WorldWideScience

Sample records for price volatility relative

  1. Volatility in energy prices

    International Nuclear Information System (INIS)

    Duffie, D.

    1999-01-01

    This chapter with 58 references reviews the modelling and empirical behaviour of volatility in energy prices. Constant volatility and stochastic volatility are discussed. Markovian models of stochastic volatility are described and the different classes of Markovian stochastic volatility model are examined including auto-regressive volatility, option implied and forecasted volatility, Garch volatility, Egarch volatility, multivariate Garch volatility, and stochastic volatility and dynamic hedging policies. Other volatility models and option hedging are considered. The performance of several stochastic volatility models as applied to heating oil, light oil, natural gas, electricity and light crude oil are compared

  2. Pricing Volatility Referenced Assets

    Directory of Open Access Journals (Sweden)

    Alan De Genaro Dario

    2006-12-01

    Full Text Available Volatility swaps are contingent claims on future realized volatility. Variance swaps are similar instruments on future realized variance, the square of future realized volatility. Unlike a plain vanilla option, whose volatility exposure is contaminated by its asset price dependence, volatility and variance swaps provide a pure exposure to volatility alone. This article discusses the risk-neutral valuation of volatility and variance swaps based on the framework outlined in the Heston (1993 stochastic volatility model. Additionally, the Heston (1993 model is calibrated for foreign currency options traded at BMF and its parameters are used to price swaps on volatility and variance of the BRL / USD exchange rate.

  3. Ethanol, Corn, and Soybean Price Relations in a Volatile Vehicle-Fuels Market

    Directory of Open Access Journals (Sweden)

    Cesar Escalante

    2009-06-01

    Full Text Available The rapid upward shift in ethanol demand has raised concerns about ethanol’s impact on the price level and volatility of agricultural commodities. The popular press attributes much of this volatility in commodity prices to a price bubble in ethanol fuel and recent deflation. Market economics predicts not only a softening of demand to high commodity prices but also a positive supply response. This volatility in ethanol and commodity prices are investigated using cointegration, vector error corrections (VECM, and multivariate generalized autoregressive conditional heteroskedascity (MGARCH models. In terms of derived demand theory, results support ethanol and oil demands as derived demands from vehicle-fuel production. Gasoline prices directly influence the prices of ethanol and oil. However, of greater significance for the fuel versus food security issue, results support the effect of agricultural commodity prices as market signals which restore commodity markets to their equilibriums after a demand or supply event (shock. Such shocks may in the short-run increase agricultural commodity prices, but decentralized freely operating markets will mitigate the persistence of these shocks. Results indicate in recent years there are no long-run relations among fuel (ethanol, oil and gasoline prices and agricultural commodity (corn and soybean prices.

  4. Effects of Idiosyncratic Volatility in Asset Pricing

    Directory of Open Access Journals (Sweden)

    André Luís Leite

    2016-04-01

    Full Text Available This paper aims to evaluate the effects of the aggregate market volatility components - average volatility and average correlation - on the pricing of portfolios sorted by idiosyncratic volatility, using Brazilian data. The study investigates whether portfolios with high and low idiosyncratic volatility - in relation to the Fama and French model (1996 - have different exposures to innovations in average market volatility, and consequently, different expectations for return. The results are in line with those found for US data, although they portray the Brazilian reality. Decomposition of volatility allows the average volatility component, without the disturbance generated by the average correlation component, to better price the effects of a worsening or an improvement in the investment environment. This result is also identical to that found for US data. Average variance should thus command a risk premium. For US data, this premium is negative. According to Chen and Petkova (2012, the main reason for this negative sign is the high level of investment in research and development recorded by companies with high idiosyncratic volatility. As in Brazil this type of investment is significantly lower than in the US, it was expected that a result with the opposite sign would be found, which is in fact what occurred.

  5. Volatility Mean Reversion and the Market Price of Volatility Risk

    NARCIS (Netherlands)

    Boswijk, H.P.

    2001-01-01

    This paper analyzes sources of derivative pricing errors in a stochastic volatility model estimated on stock return data. It is shown that such pricing errors may reflect the existence of a market price of volatility risk, but also may be caused by estimation errors due to a slow mean reversion in

  6. The price of fixed income market volatility

    CERN Document Server

    Mele, Antonio

    2015-01-01

    Fixed income volatility and equity volatility evolve heterogeneously over time, co-moving disproportionately during periods of global imbalances and each reacting to events of different nature. While the methodology for options-based "model-free" pricing of equity volatility has been known for some time, little is known about analogous methodologies for pricing various fixed income volatilities. This book fills this gap and provides a unified evaluation framework of fixed income volatility while dealing with disparate markets such as interest-rate swaps, government bonds, time-deposits and credit. It develops model-free, forward looking indexes of fixed-income volatility that match different quoting conventions across various markets, and uncovers subtle yet important pitfalls arising from naïve superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities. The ultimate goal of the authors´ efforts is to make interest rate volatility standardization a valuable...

  7. Pricing Volatility of Stock Returns with Volatile and Persistent Components

    DEFF Research Database (Denmark)

    Zhu, Jie

    2009-01-01

    This paper introduces a two-component volatility model based on first moments of both components to describe the dynamics of speculative return volatility. The two components capture the volatile and the persistent part of volatility, respectively. The model is applied to 10 Asia-Pacific stock ma...... markets. A positive or risk-premium effect exists between the return and the volatile component, yet the persistent component is not significantly priced for the return dynamic process....... markets. Their in-mean effects on returns are tested. The empirical results show that the persistent component is much more important for the volatility dynamic process than is the volatile component. However, the volatile component is found to be a significant pricing factor of asset returns for most...

  8. Pricing Volatility of Stock Returns with Volatile and Persistent Components

    DEFF Research Database (Denmark)

    Zhu, Jie

    In this paper a two-component volatility model based on the component's first moment is introduced to describe the dynamic of speculative return volatility. The two components capture the volatile and persistent part of volatility respectively. Then the model is applied to 10 Asia-Pacific stock m......, a positive or risk-premium effect exists between return and the volatile component, yet the persistent component is not significantly priced for return dynamic process....... markets. Their in-mean effects on return are also tested. The empirical results show that the persistent component accounts much more for volatility dynamic process than the volatile component. However the volatile component is found to be a significant pricing factor of asset returns for most markets...

  9. American option pricing with stochastic volatility processes

    Directory of Open Access Journals (Sweden)

    Ping LI

    2017-12-01

    Full Text Available In order to solve the problem of option pricing more perfectly, the option pricing problem with Heston stochastic volatility model is considered. The optimal implementation boundary of American option and the conditions for its early execution are analyzed and discussed. In view of the fact that there is no analytical American option pricing formula, through the space discretization parameters, the stochastic partial differential equation satisfied by American options with Heston stochastic volatility is transformed into the corresponding differential equations, and then using high order compact finite difference method, numerical solutions are obtained for the option price. The numerical experiments are carried out to verify the theoretical results and simulation. The two kinds of optimal exercise boundaries under the conditions of the constant volatility and the stochastic volatility are compared, and the results show that the optimal exercise boundary also has stochastic volatility. Under the setting of parameters, the behavior and the nature of volatility are analyzed, the volatility curve is simulated, the calculation results of high order compact difference method are compared, and the numerical option solution is obtained, so that the method is verified. The research result provides reference for solving the problems of option pricing under stochastic volatility such as multiple underlying asset option pricing and barrier option pricing.

  10. Consequences for option pricing of a long memory in volatility

    OpenAIRE

    Taylor, S J

    2001-01-01

    The economic consequences of a long memory assumption about volatility are documented, by comparing implied volatilities for option prices obtained from short and long memory volatility processes. Numerical results are given for options on the S&P 100 index from 1984 to 1998, with lives up to two years. The long memory assumption is found to have a significant impact upon the term structure of implied volatilities and a relatively minor impact upon smile effects. These conclusions are importa...

