发布求助
文献互助 智能选刊 最新文献

Econometric Modeling: Commodity Markets eJournal最新文献

筛选
英文 中文
Ethereum Gas Price Statistics 以太坊天然气价格统计
Econometric Modeling: Commodity Markets eJournal Pub Date : 2020-12-01 DOI: 10.2139/ssrn.3754217
David Carl, Christian Ewerhart
{"title":"Ethereum Gas Price Statistics","authors":"David Carl, Christian Ewerhart","doi":"10.2139/ssrn.3754217","DOIUrl":"https://doi.org/10.2139/ssrn.3754217","url":null,"abstract":"For users of the Ethereum network, the gas price is a crucial parameter that determines how swiftly the decentralized consensus protocol confirms a transaction. This paper studies the statistics of the Ethereum gas price. We start with some conceptual discussion of the gas price notion in view of the actual transaction-selection strategies used by Ethereum miners. Subsequently, we provide the descriptive statistics of what we call the threshold gas price. Finally, we identify and estimate a seasonal ARIMA (SARIMA) model for predicting the hourly median of the threshold gas price.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"147 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121895057","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Gold Demand Across Countries 各国的黄金需求
Econometric Modeling: Commodity Markets eJournal Pub Date : 2020-11-21 DOI: 10.2139/ssrn.3734871
D. Baur, B. Gopalakrishnan, Sanket Mohapatra
{"title":"Gold Demand Across Countries","authors":"D. Baur, B. Gopalakrishnan, Sanket Mohapatra","doi":"10.2139/ssrn.3734871","DOIUrl":"https://doi.org/10.2139/ssrn.3734871","url":null,"abstract":"This paper analyzes the demand for jewelry, bars & coins, and gold ETFs across high-income and middle-income countries. We employ a simultaneous equations model that allows a joint determination of the various categories of gold demand and find significant differences across gold demand categories and across countries. Jewelry and bars & coins demand are positively related in middle-income countries but unrelated in high-income countries. Jewelry demand is negatively related to gold prices in middle-income countries but not in high-income countries. Bars and coins demand positively reacts to global risk (VIX) in high-income countries but not in middle-income countries. The findings indicate that not all gold is equal and serves different purposes in different countries. Gold is generally more integrated with financial markets in high-income countries than in middle-income countries and jewelry is the least integrated among the three categories of gold demand.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129451127","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Pricing Relationships between Oil and Renewable Firms under Extreme Conditions: The Effects of Negative WTI Prices (Online Appendix 1/3) 极端条件下石油与可再生能源企业的定价关系:负WTI价格的影响(在线附录1/3)
Econometric Modeling: Commodity Markets eJournal Pub Date : 2020-10-16 DOI: 10.2139/ssrn.3712955
S. Corbet, John W. Goodell, Samet Gunay
{"title":"The Pricing Relationships between Oil and Renewable Firms under Extreme Conditions: The Effects of Negative WTI Prices (Online Appendix 1/3)","authors":"S. Corbet, John W. Goodell, Samet Gunay","doi":"10.2139/ssrn.3712955","DOIUrl":"https://doi.org/10.2139/ssrn.3712955","url":null,"abstract":"We test for the existence of volatility spillovers and co-movements among energy-focused corporations during the outbreak of the COVID-19 pandemic, inclusive of the April 2020 events where West Texas Intermediate (WTI) oil future prices became negative. Employing the spillover index approach of Diebold and Yilmaz [2012];as well as developing a DCC-FIGARCH conditional correlation framework and using estimated spillover indices built on a generalised vector autoregressive framework in which forecast-error variance decompositions are invariant to the variable ordering, we examine the sectoral transmission mechanisms of volatility shocks and contagion throughout the energy sector. Among several results, we find positive and economically meaningful spillovers from falling oil prices to both renewable energy and coal markets. However, this result is only found for the narrow portion of our sample surrounding the negative WTI event. We interpret our results being directly attributed to a sharp drop in global oil, gas and coal demand, rather than because of a sudden increase in oil supply. While investors observed the US fracking industry losing market share to coal, they also viewed renewables as more reliable mechanism to generate long-term, stable and low-cost supply.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129131786","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Shape of Green Fixed Income Investing to Come 绿色固定收益投资的形态即将到来
Econometric Modeling: Commodity Markets eJournal Pub Date : 2020-07-25 DOI: 10.2139/ssrn.3663308
K. Schumacher
