in Wien, Österreich unter Betreuung des Lehrstuhls für Wirtschaftstheorie der Universität Potsdam, fertiggestellt
Forecasting Volatility Of Oil Prices Their Effect On The Economy
DOWNLOAD
Author : May Al- Issa
language : en
Publisher:
Release Date : 2023-09-27
Forecasting Volatility Of Oil Prices Their Effect On The Economy written by May Al- Issa and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-09-27 with categories.
With the importance of crude oil and its effect on the macro and micro economy alike and with the fluctuations of oil prices mainly due to geopolitical reasons -speculators taking this advantage in raising the prices in 2008; forecasting crude oil volatility becomes vital. This project addresses three main areas: modelling volatility, forecasting and calculating options premiums and finally examining the effect of oil prices on the economy. Five year daily prices of OPEC, being the reference to oil prices, Brent being one of the main oil markets, BP.plc as one of the giant oil companies, and S&P500 being the important market index are obtained from different approved resources. Auto Regressive Conditional Heteroskedasticity series proved, as examined by vast number of studies in the literature reviewed; to be better in forecasting volatility in time series. GARCH and EGARCH are estimated under normality using random walk with drift for a better fit. Upon choosing the optimal models according to the Akaike and Schwartz Information Criteria; EGARCH(1,2) is of better fit to volatility for OPEC containing recent shocks to the prices, yet GARCH(1,2) and GARCH(5,4) provided almost similar results. EGARCH(1,1) proves to be yet another good model for both modelling and forecasting volatility of Brent crude returns by covering the asymmetry and the leverage effects. Options premiums calculated of 31-day forecast period using Black-Scholes model show different outcome to that obtained from Bloomberg implying the attraction of more investors to buy more profitable options since higher risk leads to higher profits. By performing the Johansen cointegration method, it is evident that oil price fluctuations have longer term relationship between OPEC and BP than between OPEC and S&P500 yet all three are in equilibrium portraying for more downturn in the economy.
Essays On Forecasting And Hedging Models In The Oil Market And Causality Analysis In The Korean Stock Market
DOWNLOAD
Author : Hankyeung Choi
language : en
Publisher:
Release Date : 2012
Essays On Forecasting And Hedging Models In The Oil Market And Causality Analysis In The Korean Stock Market written by Hankyeung Choi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
In this dissertation, three related issues concerning empirical time series models for energy financial markets and the stock market were investigated. The purpose of this dissertation was to analyze the interdependence of price movements, focusing on the forecasting models for crude oil prices and the hedging models for gasoline prices, and to study the change in the contemporaneous causal relationship between investors' activities and stock price movements in the Korean stock market. In the first essay, the nature of forecasting crude oil prices based on financial data for the oil and oil product market is examined. As crack spread and oil-related Exchange-Traded Funds (ETFs) have enabled more consumers and investors to gain access to the crude oil and petroleum products markets, I investigated whether crack spread and oil ETFs were good predictors of oil prices and attempted to determine whether crack spread or oil ETFs were better at explaining oil price movements. In the second essay, the effectiveness of diverse hedging models for the unleaded gasoline price is examined using futures and ETFs. I calculated the optimal hedge ratios for gasoline futures and gasoline ETF utilizing several advanced econometric models and then compared their hedging performances. In the third essay, the contemporaneous causal relationship between multiple players' activities and stock price movements in the Korean stock market was investigated using the framework of a DAG model. The causal impacts of three players' activities in regard to stock return and stock price volatility are examined, concentrating on foreign investor activities. Within this framework, two Korean stock markets, the KSE and KOSDAQ markets, are analyzed and compared. Recognizing the global financial crisis of 2008, the change in casual relationships was examined in terms of pre- and post-break periods. In conclusion, when a multivariate econometric model is developed for multi-markets and multi-players, it is necessary to consider a number of attributes on data relations, including cointegration, causal relationship, time-varying correlation and variance, and multivariate non-normality. This dissertation employs several econometric models to specify these characteristics. This approach will be useful in further studies of the information transmission mechanism among multi-markets or multi-players.
Dynamic Linkages And Volatility Spillover
DOWNLOAD
Author : Bhaskar Bagchi
language : en
Publisher: Emerald Group Publishing
Release Date : 2016-11-01
Dynamic Linkages And Volatility Spillover written by Bhaskar Bagchi and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-11-01 with Business & Economics categories.
This book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and stock markets of emerging economies. Unfortunately very little research has been conducted to analyze the volatility spillovers and dynamic relationship between crude oil prices, exchange rates and stock markets of India.