  11. Hedging electricity price volatility using nuclear power

    International Nuclear Information System (INIS)

    Mari, Carlo

    2014-01-01

    Highlights: • Nuclear power is an important asset to reduce the volatility of electricity prices. • Unpredictability of fossil fuels and carbon prices makes power prices very volatile. • The dynamics of fossil fuels and carbon prices is described by Brownian motions. • LCOE values, volatilities and correlations are obtained via Monte Carlo simulations. • Optimal portfolios of generating technologies are get using a mean–variance approach. - Abstract: The analysis presented in this paper aims to put in some evidence the role of nuclear power as hedging asset against the volatility of electricity prices. The unpredictability of natural gas and coal market prices as well as the uncertainty in environmental policies may affect power generating costs, thus enhancing volatility in electricity market prices. The nuclear option, allowing to generate electricity without carbon emissions, offers the possibility to reduce the volatility of electricity prices through optimal diversification of power generating technologies. This paper provides a methodological scheme to plan well diversified “portfolios” of generating capacity that minimize the electricity price risk induced by random movements of fossil fuels market prices and by unpredictable fluctuations of carbon credits prices. The analysis is developed within a stochastic environment in which the dynamics of fuel prices as well as the dynamics of carbon credits prices is assumed to evolve in time according to well defined Brownian processes. Starting from market data and using Monte Carlo techniques to simulate generating cost values, the hedging argument is developed by selecting optimal portfolio of power generating technologies using a mean–variance approach

  12. CAM Stochastic Volatility Model for Option Pricing

    Directory of Open Access Journals (Sweden)

    Wanwan Huang

    2016-01-01

    Full Text Available The coupled additive and multiplicative (CAM noises model is a stochastic volatility model for derivative pricing. Unlike the other stochastic volatility models in the literature, the CAM model uses two Brownian motions, one multiplicative and one additive, to model the volatility process. We provide empirical evidence that suggests a nontrivial relationship between the kurtosis and skewness of asset prices and that the CAM model is able to capture this relationship, whereas the traditional stochastic volatility models cannot. We introduce a control variate method and Monte Carlo estimators for some of the sensitivities (Greeks of the model. We also derive an approximation for the characteristic function of the model.

  13. Price volatility in wind dominant electricity markets

    DEFF Research Database (Denmark)

    Farashbashi-Astaneh, Seyed-Mostafa; Chen, Zhe

    2013-01-01

    High penetration of intermittent renewable energy sources causes price volatility in future electricity markets. This is specially the case in European countries that plan high penetration levels. This highlights the necessity for revising market regulations and mechanisms in accordance...... to generation combination portfolio. Proposed solutions should be able to tackle with emerging challenges which are mainly due to high variability and unpredictability of intermittent renewable resources. In this paper high price volatility will be introduced as an emerging challenge in wind dominant...... electricity markets. High price volatility is unappreciated because it imposes high financial risk levels to both electricity consumers and producers. Additionally high price variations impede tracking price signals by consumers in future smart grid and jeopardize implementation of demand response concepts...

  14. Modelling oil price volatility with structural breaks

    International Nuclear Information System (INIS)

    Salisu, Afees A.; Fasanya, Ismail O.

    2013-01-01

    In this paper, we provide two main innovations: (i) we analyze oil prices of two prominent markets namely West Texas Intermediate (WTI) and Brent using the two recently developed tests by Narayan and Popp (2010) and Liu and Narayan, 2010 both of which allow for two structural breaks in the data series; and (ii) the latter method is modified to include both symmetric and asymmetric volatility models. We identify two structural breaks that occur in 1990 and 2008 which coincidentally correspond to the Iraqi/Kuwait conflict and the global financial crisis, respectively. We find evidence of persistence and leverage effects in the oil price volatility. While further extensions can be pursued, the consideration of asymmetric effects as well as structural breaks should not be jettisoned when modelling oil price volatility. - Highlights: ► We analyze oil price volatility using NP (2010) and LN (2010) tests. ► We modify the LN (2010) to account for leverage effects in oil price. ► We find two structural breaks that reflect major global crisis in the oil market. ► We find evidence of persistence and leverage effects in oil price volatility. ► Leverage effects and structural breaks are fundamental in oil price modelling.

  15. Oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases

    International Nuclear Information System (INIS)

    Radchenko, S.

    2005-01-01

    This paper analyzes the effect of volatility in oil prices on the degree of asymmetry in the response of gasoline prices to oil price increases and decreases. Several time series measures of the asymmetry between the responses of gasoline prices to oil price increases and decreases and several measures of the oil price volatility are constructed. In all models, the degree of asymmetry in gasoline prices declines with an increase in oil price volatility. The results support the oligopolistic coordination theory as a likely explanation of the observed asymmetry and are not consistent with the standard search theory and the search theory with Bayesian updating. (author)

  16. The volatility of stock market prices.

    Science.gov (United States)

    Shiller, R J

    1987-01-02

    If the volatility of stock market prices is to be understood in terms of the efficient markets hypothesis, then there should be evidence that true investment value changes through time sufficiently to justify the price changes. Three indicators of change in true investment value of the aggregate stock market in the United States from 1871 to 1986 are considered: changes in dividends, in real interest rates, and in a direct measure of intertemporal marginal rates of substitution. Although there are some ambiguities in interpreting the evidence, dividend changes appear to contribute very little toward justifying the observed historical volatility of stock prices. The other indicators contribute some, but still most of the volatility of stock market prices appears unexplained.

  17. Housing Price Volatility and Econometrics

    Czech Academy of Sciences Publication Activity Database

    Sunega, Petr; Lux, Martin; Zemčík, Petr

    2014-01-01

    Roč. 1, č. 2 (2014), s. 70-78 ISSN 2336-2839 R&D Projects: GA ČR(CZ) GAP404/12/1446 Institutional support: RVO:68378025 ; RVO:67985998 Keywords : econometrics * housing prices * price bubbles Subject RIV: AO - Sociology, Demography

  18. Carbon price volatility: Evidence from EU ETS

    International Nuclear Information System (INIS)

    Feng, Zhen-Hua; Zou, Le-Le; Wei, Yi-Ming

    2011-01-01

    This paper examines carbon price volatility using data from the European Union Emission Trading Scheme from a nonlinear dynamics point of view. First, we use a random walk model, including serial correlation and variance ratio tests, to determine whether carbon price history information is fully reflected in current carbon price. The empirical research results show that carbon price is not a random walk: the price history information is not fully reflected in current carbon price. Second, use R/S, modified R/S and ARFIMA to analyse the memory of carbon price history. For the period April 2005-December 2008, the modified Hurst index of the carbon price is 0.4859 and the d value of ARFIMA is -0.1191, indicating short-term memory of the carbon price. Third, we use chaos theory to analyse the influence of the carbon market internal mechanism on carbon price, i.e., the market's positive and negative feedback mechanism and the heterogeneous environment. Chaos theory proves that the correlation dimension of carbon price increases. The maximal Lyapunov exponent is positive and large. There is no obvious complex endogenous phenomenon of nonlinear dynamics the carbon price fluctuation. The carbon market is mildly chaotic, showing both market and fractal market characteristics. Price fluctuation is not only influenced by the internal market mechanism, but is also impacted by the heterogeneous environment. Finally, we provide suggestions for regulation and development of carbon market.

  19. Option Pricing using Realized Volatility

    DEFF Research Database (Denmark)

    Stentoft, Lars Peter

    dynamics to be used for option pricing purposes in this framework, and we show that our model explains some of the mispricings found when using traditional option pricing models based on interdaily data. We then show explicitly that a Generalized Autoregressive Conditional Heteroskedastic model with Normal...... Inverse Gaussian distributed innovations is the corresponding benchmark model when only daily data is used. Finally, we perform an empirical analysis using stock options for three large American companies, and we show that in all cases our model performs significantly better than the corresponding...... benchmark model estimated on return data alone. Hence the paper provides evidence on the value of using high frequency data for option pricing purposes....

  20. Forecasting prices and price volatility in the Nordic electricity market

    International Nuclear Information System (INIS)

    2001-01-01

    We develop a stochastic model for long term price forecasting in a competitive electricity market environment. It is demonstrated both theoretically and through model simulations that non-stochastic models may give biased forecasts both with respect to price level and volatility. In the paper, the model concept is applied on the restructured Nordic electricity market. It is specially in peak load hours that a stochastic model formulation provides significantly different results than an expected value model. (author)

  1. Deregulated power prices: comparison of volatility

    International Nuclear Information System (INIS)

    Li Ying; Flynn, P.C.