{"title":"The Shape of Green Fixed Income Investing to Come","authors":"K. Schumacher","doi":"10.2139/ssrn.3663308","DOIUrl":"https://doi.org/10.2139/ssrn.3663308","url":null,"abstract":"This paper serves as an introduction to the Journal of Environmental Investing’s issue (Vol. 10, No. 1, 2020) on climate and green bonds. Fixed income securities that integrate environmental, social, and governance (ESG) factors have become a crucial component of most sustainable investment and climate-related risk management strategies. Global green bond issuance has grown from USD87.2bn in 2016 to USD257.7bn in 2019. However, this issue is addressing some of the challenges of rapid market scaling. The first pertains to the labeling of green bonds. Albeit the term “green bond” becoming synonymous for all ESG-aligned fixed income securities, there now exists a plethora of labels, names, and designations for green bonds, often resulting in confusion of what exactly constitutes a green bond. By providing the most comprehensive overview to date of all green bond variants, this issue explores the core attributes of green bonds, such as their potential returns from financial and non-financial angles, taxonomical and underlying conceptual considerations, and academic assessment of the market as a whole. In conclusion, this paper and the corresponding issue provide contemporary insights and an up-to-date snapshot of the evolving characteristics of climate and green bonds.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"123 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127053525","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
Negative Prices: The beta-Black Formula 负价格:贝塔-黑公式
Econometric Modeling: Commodity Markets eJournal Pub Date : 2020-05-06 DOI: 10.2139/ssrn.3765531
Noé Bonier, Hugo Picca
{"title":"Negative Prices: The beta-Black Formula","authors":"Noé Bonier, Hugo Picca","doi":"10.2139/ssrn.3765531","DOIUrl":"https://doi.org/10.2139/ssrn.3765531","url":null,"abstract":"A simple idea is put forth to handle negative prices. The context for the need for such formula is negative settlements observed on the black gold (Crude Oil) May 2020 contract on the two days leading to expiry and the subsequent large market reaction. A novel formula, the beta-Black (BB) is proposed. This defines new BB-implied volatility coordinates which allow smooth transition around zero. An added benefit is that when beta goes to zero, the formula degenerates to Black. Indeed it would be hazardous in those troubled times to completely change the way we think about volatility.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115028285","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Shock and Volatility Spillovers between Crude Oil Price and Stock Returns: Evidence for Thailand 原油价格和股票回报之间的冲击和波动溢出效应:以泰国为例
Econometric Modeling: Commodity Markets eJournal Pub Date : 2020-02-26 DOI: 10.2139/ssrn.3544541
Krit Theplib, Yuthana Sethapramote, Komain Jiranyakul
{"title":"Shock and Volatility Spillovers between Crude Oil Price and Stock Returns: Evidence for Thailand","authors":"Krit Theplib, Yuthana Sethapramote, Komain Jiranyakul","doi":"10.2139/ssrn.3544541","DOIUrl":"https://doi.org/10.2139/ssrn.3544541","url":null,"abstract":"This paper employs a bivariate BEKK-GARCH(1,1) model to examine shock and volatility spillovers between crude oil and stock markets by taking into account the impact of the 2008 global financial crisis. Daily data from crude oil market and the Thai stock market during February 6, 2004 and September 14, 2015 are used in the analyses. The whole sample is divided into the pre- and post- crisis periods. The results show that there are no spillover effects between oil price and stock returns in the pre-crisis period. In the post-crisis period, there are unilateral spillover effects from oil price to some equity sector returns. In the market level, there are unilateral spillovers of shock and volatility from oil price to stock market return. The findings in this paper are crucial for financial market participations to understand shock and volatility transmissions from oil to stock markets such that portfolio management should take into account the presence of oil price risk.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"150 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123232890","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Dynamics of Biofuel Prices on the European Market: Impact of the EU Environmental Policy on the Resources Markets 生物燃料价格在欧洲市场的动态:欧盟环境政策对资源市场的影响
Econometric Modeling: Commodity Markets eJournal Pub Date : 2020-02-21 DOI: 10.2139/ssrn.3542376
F. Declerck, Jean-Pierre Indjehagopian, F. Lantz
{"title":"Dynamics of Biofuel Prices on the European Market: Impact of the EU Environmental Policy on the Resources Markets","authors":"F. Declerck, Jean-Pierre Indjehagopian, F. Lantz","doi":"10.2139/ssrn.3542376","DOIUrl":"https://doi.org/10.2139/ssrn.3542376","url":null,"abstract":"This paper aims at explaining the major drivers of bio-diesel market prices by examining agricultural resource prices and gas-oil prices for automotive fuels in the context of the EU environmental policy. The EU policy has enhanced bio-diesel production since 2006. Bio-diesel prices are impacted by the EU policy as well as rapeseed and oil prices which have fluctuated a lot over the last decade. An econometric analysis was performed using monthly data from November 2006 to January 2016. However, tests for structural breaks show several changes in price behavior. This leads us to estimate a regime-switching model which reveals two main regimes for the bio-diesel price pattern. When oil prices are high, bio-diesel, rapeseed and diesel oil prices are related, mainly driven by oil prices. When oil prices are low, bio-diesel prices are mostly related to rapeseed prices according to EU regulations requiring the blending of bio-diesel and gas-oil.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122615359","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Brave New World? Bitcoin is not the New Gold: Understanding Cryptocurrency Price Dynamics 美丽新世界?比特币不是新的黄金:了解加密货币的价格动态
