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Full-Text Articles in Physical Sciences and Mathematics
Oil And Product Price Dynamics In International Petroleum Markets, Alessandro Lanza, Matteo Manera, Massimo Giovannini
Oil And Product Price Dynamics In International Petroleum Markets, Alessandro Lanza, Matteo Manera, Massimo Giovannini
Matteo Manera
In this paper we investigate crude oil and products price dynamics. We present a comparison among ten price series of crude oils and fourteen price series of petroleum products, considering four distinct market areas (Mediterranean, North Western Europe, Latin America and North America) over the period 1994-2002. We provide first a complete analysis of crude oil and product price dynamics using cointegration and error correction models. Subsequently we use the error correction specification to predict crude oil prices over the horizon January 2002-June 2002.The main findings of the paper can be summarized as follows: a) differences in quality are crucial …
Star-Garch Models For Stock Market Interactions In The Pacific Basin Region, Japan And Us, Giorgio Busetti, Matteo Manera
Star-Garch Models For Stock Market Interactions In The Pacific Basin Region, Japan And Us, Giorgio Busetti, Matteo Manera
Matteo Manera
We investigate the financial interactions between countries in the Pacific Basin region (Korea, Singapore, Malaysia, Hong Kong and Taiwan), Japan and US. The originality of the paper is the use of STAR-GARCH models, instead of standard correlationcointegration techniques. For each country in the Pacific Basin region, we find statistically adequate STAR-GARCH models for the series of stock market daily returns, using Nikkei225 and S&P500 as alternative threshold variables. We provide evidence for the leading role of Japan in the period 1988-1990 (pre-Japanese crisis years), whereas our results suggest that the Pacific Basin region countries are more closely linked with the …
Modelling The Load Curve Of Aggregate Electricity Consumption Using Principal Components, Matteo Manera, Angelo Marzullo
Modelling The Load Curve Of Aggregate Electricity Consumption Using Principal Components, Matteo Manera, Angelo Marzullo
Matteo Manera
Since oil is a non-renewable resource with a high environmental impact, and its most common use is to produce combustibles for electricity, reliable methods for modelling electricity consumption can contribute to a more rational employment of this hydrocarbon fuel. In this paper we apply the Principal Components (PC) method to modelling the load curves of Italy, France and Greece on hourly data of aggregate electricity consumption. The empirical results obtained with the PC approach are compared with those produced by the Fourier and constrained smoothing spline estimators. The PC method represents a much simpler and attractive alternative to modelling electricity …
Long-Run Models Of Oil Stock Prices, Alessandro Lanza, Matteo Manera, Massimo Giovannini, Margherita Grasso
Long-Run Models Of Oil Stock Prices, Alessandro Lanza, Matteo Manera, Massimo Giovannini, Margherita Grasso
Matteo Manera
The identification of the forces that drive oil stock prices is extremely important given the size of the Oil&Gas industry and its links with the energy sector and the environment. In the next decade oil companies will have to deal with international policies to contrast climate change. This issue is likely to affect companies’ shareholder values. In this paper we focus on the long-run financial determinants of the stock prices of six major oil companies (Bp, Chevron-Texaco, Eni, Exxon-Mobil, Royal Dutch Shell, Total-Fina-Elf) using multivariate cointegration techniques and vector error correction models. Weekly oil stock prices are analyzed together with …