    2004-01-01

    We examine electrical power price variability for 14 deregulated markets. Power price volatility is measured by price velocity, the daily average of the absolute value of price change per hour. Deregulated markets show a wide variability in price velocity. Some price velocity is expected and arises from the daily diurnal price pattern, which differs significantly between markets. Even when the expected daily variability in price is removed, the residual unexpected variability differs between markets. Some deregulated markets, most notably Britain and Spain, show patterns that are predictable and consistent and have low values of unexpected price velocity. These markets create a climate conducive to consumers facing the market through real time pricing and shaping consumption behaviors in response to price changes. Other markets, for example, South Australia and Alberta, have patterns that are inconsistent and irregular, and hence are hard for a customer to interpret; a customer in such a market will have a higher incentive to avoid demand side management and escape risk through hedging mechanisms

  2. Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis

    International Nuclear Information System (INIS)

    Worthington, A.; Kay-Spratley, A.; Higgs, H.

    2005-01-01

    This paper examines the transmission of spot electricity prices and price volatility among the five regional electricity markets in the Australian National Electricity Market: namely, New South Wales, Queensland, South Australia, the Snowy Mountains Hydroelectric Scheme and Victoria. A multivariate generalised autoregressive conditional heteroskedasticity model is used to identify the source and magnitude of price and price volatility spillovers. The results indicate the presence of positive own mean spillovers in only a small number of markets and no mean spillovers between any of the markets. This appears to be directly related to the physical transfer limitations of the present system of regional interconnection. Nevertheless, the large number of significant own-volatility and cross-volatility spillovers in all five markets indicates the presence of strong autoregressive conditional heteroskedasticity and generalised autoregressive conditional heteroskedasticity effects. This indicates that shocks in some markets will affect price volatility in others. Finally, and contrary to evidence from studies in North American electricity markets, the results also indicate that Australian electricity spot prices are stationary. (author)

  3. Electricity market price volatility: The case of Ontario

    International Nuclear Information System (INIS)

    Zareipour, Hamidreza; Bhattacharya, Kankar; Canizares, Claudio A.

    2007-01-01

    Price volatility analysis has been reported in the literature for most competitive electricity markets around the world. However, no studies have been published yet that quantify price volatility in the Ontario electricity market, which is the focus of the present paper. In this paper, a comparative volatility analysis is conducted for the Ontario market and its neighboring electricity markets. Volatility indices are developed based on historical volatility and price velocity concepts, previously applied to other electricity market prices, and employed in the present work. The analysis is carried out in two scenarios: in the first scenario, the volatility indices are determined for the entire price time series. In the second scenario, the price time series are broken up into 24 time series for each of the 24 h and volatility indices are calculated for each specific hour separately. The volatility indices are also applied to the locational marginal prices of several pricing points in the New England, New York, and PJM electricity markets. The outcomes reveal that price volatility is significantly higher in Ontario than the three studied neighboring electricity markets. Furthermore, comparison of the results of this study with similar findings previously published for 15 other electricity markets demonstrates that the Ontario electricity market is one of the most volatile electricity markets world-wide. This high volatility is argued to be associated with the fact that Ontario is a single-settlement, real-time market

  4. The Pricing of Options on Assets with Stochastic Volatilities.

    OpenAIRE

    Hull, John C; White, Alan D

    1987-01-01

    One option-pricing problem which has hitherto been unsolved is the pricing of European call on an asset which has a stochastic volatility. This paper examines this problem. The option price is determined in series form for the case in which the stochastic volatility is independent of the stock price. Numerical solutions are also produced for the case in which the volatility is correlated with the stock price. It is found that the Black-Scholes price frequently overprices options and that the ...

  5. A Consistent Pricing Model for Index Options and Volatility Derivatives

    DEFF Research Database (Denmark)

    Kokholm, Thomas

    to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...... on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options on S&P 500 across...

  6. A Consistent Pricing Model for Index Options and Volatility Derivatives

    DEFF Research Database (Denmark)

    Cont, Rama; Kokholm, Thomas

    2013-01-01

    to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...... on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options on S&P 500 across...

  7. An analysis of price and volatility transmission in butter, palm oil and crude oil markets

    Directory of Open Access Journals (Sweden)

    Dennis Bergmann

    2016-11-01

    Full Text Available Abstract Recent changes to the common agricultural policy (CAP saw a shift to greater market orientation for the EU dairy industry. Given this reorientation, the volatility of EU dairy commodity prices has sharply increased, creating the need to develop proper risk management tools to protect farmers’ income and to ensure stable prices for processors and consumers. In addition, there is a perceived threat that these commodities may be replaced by cheaper substitutes, such as palm oil, as dairy commodity prices become more volatile. Global production of palm oil almost doubled over the last decade while butter production remained relatively flat. Palm oil also serves as a feedstock for biodiesel production, thus establishing a new link between agricultural commodities and crude oil. Price and volatility transmission effects between EU and World butter prices, as well as between butter, palm oil and crude oil prices, before and after the Luxembourg agreement, are analysed. Vector autoregression (VAR models are applied to capture price transmission effects between these markets. These are combined with a multivariate GARCH model to account for potential volatility transmission. Results indicate strong price and volatility transmission effects between EU and World butter prices. EU butter shocks further spillover to palm oil volatility. In addition, there is evidence that oil prices spillover to World butter prices and World butter volatility.

  8. Price volatility and banking in green certificate markets

    DEFF Research Database (Denmark)

    Amundsen, Eirik Schrøder; Baldursson, Fridrik M.; Mortensen, Jørgen Birk

    2006-01-01

    the paper shows that the introduction of banking of GCs may reduce price volatility considerably and lead to increased social surplus. Banking lowers average prices and is therefore not necessarily to the benefit of 'green producers'. Prooposed price bounds on GC-prices will reduce the importance of banking...

  9. Food Price Volatility and Decadal Climate Variability

    Science.gov (United States)

    Brown, M. E.

    2013-12-01

    The agriculture system is under pressure to increase production every year as global population expands and more people move from a diet mostly made up of grains, to one with more meat, dairy and processed foods. Weather shocks and large changes in international commodity prices in the last decade have increased pressure on local food prices. This paper will review several studies that link climate variability as measured with satellite remote sensing to food price dynamics in 36 developing countries where local monthly food price data is available. The focus of the research is to understand how weather and climate, as measured by variations in the growing season using satellite remote sensing, has affected agricultural production, food prices and access to food in agricultural societies. Economies are vulnerable to extreme weather at multiple levels. Subsistence small holders who hold livestock and consume much of the food they produce are vulnerable to food production variability. The broader society, however, is also vulnerable to extreme weather because of the secondary effects on market functioning, resource availability, and large-scale impacts on employment in trading, trucking and wage labor that are caused by weather-related shocks. Food price variability captures many of these broad impacts and can be used to diagnose weather-related vulnerability across multiple sectors. The paper will trace these connections using market-level data and analysis. The context of the analysis is the humanitarian aid community, using the guidance of the USAID Famine Early Warning Systems Network and the United Nation's World Food Program in their response to food security crises. These organizations have worked over the past three decades to provide baseline information on food production through satellite remote sensing data and agricultural yield models, as well as assessments of food access through a food price database. Econometric models and spatial analysis are used

  10. Effect of oil price on Nigeria’s food price volatility

    Directory of Open Access Journals (Sweden)

    Ijeoma C. Nwoko

    2016-12-01

    Full Text Available This study examines the effect of oil price on the volatility of food price in Nigeria. It specifically considers the long-run, short-run, and causal relationship between these variables. Annual data on oil price and individual prices of maize, rice, sorghum, soya beans, and wheat spanning from 2000 to 2013 were used. The price volatility for each crop was obtained using Generalized Autoregressive Conditional Heteroskedascity (GARCH (1, 1 model. Our measure of oil price is the Refiner acquisition cost of imported crude oil. The Augmented Dickey–Fuller and Phillip–Perron unit root tests show that all the variables are integrated of order one, I (1. Therefore, we use the Johansen co-integration test to examine the long-run relationship. Our results show that there is no long-run relationship between oil price and any of the individual food price volatility. Thus, we implement a VAR instead of a VECM to investigate the short-run relationship. The VAR model result revealed a positive and significant short-run relationship between oil price and each of the selected food price volatility with exception of that of rice and wheat price volatility. These results were further confirmed by the impulse response functions. The Granger causality test result indicates a unidirectional causality from oil price to maize, soya bean, and sorghum price volatilities but does not show such relationship for rice and wheat price volatilities. We draw some policy implications of these findings.

