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Full-Text Articles in Physical Sciences and Mathematics
Rockets And Feathers Revisited: An International Comparison On European Gasoline Markets, Marzio Galeotti, Alessandro Lanza, Matteo Manera
Rockets And Feathers Revisited: An International Comparison On European Gasoline Markets, Marzio Galeotti, Alessandro Lanza, Matteo Manera
Matteo Manera
This paper re-examines the issue of asymmetries in the transmission of shocks to crude oil prices onto the retail price of gasoline. Relative to the previous literature, the distinguishing features of the present paper are: i) use of updated and comparable data to carry out an international comparison of gasoline markets; ii) two-stage modeling of the transmission of oil price shocks to gasoline prices (first refinery stage and second distribution stage), in order to assess possible asymmetries at either one or both stages; iii) use of asymmetric error correction models to distinguish between asymmetries that arise from short-run deviations in …
Forecasting Volatility In European Stock Markets With Non-Linear Garch Models, Giancarlo Forte, Matteo Manera
Forecasting Volatility In European Stock Markets With Non-Linear Garch Models, Giancarlo Forte, Matteo Manera
Matteo Manera
This paper investigates the forecasting performance of three popular variants of the nonlinear GARCH models, namely VS-GARCH, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock price indexes. Forecasts produced by each non-linear GARCH model and each index are evaluated using a common set of classical criteria, as well as forecast combination techniques with constant and non-constant weights. With respect to the standard GARCH specification, the non-linear models generally lead to better forecasts in terms of both smaller forecast errors and lower biases. In-sample forecast combination regressions are better than those from …