Econometric Modeling: Commodity Markets eJournal Pub Date : 2020-02-13 DOI: 10.2139/ssrn.3555599
Sangyup Choi, Junhyeok Shin
{"title":"Brave New World? Bitcoin is not the New Gold: Understanding Cryptocurrency Price Dynamics","authors":"Sangyup Choi, Junhyeok Shin","doi":"10.2139/ssrn.3555599","DOIUrl":"https://doi.org/10.2139/ssrn.3555599","url":null,"abstract":"While the many commonalities shared by Bitcoin and gold raise a question of whether Bitcoin is a safe-haven like gold, relevant empirical evidence to date is mixed. Unlike existing empirical studies, we derive a simple estimable model of Bitcoin price dynamics from the quantity equation, which allows for structural interpretation of our findings; we then estimate the dynamic effects of macro factors, including income, inflation, and interest rates on Bitcoin prices at a weekly frequency. Unlike gold, Bitcoin prices are vulnerable to financial risk or uncertainty shocks, which is inconsistent with safe-haven quality. When the empirical model is augmented with Bitcoin-specific variables, such as its supply, transactions, and velocity, a major share of Bitcoin price dynamics is explained by these variables. We also find an interesting nonlinearity in the drivers of Bitcoin price dynamics between bullish and bearish market: the role of Bitcoin-idiosyncratic shocks increases when it appreciates, while the effects of macro factors dominate when it depreciates.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125376189","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Jumps in the Convenience Yield of Crude Oil 原油方便收率的跳跃
Econometric Modeling: Commodity Markets eJournal Pub Date : 2020-01-15 DOI: 10.2139/ssrn.3519642
C. Mason, Neil A. Wilmot
{"title":"Jumps in the Convenience Yield of Crude Oil","authors":"C. Mason, Neil A. Wilmot","doi":"10.2139/ssrn.3519642","DOIUrl":"https://doi.org/10.2139/ssrn.3519642","url":null,"abstract":"Abstract The potential presence of jumps and time-varying volatility in convenience yields can lead to abnormally fat tails, which has implications for investment in storage capacity, leasing and drilling for crude oil. In this paper we evaluate the potential for these features in convenience yields. To that end, we analyze the rate of change in convenience yields for five futures prices time horizons (1, 3-, 6-, 9- and 12-month ahead), allowing for the both jumps and time-varying volatility. We find that both features exert a statistically important effect on convenience yields, for each of the five time horizons. We also calculate the implied probability that at least one jump would occur on any date, which reveals a period of relative calm at the start of the fracking boom, when large stockpiles built up at the trading hub for West Texas Intermediate, and a period of considerable churn, after the ban on exporting crude oil was lifted. Both elements underscore a linkage between inventory holdings and convenience yields.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114545872","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Analytic Formulas for Futures and Options for a Linear Quadratic Jump Diffusion Model with Stochastic Convenience Yield and Seasonality: Do Fish Jump? 具有随机便利收益和季节性的线性二次跳跃扩散模型的期货和期权解析公式:鱼会跳吗?
Econometric Modeling: Commodity Markets eJournal Pub Date : 2019-12-18 DOI: 10.2139/ssrn.3555109
C. Ewald, Yihan Zou
{"title":"Analytic Formulas for Futures and Options for a Linear Quadratic Jump Diffusion Model with Stochastic Convenience Yield and Seasonality: Do Fish Jump?","authors":"C. Ewald, Yihan Zou","doi":"10.2139/ssrn.3555109","DOIUrl":"https://doi.org/10.2139/ssrn.3555109","url":null,"abstract":"In this article we derive tractable analytic solutions for futures and options prices for a linear-quadratic jump-diffusion model with seasonal adjustments in stochastic volatility and convenience yield. We then calibrate our model to data from the fish pool futures market, using the extended Kalman filter and a quasi-maximum likelihood estimator and alternatively using an implied-state quasi-maximum likelihood estimator. We find no statistical evidence of jumps. However, we do find evidence for the positive correlation between salmon spot prices and volatility, seasonality in volatility and convenience yield. In addition we observe a positive relationship between seasonal risk premium and uncertainty within the EU salmon demand. We further show that our model produces option prices that are conform with the observation of implied volatility smiles and skews. Our work connects to a number of results that have recently appeared in the Operations Research literature.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116414230","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信