  11. Oil prices and financial stress: A volatility spillover analysis

    International Nuclear Information System (INIS)

    Nazlioglu, Saban; Soytas, Ugur; Gupta, Rangan

    2015-01-01

    This paper examines whether there is a volatility transmission between oil prices and financial stress by means of the volatility spillover test. We employ WTI crude oil prices and Cleveland financial stress index for the period 1991–2014 and divide the sample into pre-crisis, in-crisis, and post-crisis periods due to the downward trend in oil price in 2008. The volatility model estimations indicate that oil prices and financial stress index are dominated by long-run volatility. The volatility spillover causality test supports evidence on risk transfer from oil prices to financial stress before the crisis and from financial stress to oil prices after the crisis. The impulse response analysis shows that the volatility transmission pattern has similar dynamics before and after the crisis and is characterized by higher and long-lived effects during the crisis. Our results have implications for both policy makers and investors, and for future work. -- Highlights: •Volatility spillover between oil prices and financial stress index is examined. •Analysis is conducted for sub-periods: pre-crisis, in-crisis, and post-crisis •Oil prices spill on financial stress before the crisis, but spillover reversed after the crisis. •Volatility transmission pattern has similar dynamics before and after the crisis. •Implications for investors and policy makers are discussed

  12. Detecting instability in the volatility of carbon prices

    Energy Technology Data Exchange (ETDEWEB)

    Chevallier, Julien [Univ. Paris Dauphine (France)

    2011-01-15

    This article investigates the presence of outliers in the volatility of carbon prices. We compute three different measures of volatility for European Union Allowances, based on daily data (EGARCH model), option prices (implied volatility), and intraday data (realized volatility). Based on the methodology developed by Zeileis et al. (2003) and Zeileis (2006), we detect instability in the volatility of carbon prices based on two kinds of tests: retrospective tests (OLS-/Recursive-based CUSUM processes, F-statistics, and residual sum of squares), and forward-looking tests (by monitoring structural changes recursively or with moving estimates). We show evidence of strong shifts mainly for the EGARCH and IV models during the time period. Overall, we suggest that yearly compliance events, and growing uncertainties in post-Kyoto international agreements, may explain the instability in the volatility of carbon prices. (author)

  13. MACROECONOMIC VARIABLES AND STOCK PRICE VOLATILITY IN NIGERIA

    Directory of Open Access Journals (Sweden)

    OSAZEE GODWIN OMOROKUNWA

    2014-10-01

    Full Text Available The purpose of this paper is to examine the relationship between stock price volatility and few macroeconomic variables such as inflation, exchange rate, GDP and interest rate. Annual time series data ranging from 1980 to 2011 was used for this study. The generalized autoregressive conditional heteroskedasticity (GARCH model was used in the empirical analysis. The findings of the study showed that stock prices in Nigeria are volatile. And that past information in the market have effect on stock price volatility in Nigeria. In addition, the study showed that interest rate and exchange have a weak effect on stock price volatility while inflation is the main determinant of stock price volatility in Nigeria. The authors recommend that inflation should be targeted as the main monetary policy aimed at directing the stock market.

  14. Volatility Analysis of Bitcoin Price Time Series

    Directory of Open Access Journals (Sweden)

    Lukáš Pichl

    2017-12-01

    Full Text Available Bitcoin has the largest share in the total capitalization of cryptocurrency markets currently reaching above 70 billion USD. In this work we focus on the price of Bitcoin in terms of standard currencies and their volatility over the last five years. The average day-to-day return throughout this period is 0.328%, amounting in exponential growth from 6 USD to over 4,000 USD per 1 BTC at present. Multi-scale analysis is performed from the level of the tick data, through the 5 min, 1 hour and 1 day scales. Distribution of trading volumes (1 sec, 1 min, 1 hour and 1 day aggregated from the Kraken BTCEUR tick data is provided that shows the artifacts of algorithmic trading (selling transactions with volume peaks distributed at integer multiples of BTC unit. Arbitrage opportunities are studied using the EUR, USD and CNY currencies. Whereas the arbitrage spread for EUR-USD currency pair is found narrow at the order of a percent, at the 1 hour sampling period the arbitrage spread for USD-CNY (and similarly EUR-CNY is found to be more substantial, reaching as high as above 5 percent on rare occasions. The volatility of BTC exchange rates is modeled using the day-to-day distribution of logarithmic return, and the Realized Volatility, sum of the squared logarithmic returns on 5-minute basis. In this work we demonstrate that the Heterogeneous Autoregressive model for Realized Volatility Andersen et al. (2007 applies reasonably well to the BTCUSD dataset. Finally, a feed-forward neural network with 2 hidden layers using 10-day moving window sampling daily return predictors is applied to estimate the next-day logarithmic return. The results show that such an artificial neural network prediction is capable of approximate capture of the actual log return distribution; more sophisticated methods, such as recurrent neural networks and LSTM (Long Short Term Memory techniques from deep learning may be necessary for higher prediction accuracy.

  15. Modeling the stock price returns volatility using GARCH(1,1) in some Indonesia stock prices

    Science.gov (United States)

    Awalludin, S. A.; Ulfah, S.; Soro, S.

    2018-01-01

    In the financial field, volatility is one of the key variables to make an appropriate decision. Moreover, modeling volatility is needed in derivative pricing, risk management, and portfolio management. For this reason, this study presented a widely used volatility model so-called GARCH(1,1) for estimating the volatility of daily returns of stock prices of Indonesia from July 2007 to September 2015. The returns can be obtained from stock price by differencing log of the price from one day to the next. Parameters of the model were estimated by Maximum Likelihood Estimation. After obtaining the volatility, natural cubic spline was employed to study the behaviour of the volatility over the period. The result shows that GARCH(1,1) indicate evidence of volatility clustering in the returns of some Indonesia stock prices.

  16. The European power industry : asymmetries and price volatility

    International Nuclear Information System (INIS)

    Isabel, M.; Soares, R.T.

    2005-01-01

    A time series model was used to obtain empirical evidence on the spot price volatility of the Spanish electricity market. The model was based on a single market operator and 2 system operators. A generalized autoregressive conditional heteroskedasticity (GARCH) model was used to model and forecast conditional variances related to the spot price volatility of the Spanish electricity market. A correlogram analysis was used to model the processes behind the time series. Autocorrelation and partial autocorrelation functions were used to demonstrate that the the derived electricity spot price series was not a random walk. Lags in various areas were attributed to the fact that a large proportion of electricity is consumed by industry. Weekly cycles justified values presented by a lags multiple of 7. Results of the modelling study showed that the method can be used in the risk management of electricity portfolios as well as in the pricing and hedging of different types of derivatives in electricity markets. It was concluded that further work is needed to reduce instability and asymmetries between generators, consumers and regulators. 16 refs., 5 tabs., 5 figs

  17. Can Equity Volatility Explain the Global Loan Pricing Puzzle?

    OpenAIRE

    Lewis Gaul; Pinar Uysal

    2013-01-01

    This paper examines whether unobservable differences in firm volatility are responsible for the global loan pricing puzzle, which is the observation that corporate loan interest rates appear to be lower in Europe than in the United States. We analyze whether equity volatility, an error prone measure of firm volatility, can explain this difference in loan spreads. We show that using equity volatility in OLS regressions will result in biased and inconsistent estimates of the difference in U.S. ...

