The Oil Markets: Let the Data Speak for Itself

2008 ◽  
Author(s):  
Hilary Till
Keyword(s):  
Oil Markets

Covered Calls Indices in Crude Oil Markets

2009 ◽  
Author(s):  
Berlinda Liu ◽  
Srikant Dash
Keyword(s):  
Crude Oil ◽  
Oil Markets

Oil Markets and Price Movements: A Survey of Models

2013 ◽  
Author(s):  
Hillard Huntington ◽  
Saud M. Al-Fattah ◽  
Zhuo Huang ◽  
Michael Gucwa ◽  
Ali Nouri
Keyword(s):  
Oil Markets ◽  
Price Movements

scholarly journals Assessing Market Risk in BRICS and Oil Markets: An Application of Markov Switching and Vine Copula

2021 ◽  
Vol 9 (2) ◽  
pp. 30
Author(s):  
John Weirstrass Muteba Mwamba ◽  
Sutene Mwambetania Mwambi
Keyword(s):  
South Africa ◽  
Crude Oil ◽  
South African ◽  
Asset Allocation ◽  
Markov Switching ◽  
Tail Dependence ◽  
Lower Tail ◽  
Oil Market ◽  
Oil Markets ◽  
Vine Copula

This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics. For this purpose, we employ a combination of novel statistical techniques, including Vector Autoregressive (VAR), Markov-switching GJR-GARCH, and vine copula methods. Using a data set consisting of daily stock and world crude oil prices, we find evidence of a structure break in the volatility process, consisting of high and low persistence volatility processes, with a high persistence in the probabilities of transition between lower and higher volatility regimes, as well as the presence of leverage effects. Furthermore, our results based on the C-vine copula confirm the existence of two types of tail dependence: symmetric tail dependence between South Africa and China, South Africa and Russia, and South Africa and India, and asymmetric lower tail dependence between South Africa and Brazil, and South Africa and crude oil. For the purpose of diversification in these markets, we formulate an asset allocation problem using raw returns, MS GARCH returns, and C-vine and R-vine copula-based returns, and optimize it using a Particle Swarm optimization algorithm with a rebalancing strategy. The results demonstrate an inverse relationship between the risk contribution and asset allocation of South Africa and the crude oil market, supporting the existence of a lower tail dependence between them. This suggests that, when South African stocks are in distress, investors tend to shift their holdings in the oil market. Similar results are found between Russia and crude oil, as well as Brazil and crude oil. In the symmetric tail, South African asset allocation is found to have a well-diversified relationship with that of China, Russia, and India, suggesting that these three markets might be good investment destinations when things are not good in South Africa, and vice versa.

Price and volatility transmission in, and between, skimmed milk powder, livestock feed and oil markets

2017 ◽  
Vol 46 (4) ◽  
pp. 248-257 ◽  
Author(s):  
Dennis Bergmann ◽  
Declan O’Connor ◽  
Andreas Thümmel
Keyword(s):  
Crude Oil ◽  
Milk Powder ◽  
Multivariate Garch ◽  
Volatility Transmission ◽  
Crude Oil Prices ◽  
Multivariate Garch Model ◽  
Oil Markets ◽  
Skimmed Milk ◽  
Derivative Markets ◽  
Skimmed Milk Powder

Price and volatility transmission effects between European Union (EU) and World skimmed milk powder (SMP) prices, as well as those between both SMP series, soybeans and crude oil prices from 2004 to 2014 were analysed using a vector error correction model combined with a multivariate GARCH model. The results show significant transmission effects between EU and World SMP prices, but no significant transmission effects from soybeans or crude oil to either of the SMP prices. For policymakers and modellers, these results indicate the need to consider World SMP prices when considering EU prices. On the other hand, the finding of no transmission effects from soybean to SMP prices reduces the opportunity for a successful cross-hedging for dairy commodities using well-established soybean derivative markets.

Enduring Resilience: How Oil Markets Handle Disruptions

2013 ◽  
Vol 22 (1) ◽  
pp. 139-147 ◽  
Author(s):  
Eugene Gholz ◽  
Daryl G. Press
Keyword(s):  
Oil Markets

Oil markets in turmoil

1984 ◽  
Vol 6 (3) ◽  
pp. 421-425
Author(s):  
F.Gerard Adams ◽  
Jaime R. Marquez
Keyword(s):  
Oil Markets

scholarly journals North European Export Industry and the Shadows of Sulphur Directive

2016 ◽  
Vol 17 (1) ◽  
pp. 9-17 ◽  
Author(s):  
Esa Hämäläinen ◽  
Olli-Pekka Hilmola ◽  
Andres Tolli
Keyword(s):  
Paper Industry ◽  
Research Work ◽  
Transportation Cost ◽  
Paper Mill ◽  
Export Industry ◽  
Eu Directive ◽  
Oil Markets ◽  
Regulation Change ◽  
European Export

Abstract EU Directive of MARPOL Annex VI and its economic impact on the Nordic paper industry is theme of this research work. Empirical data for analysis purposes was gained from a large Nordic paper mill that exports bulk products mainly to Europe (70 % of its volume). The study shows that in the end the industry’s location still has an economical effect, and that the location has a distinct impact on competition through rising transportation costs. Environmental regulation continues and fosters long-term upwards trajectory of transportation cost, which has been experienced by the paper mill earlier during years 2001-2009. Sulphur regulation change to cleaner grades of maritime diesel did not turn as heavy cost increase in the 2015, however, possibility to gain cost benefits in rapidly deteriorating oil markets were not reached either. Therefore, in depressed industrial product markets, like paper industry, implications were such that margins of export industry remained low.

Efficiency of crude oil markets: Evidences from informational entropy analysis

Energy Policy ◽  
2012 ◽  
Vol 41 ◽  
pp. 365-373 ◽  
Author(s):  
Alejandro Ortiz-Cruz ◽  
Eduardo Rodriguez ◽  
Carlos Ibarra-Valdez ◽  
Jose Alvarez-Ramirez
Keyword(s):  
Crude Oil ◽  
Entropy Analysis ◽  
Informational Entropy ◽  
Oil Markets
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