  18. A supply and demand based volatility model for energy prices

    International Nuclear Information System (INIS)

    Kanamura, Takashi

    2009-01-01

    This paper proposes a new volatility model for energy prices using the supply-demand relationship, which we call a supply and demand based volatility model. We show that the supply curve shape in the model determines the characteristics of the volatility in energy prices. It is found that the inverse Box-Cox transformation supply curve reflecting energy markets causes the inverse leverage effect, i.e., positive correlation between energy prices and volatility. The model is also used to show that an existing (G)ARCH-M model has the foundations on the supply-demand relationship. Additionally, we conduct the empirical studies analyzing the volatility in the U.S. natural gas prices. (author)

  19. A supply and demand based volatility model for energy prices

    Energy Technology Data Exchange (ETDEWEB)

    Kanamura, Takashi [J-POWER, 15-1, Ginza 6-Chome, Chuo-ku, Tokyo 104-8165 (Japan)

    2009-09-15

    This paper proposes a new volatility model for energy prices using the supply-demand relationship, which we call a supply and demand based volatility model. We show that the supply curve shape in the model determines the characteristics of the volatility in energy prices. It is found that the inverse Box-Cox transformation supply curve reflecting energy markets causes the inverse leverage effect, i.e., positive correlation between energy prices and volatility. The model is also used to show that an existing (G)ARCH-M model has the foundations on the supply-demand relationship. Additionally, we conduct the empirical studies analyzing the volatility in the U.S. natural gas prices. (author)

  20. Jumps and stochastic volatility in oil prices: Time series evidence

    International Nuclear Information System (INIS)

    Larsson, Karl; Nossman, Marcus

    2011-01-01

    In this paper we examine the empirical performance of affine jump diffusion models with stochastic volatility in a time series study of crude oil prices. We compare four different models and estimate them using the Markov Chain Monte Carlo method. The support for a stochastic volatility model including jumps in both prices and volatility is strong and the model clearly outperforms the others in terms of a superior fit to data. Our estimation method allows us to obtain a detailed study of oil prices during two periods of extreme market stress included in our sample; the Gulf war and the recent financial crisis. We also address the economic significance of model choice in two option pricing applications. The implied volatilities generated by the different estimated models are compared and we price a real option to develop an oil field. Our findings indicate that model choice can have a material effect on the option values.

  1. The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps

    DEFF Research Database (Denmark)

    Busch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard

    We study the relation between realized and implied volatility in the bond market. Realizedvolatility is constructed from high-frequency (5-minute) returns on 30 year Treasury bond futures.Implied volatility is backed out from prices of associated bond options. Recent nonparametric statisticaltech......We study the relation between realized and implied volatility in the bond market. Realizedvolatility is constructed from high-frequency (5-minute) returns on 30 year Treasury bond futures.Implied volatility is backed out from prices of associated bond options. Recent nonparametric...... components. We also introduce a new vector HAR (VecHAR) modelfor the resulting simultaneous system, controlling for possible endogeneity of implied volatility inthe forecasting equations. We show that implied volatility is a biased and inefficient forecast in thebond market. However, implied volatility does...

  2. Stock price dynamics and option valuations under volatility feedback effect

    Science.gov (United States)

    Kanniainen, Juho; Piché, Robert

    2013-02-01

    According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect by modeling the joint dynamics of stock price, dividends, and volatility in continuous time. Most importantly, our model predicts the negative effect of an increase in squared return volatility on the value of deep-in-the-money call options and, furthermore, attempts to explain the volatility puzzle. We theoretically demonstrate a mechanism by which the market price of diffusion return risk, or an equity risk-premium, affects option prices and empirically illustrate how to identify that mechanism using forward-looking information on option contracts. Our theoretical and empirical results support the relevance of the volatility feedback effect. Overall, the results indicate that the prevailing practice of ignoring the time-varying dividend yield in option pricing can lead to oversimplification of the stock market dynamics.

  3. Oil price and food price volatility dynamics: The case of Nigeria

    Directory of Open Access Journals (Sweden)

    Ijeoma C. Nwoko

    2016-12-01

    Full Text Available This study examines the long and short run relationships between oil price and food price volatility as well as the causal link between them. The study used annual food price volatility index from FAO from 2000 to 2013 and crude oil price from U.S. Energy Information and Administration (EIA from 2000 to 2013. The Johansen and Jesulius co-integration test revealed that there is a long run relationship between oil price and domestic food price volatility. The vector error correction model indicated a positive and significant short run relationship between oil price and food price volatility. The Granger causality test revealed a unidirectional causality with causality running from oil price to food price volatility but not vice versa. It is recommended that policies and interventions that will help reduce uncertainty about food prices such as improved market information, trade policies and investment in research and development among others should be encouraged. Also to reduce the effect of oil price shock, it is recommended that government should subsidise pump price of refined oil, seek alternative sources of energy and there should be less dependence on oil for fertilizer production.

  4. Nodal price volatility reduction and reliability enhancement of restructured power systems considering demand-price elasticity

    International Nuclear Information System (INIS)

    Goel, L.; Wu, Qiuwei; Wang, Peng

    2008-01-01

    With the development of restructured power systems, the conventional 'same for all customers' electricity price is getting replaced by nodal prices. Electricity prices will fluctuate with time and nodes. In restructured power systems, electricity demands will interact mutually with prices. Customers may shift some of their electricity consumption from time slots of high electricity prices to those of low electricity prices if there is a commensurate price incentive. The demand side load shift will influence nodal prices in return. This interaction between demand and price can be depicted using demand-price elasticity. This paper proposes an evaluation technique incorporating the impact of the demand-price elasticity on nodal prices, system reliability and nodal reliabilities of restructured power systems. In this technique, demand and price correlations are represented using the demand-price elasticity matrix which consists of self/cross-elasticity coefficients. Nodal prices are determined using optimal power flow (OPF). The OPF and customer damage functions (CDFs) are combined in the proposed reliability evaluation technique to assess the reliability enhancement of restructured power systems considering demand-price elasticity. The IEEE reliability test system (RTS) is simulated to illustrate the developed techniques. The simulation results show that demand-price elasticity reduces the nodal price volatility and improves both the system reliability and nodal reliabilities of restructured power systems. Demand-price elasticity can therefore be utilized as a possible efficient tool to reduce price volatility and to enhance the reliability of restructured power systems. (author)

  5. What can price volatility tell us about market efficiency? Conditional heteroscedasticity in historical commodity price series

    NARCIS (Netherlands)

    Földvári, P.; van Leeuwen, B.

    2011-01-01

    The development in the working of markets has been an important topic in economic history for decades. The volatility of market prices is often used as an indicator of market efficiency in the broadest sense. Yet, the way in which volatility is estimated often makes it difficult to compare price

  6. Can producer currency pricing models generate volatile real exchange rates?

    OpenAIRE

    Povoledo, L.

    2012-01-01

    If the elasticities of substitution between traded and nontraded and between Home and Foreign traded goods are sufficiently low, then the real exchange rate generated by a model with full producer currency pricing is as volatile as in the data.

  7. The world price of jump and volatility risk

    NARCIS (Netherlands)

    Driessen, J.; Maenhout, P.

    2006-01-01

    Jump and volatility risk are important for understanding equity returns, option pricing and asset allocation. This paper is the first to study international integration of markets for jump and volatility risk, using data on index options for each of the three main global markets: US S&P 500 index

  8. Price generating process and volatility in the Nigerian agricultural ...

    African Journals Online (AJOL)

    The study examined the price generating process and volatility of Nigerian agricultural commodities market using secondary data for price series on meat, cereals, sugar, dairy and food for the period of January 1990 to February 2014. The data were analysed using both descriptive and inferential statistics. The descriptive ...

  9. Effects of exchange rate volatility on export volume and prices of forest products

    Science.gov (United States)

    Sijia Zhang; Joseph Buongiorno

    2010-01-01

    The relative value of currencies varies considerably over time. These fluctuations bring uncertainty to international traders. As a result, the volatility in exchange rate movements may influence the volume and the price of traded commodities. The volatility of exchange rates was measured by the variance of residuals in a GARCH(1,1) model of the exchange rate. We...

  10. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

    NARCIS (Netherlands)

    Gardebroek, C.; Hernandez, M.A.

    2013-01-01

    This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. Preliminary results indicate a higher

  11. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

    NARCIS (Netherlands)

    Gardebroek, C.; Hernandez, M.A.

    2012-01-01

    This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. Preliminary results indicate a higher

  12. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

    NARCIS (Netherlands)

    Hernandez, M.A.; Gardebroek, C.

    2012-01-01

    This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. The estimation results indicate a higher

  13. The Effects of High and Volatile Oil Prices

    International Nuclear Information System (INIS)

    Artus, Patrick; Autume, Antoine d'; Chalmin, Philippe; Chevalier, Jean-Marie; Coeure, Benoit; Kalantizs, Yannick; Klein, Caroline; Guesnerie, Roger; Callonnec, Gael; Gaudin, Thomas; Moisan, Francois; Lescaroux, Francois; Clerc, Marie; Marcus, Vincent; Lalanne, Guy; Pouliquen, Erwan; Simon, Olivier; Mignon, Valerie

    2010-01-01

    demand into play (this is estimated at around 0.2 in the short term and around 0.4 over the longer term for fuel demand) and possibly caused behavioural changes such as those seen in France and described in the report. The other explanation is related to energy and environmental policies, which have helped reduce oil demand. However, the strong growth expected in emerging markets is likely to increase global demand for oil by several million barrels per day by 2014. This reflects the expectation that the number of cars on the road worldwide will double by 2030, and it seems unlikely that tougher environmental constraints will contain these trends. Half of this growth will come from Asia. Such an increase in global oil demand will only be sustainable if it is accompanied by higher prices that will enable the exploitation of new unconventional oil fields or fields with high production costs. As regards volatility, the authors first repeat that there are real determinants at play: the level of oil prices encourages or discourages investment in production capacity. Low oil prices slow capacity investments and therefore limit future supply, which then causes prices to rise, thereby providing an incentive to invest and develop supply. However, neither these (endogenous) irregularities in the investment programs of oil companies and exporting countries nor changing demand trends alone can account for the sharp rise in prices between 2002 and 2008 and the very sudden drop that followed in July-August 2008. A number of observers believe that the explanation lies in speculation on the oil market. The report's authors sift through all the arguments for and against this theory. While it is undeniable that speculation has developed on the oil futures market, the authors question two key points: was this speculation really focused on an oil price rally, and could it have such a significant retroactive effect on spot prices? Their conclusions recognise that speculation was indeed

  14. A Consistent Pricing Model for Index Options and Volatility Derivatives

    DEFF Research Database (Denmark)

    Cont, Rama; Kokholm, Thomas

    observed properties of variance swap dynamics and allows for jumps in volatility and returns. An affine specification using L´evy processes as building blocks leads to analytically tractable pricing formulas for options on variance swaps as well as efficient numerical methods for pricing of European......We propose and study a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index, allowing options on forward variance swaps and options on the underlying index to be priced consistently. Our model reproduces various empirically...... options on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options...

  15. Food price volatility and hunger alleviation – can Cannes work?

    Directory of Open Access Journals (Sweden)

    Hajkowicz Stefan

    2012-06-01

    Full Text Available Abstract Recent years have seen global food prices rise and become more volatile. Price surges in 2008 and 2011 held devastating consequences for hundreds of millions of people and negatively impacted many more. Today one billion people are hungry. The issue is a high priority for many international agencies and national governments. At the Cannes Summit in November 2011, the G20 leaders agreed to implement five objectives aiming to mitigate food price volatility and protect vulnerable persons. To succeed, the global community must now translate these high level policy objectives into practical actions. In this paper, we describe challenges and unresolved dilemmas before the global community in implementing these five objectives. The paper describes recent food price volatility trends and an evaluation of possible causes. Special attention is given to climate change and water scarcity, which have the potential to impact food prices to a much greater extent in coming decades. We conclude the world needs an improved knowledge base and new analytical capabilities, developed in parallel with the implementation of practical policy actions, to manage food price volatility and reduce hunger and malnutrition. This requires major innovations and paradigm shifts by the global community.

  16. The effect of oil price volatility on strategic investment

    International Nuclear Information System (INIS)

    Henriques, Irene; Sadorsky, Perry

    2011-01-01

    In this paper, we investigate how oil price volatility affects the strategic investment decisions of a large panel of US firms. This paper uses key insights from the real options literature to develop a model of a company's strategic investment and shows how changes in oil price volatility can impact strategic investment decisions. The model is estimated using recently developed generalized method of moment estimation techniques for panel data sets. Empirical results are presented to show that there is a U shaped relationship between oil price volatility and firm investment. This is consistent with the predictions from the strategic growth options literature. The results should be useful to decision makers, investors, managers, policy makers and others who need to make strategic investment decisions in an uncertain world. (author)

  17. DOES FEAR (VIX INDEX INCITE VOLATILITY IN FOOD PRICES?

    Directory of Open Access Journals (Sweden)

    Gökhan Çınar

    2017-04-01

    Full Text Available Globally, the volatility trend in food prices has continued to increase. Different data give the impression that this volatility may be caused by the international finance markets’ propagation effect. For this reason, the study focused on the VIX (fear index that is used to measure the movement in Standard & Poor’s 500 index. The main objective of the study is to analyze the degree of volatility between the VIX index and the wheat market. The research is comprised of monthly data obtained from year 2000 to 2015. The study employs the BEKK GARCH method. The findings show that the variance shocks in the fear index damage food prices. The results may be useful to policy makers in researching the causes of changes in the prices of food commodity and taking necessary measures.

  18. Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models

    International Nuclear Information System (INIS)

    Gulisashvili, Archil; Stein, Elias M.

    2010-01-01

    We study the asymptotic behavior of distribution densities arising in stock price models with stochastic volatility. The main objects of our interest in the present paper are the density of time averages of the squared volatility process and the density of the stock price process in the Stein-Stein and the Heston model. We find explicit formulas for leading terms in asymptotic expansions of these densities and give error estimates. As an application of our results, sharp asymptotic formulas for the implied volatility in the Stein-Stein and the Heston model are obtained.

  19. Bayesian Option Pricing Framework with Stochastic Volatility for FX Data

    Directory of Open Access Journals (Sweden)

    Ying Wang

    2016-12-01

    Full Text Available The application of stochastic volatility (SV models in the option pricing literature usually assumes that the market has sufficient option data to calibrate the model’s risk-neutral parameters. When option data are insufficient or unavailable, market practitioners must estimate the model from the historical returns of the underlying asset and then transform the resulting model into its risk-neutral equivalent. However, the likelihood function of an SV model can only be expressed in a high-dimensional integration, which makes the estimation a highly challenging task. The Bayesian approach has been the classical way to estimate SV models under the data-generating (physical probability measure, but the transformation from the estimated physical dynamic into its risk-neutral counterpart has not been addressed. Inspired by the generalized autoregressive conditional heteroskedasticity (GARCH option pricing approach by Duan in 1995, we propose an SV model that enables us to simultaneously and conveniently perform Bayesian inference and transformation into risk-neutral dynamics. Our model relaxes the normality assumption on innovations of both return and volatility processes, and our empirical study shows that the estimated option prices generate realistic implied volatility smile shapes. In addition, the volatility premium is almost flat across strike prices, so adding a few option data to the historical time series of the underlying asset can greatly improve the estimation of option prices.

  20. Option Pricing with Stochastic Volatility and Jump Diffusion Processes

    Directory of Open Access Journals (Sweden)

    Radu Lupu

    2006-03-01

    Full Text Available Option pricing by the use of Black Scholes Merton (BSM model is based on the assumption that asset prices have a lognormal distribution. In spite of the use of these models on a large scale, both by practioners and academics, the assumption of lognormality is rejected by the history of returns. The objective of this article is to present the methods that developed after the Black Scholes Merton environment and deals with the option pricing model adjustment to the empirical properties of asset returns. The main models that appeared after BSM allowed for special changes of the returns that materialized in jump-diffusion and stochastic volatility processes. The article presents the foundations of risk neutral options evaluation and the empirical evidence that fed the amendment of the lognormal assumption in the first part and shows the evaluation procedure under the assumption of stock prices following the jump-diffusion process and the stochastic volatility process.

  1. Modelling electricity futures prices using seasonal path-dependent volatility

    International Nuclear Information System (INIS)

    Fanelli, Viviana; Maddalena, Lucia; Musti, Silvana

    2016-01-01

    Highlights: • A no-arbitrage term structure model is applied to the electricity market. • Volatility parameters of the HJM model are estimated by using German data. • The model captures the seasonal price behaviour. • Electricity futures prices are forecasted. • Call options are evaluated according to different strike prices. - Abstract: The liberalization of electricity markets gave rise to new patterns of futures prices and the need of models that could efficiently describe price dynamics grew exponentially, in order to improve decision making for all of the agents involved in energy issues. Although there are papers focused on modelling electricity as a flow commodity by using Heath et al. (1992) approach in order to price futures contracts, the literature is scarce on attempts to consider a seasonal volatility as input to models. In this paper, we propose a futures price model that allows looking into observed stylized facts in the electricity market, in particular stochastic price variability, and periodic behavior. We consider a seasonal path-dependent volatility for futures returns that are modelled in Heath et al. (1992) framework and we obtain the dynamics of futures prices. We use these series to price the underlying asset of a call option in a risk management perspective. We test the model on the German electricity market, and we find that it is accurate in futures and option value estimates. In addition, the obtained results and the proposed methodology can be useful as a starting point for risk management or portfolio optimization under uncertainty in the current context of energy markets.

  2. Impact of Dividend Policy on Share Price Volatility: UK Evidence

    OpenAIRE

    ZHANG, YIDING

    2012-01-01

    This research attempts to shed light on the linkage between dividend policy and share price volatility in the context of UK. As a rework and extension of pervious research, the study is expected to reveal the potential impact of dividend change on the fluctuation of stock price, taking existing theoretical and empirical framework as basis. A snapshot of UK economy is provided after the preceding introductory section. The third chapter consists of a review of theories and empirical studies. Wi...

  3. Interest Rate Derivative Pricing with Stochastic Volatility

    NARCIS (Netherlands)

    Chen, B.

    2012-01-01

    One purpose of exotic derivative pricing models is to enable financial institutions to quantify and manage their financial risk, arising from large books of portfolios. These portfolios consist of many non-standard exotic financial products. Risk is managed by means of the evaluation of sensitivity

  4. Ambiguity and Volatility : Asset Pricing Implications

    NARCIS (Netherlands)

    Pataracchia, B.

    2011-01-01

    Using a simple dynamic consumption-based asset pricing model, this paper explores the implications of a representative investor with smooth ambiguity averse preferences [Klibano¤, Marinacci and Mukerji, Econometrica (2005)] and provides a comparative analysis of risk aversion and ambiguity aversion.

  5. PRICE GENERATING PROCESS AND VOLATILITY IN NIGERIAN AGRICULTURAL COMMODITIES MARKET

    Directory of Open Access Journals (Sweden)

    Osaihiomwan Ojogho

    2015-10-01

    Full Text Available The literature on agricultural commodity price volatility in Nigeria has constantly reflected that an excessive price movement is harmful for both producers and consumers, particularly for those who are not able to cope with that new source of economic uncertainty. It has also raised an extensive debate on the main determinants behind the large agricultural commodity price swings observed in the last years without recourse for the price generating process. To narrow this gap, the study examined the price generating process and volatility in the Nigerian agricultural commodities market using secondary data for price series on meat, cereals, sugar, dairy and aggregate food for the period of January 1990 to February 2014. The data were analysed using the linear Gaussian State-Space (SS model. The results of the descriptive statistics showed that the coefficients of variation for cereals (39.88%, food (32.65% and dairy price (43.08% were respectively higher during the overall time period (January 1990 to February 2014 than during the first (January 1990 to January 2002 and second (February 2002 to February 2014 sub-time periods. The results of the inferential statistics showed that authoregressive moving average (ARMA model is the most selected Nigeria agricultural commodity price generating model for the time periods, that a unit increase in the past price state of cereals, dairy, sugar, meat and aggregate food would increase the future price of sugar, meat and aggregate food by N0.14, N0.28 and N0.15 respectively but decrease future price of cereals and dairy by about N1.00 and N0.21 respectively, and that the one-step ahead predicted value for the first out-ofsample period for cereals, meat, dairy and sugar price were 6317.86, 10.24 and 2.06 respectively. The Nigerian agricultural commodity prices have experienced high variability over the period, and such volatility, price-generating process and the determinants of the Nigerian food commodities

  6. Dating breaks for global crude oil prices and their volatility : a possible price band for global crude prices

    International Nuclear Information System (INIS)

    Liao, H.C.; Suen, Y.B.

    2006-01-01

    Global oil prices are among the most visible of all historical commodity records. This paper presented and applied the multiple structural change method developed by Baie and Perron (BP) to investigate daily West Texas Intermediate (WTI) spot prices from January 2, 1986 to December 30, 2004 as collected by the United States Department of Energy. In particular, the BP statistical method was used to estimate the number and location of structural breaks in global oil price series and their volatility. The objective was to precisely determine the exact structural break in the global oil market. The breaks for both the price of oil and its volatility were successfully located and dated. It was shown that the break for the structural change in oil prices occurred on November 12, 1999, where the average oil price was U$19.02 per barrel previously, and U$30.90 afterwards. Two breaks for oil price volatility were also found, the first in March 1991 and the other in December 1995. The volatility was measured in 3 regimes by dividing these 2 breaks. It was suggested that since oil prices increased more rapidly during the second half of 2004 and 2005, it is possible that another structural break may be found during this period. However, it wa cautioned that it is difficult to find another significant break until more data becomes available, particularly for periods characterized by a rapid increase in price. 24 refs., 5 tabs., 2 figs

  7. Volatilities, Traded Volumes, and Price Increments in Derivative Securities

    Science.gov (United States)

    Kim, Kyungsik; Lim, Gyuchang; Kim, Soo Yong; Scalas, Enrico

    2007-03-01

    We apply the detrended fluctuation analysis (DFA) to the statistics of the Korean treasury bond (KTB) futures from which the logarithmic increments, volatilities, and traded volumes are estimated over a specific time lag. For our case, the logarithmic increment of futures prices has no long-memory property, while the volatility and the traded volume exhibit the existence of long-memory property. To analyze and calculate whether the volatility clustering is due to the inherent higher-order correlation not detected by applying directly the DFA to logarithmic increments of the KTB futures, it is of importance to shuffle the original tick data of futures prices and to generate the geometric Brownian random walk with the same mean and standard deviation. It is really shown from comparing the three tick data that the higher-order correlation inherent in logarithmic increments makes the volatility clustering. Particularly, the result of the DFA on volatilities and traded volumes may be supported the hypothesis of price changes.

  8. Helping consumers manage their exposure to volatile natural gas prices

    International Nuclear Information System (INIS)

    Campion, A.

    2004-01-01

    This presentation provided a customer's view of forward gas prices and outlined different buying behaviours in terms of characteristics of novice and seasoned buyers. It presented a portfolio overview of natural gas and described the risks facing customers in terms of fixed prices and fixed volumes. An energy smart price plan considers floating gas prices instead of a fixed market price. An automobile manufacturer was presented as an example of a gas consumer that would prefer to manage internal costs of production rather than manage gas volatility. The importance of understanding the drivers of individual businesses was emphasized. Natural Resources Canada and the Office of Energy Efficiency offer financial incentives for manufacturers for energy retrofit feasibility studies that result in energy retrofit projects in lighting, heating, boiler replacement, chiller upgrades, and heat recovery. tabs., figs

  9. Financial news predicts stock market volatility better than close price

    Directory of Open Access Journals (Sweden)

    Adam Atkins

    2018-06-01

    Full Text Available The behaviour of time series data from financial markets is influenced by a rich mixture of quantitative information from the dynamics of the system, captured in its past behaviour, and qualitative information about the underlying fundamentals arriving via various forms of news feeds. Pattern recognition of financial data using an effective combination of these two types of information is of much interest nowadays, and is addressed in several academic disciplines as well as by practitioners. Recent literature has focused much effort on the use of news-derived information to predict the direction of movement of a stock, i.e. posed as a classification problem, or the precise value of a future asset price, i.e. posed as a regression problem. Here, we show that information extracted from news sources is better at predicting the direction of underlying asset volatility movement, or its second order statistics, rather than its direction of price movement. We show empirical results by constructing machine learning models of Latent Dirichlet Allocation to represent information from news feeds, and simple naïve Bayes classifiers to predict the direction of movements. Empirical results show that the average directional prediction accuracy for volatility, on arrival of new information, is 56%, while that of the asset close price is no better than random at 49%. We evaluate these results using a range of stocks and stock indices in the US market, using a reliable news source as input. We conclude that volatility movements are more predictable than asset price movements when using financial news as machine learning input, and hence could potentially be exploited in pricing derivatives contracts via quantifying volatility. Keywords: Machine learning, Natural language processing, Volatility forecasting, Technical analysis, Computational finance

  10. Dividend policy and share price volatility: UK evidence

    OpenAIRE

    Hussainey, Khaled; Mgbame, Chijoke Oscar; Chijoke Mgbame, Aruoriwo M.

    2011-01-01

    Purpose – The purpose of this paper is to examine the relation between dividend policy and share price changes in the UK stock market. Design/methodology/approach – Multiple regression analyses are used to explore the association between share price changes and both dividend yield and dividend payout ratio. Findings – A positive relation is found between dividend yield and stock price changes, and a negative relation between dividend payout ratio and stock price changes. In a...

  11. The correlation between dividend policy measures and share price volatility on OMX Helsinki

    OpenAIRE

    Lindeman, Tuomas

    2016-01-01

    Dividend policy refers to the decision whether a firm decides to distribute some of its earnings as dividends to shareholders or not. Two significant variables are related to it: dividend yield and payout ratio. The former indicates how much a firm pays out in dividends each year relative to its share price, whereas the latter refers to the percentage of earnings paid to shareholders in dividends. Dividend policy is seen as one indicator of share price volatility, which measures the dispersio...

  12. Stock Price Informativeness and Idiosyncratic Return Volatility in Emerging Markets: Evidence from China

    OpenAIRE

    Karen Jingrong Lin; Khondkar Karim; Clairmont Carter

    2014-01-01

    This study attempts to address two research questions on the idiosyncratic return volatility and stock price informativeness. First, whether idiosyncratic return volatility is a valid proxy for stock price informativeness in emerging markets, and if it is, whether there exists a monotonic relationship between the idiosyncratic return volatility and stock price informativeness throughout the whole sample. We find that the idiosyncratic return volatility reflects the stock price informativeness...

  13. Electricity prices and power derivatives: An affine jump diffusion approach with seasonal volatility and prices

    International Nuclear Information System (INIS)

    Nomikos, Nikos; Soldatos, Orestes; Tamvakis, Michael

    2005-01-01

    Deregulation and reforms in the electricity markets over the recent years have led to increasing volatility of electricity prices since prices in the market are now determined by the fundamental rules of supply and demand. The existence of price risk in the market leads to the increasing necessity of hedging using derivatives and the subsequent development of models to price and hedge electricity derivatives. However the non-storable nature of the market implies that ''traditional'' approaches for the pricing and hedging of commodity derivatives based on the theory of storage are not applicable to electricity markets. In this paper we propose a two-factor jump diffusion model with seasonal components in order to capture the systematic pattern in the forward curve and the volatility term structure. Our model is then calibrated for the spot and the financial contracts in the Nord Pool Exchange using Kalman filter techniques. The proposed model has several advantages. First it enables to select the risk neutral measure that best fits the term structure hence capturing the most significant distributional characteristics of both spot and forwards. Second, it explains the seasonal risk premium, and finally it provides a fit for the Volatility Term Structure. The resulting model is very promising, providing a very useful Financial Engineering tool to market participants for Risk Hedging and Derivatives Pricing in the highly volatile Power Markets. (Author)

  14. An analysis of factors affecting price volatility of the US oil market

    International Nuclear Information System (INIS)

    Yang, C.W.; Hwang, M.J.; Huang, B.N.

    2002-01-01

    This paper studies the price volatility of the crude oil market by examining the market structure of OPEC, the stable and unstable demand structure, and related elasticity of demand. In particular, the impacts of prosperity and recession of the world economy and the resulting demand shift on crude oil price are investigated. The error correction model is used to estimate the demand relations and related elasticity. The income effect on demand functions is evaluated to shed light on future prices. A simulation of potential oil prices under different scenarios on a cut of one million barrels per day by OPEC is evaluated. From our simulation, given the 4% cut in OPEC production, the oil price is expected to increase unless the recession is severe. The magnitude and scope of a price hike would be diminished if non-OPEC or domestic production were greatly expanded

  15. Modeling energy price dynamics: GARCH versus stochastic volatility

    International Nuclear Information System (INIS)

    Chan, Joshua C.C.; Grant, Angelia L.

    2016-01-01

    We compare a number of GARCH and stochastic volatility (SV) models using nine series of oil, petroleum product and natural gas prices in a formal Bayesian model comparison exercise. The competing models include the standard models of GARCH(1,1) and SV with an AR(1) log-volatility process, as well as more flexible models with jumps, volatility in mean, leverage effects, and t distributed and moving average innovations. We find that: (1) SV models generally compare favorably to their GARCH counterparts; (2) the jump component and t distributed innovations substantially improve the performance of the standard GARCH, but are unimportant for the SV model; (3) the volatility feedback channel seems to be superfluous; (4) the moving average component markedly improves the fit of both GARCH and SV models; and (5) the leverage effect is important for modeling crude oil prices—West Texas Intermediate and Brent—but not for other energy prices. Overall, the SV model with moving average innovations is the best model for all nine series. - Highlights: • We compare a variety of GARCH and SV models for fitting nine series of energy prices. • We find that SV models generally compare favorably to their GARCH counterparts. • The SV model with moving average innovations is the best model for all nine series.

  16. Long memory and the relation between implied and realized volatility

    OpenAIRE

    Federico Bandi; Benoit Perron

    2003-01-01

    We argue that the conventional predictive regression between implied volatility (regressor) and realized volatility over the remaining life of the option (regressand) is likely to be a fractional cointegrating relation. Since cointegration is associated with long-run comovements, this finding modifies the usual interpretation of such regression as a study towards assessing option market efficiency (given a certain option pricing model) and/or short-term unbiasedness of implied volatility as a...

  17. Dynamics Model Applied to Pricing Options with Uncertain Volatility

    Directory of Open Access Journals (Sweden)

    Lorella Fatone

    2012-01-01

    model is proposed. The data used to test the calibration problem included observations of asset prices over a finite set of (known equispaced discrete time values. Statistical tests were used to estimate the statistical significance of the two parameters of the Black-Scholes model: the volatility and the drift. The effects of these estimates on the option pricing problem were investigated. In particular, the pricing of an option with uncertain volatility in the Black-Scholes framework was revisited, and a statistical significance was associated with the price intervals determined using the Black-Scholes-Barenblatt equations. Numerical experiments involving synthetic and real data were presented. The real data considered were the daily closing values of the S&P500 index and the associated European call and put option prices in the year 2005. The method proposed here for calibrating the Black-Scholes dynamics model could be extended to other science and engineering models that may be expressed in terms of stochastic dynamical systems.

  18. Market structure and the stability and volatility of electricity prices

    International Nuclear Information System (INIS)

    Bask, Mikael; Widerberg, Anna

    2009-01-01

    By using a novel approach in this paper, (λ,σ 2 )-analysis, we have found that electricity prices most of the time have increased in stability and decreased in volatility when the Nordic power market has expanded and the degree of competition has increased. That electricity prices at Nord Pool have been generated by a stochastic dynamic system that most often has become more stable during the step-wise integration of the Nordic power market means that this market is less sensitive to shocks after the integration process than it was before this process. This is good news

  19. Oil Price Volatility, Economic Growth and the Hedging Role of Renewable Energy

    OpenAIRE

    Rentschler, Jun E.

    2013-01-01

    This paper investigates the adverse effects of oil price volatility on economic activity and the extent to which countries can hedge against such effects by using renewable energy. By considering the Realized Volatility of oil prices, rather than following the standard approach of considering oil price shocks in levels, the effects of factor price uncertainty on economic activity are analy...

  20. Forward Volatility Contract Pricing in the Brazilian Market

    Directory of Open Access Journals (Sweden)

    Sandro Magalhães Manteiga

    2004-06-01

    Full Text Available In this work we consider the pricing of a special class of volatility derivatives, the so-called variance swaps. The fair value of a variance swap is equal to the expected value of the realized variance of the underlying of the swap during the lifetime of the contract. It is shown how this expected value can be computed by means of an exotic option with logarithmic pay-off. We show how to statically replicate this pay-off in terms of a basket of synthetic vanilla call and put options. We apply this construction to the TNLP4 ticker of BOVESPA and synthetize a basket with pure exposure to volatility using actual market prices.

  1. Trader types and volatility of emission allowance prices. Evidence from EU ETS Phase I

    International Nuclear Information System (INIS)

    Balietti, Anca Claudia

    2016-01-01

    This paper studies the relation between the trading activity of market participants and the volatility of the European Emission Allowance price during Phase I of the European Union Emission Trading System (EU ETS). We focus on the contrasting roles of different trader types. We find evidence of a positive and significant trading activity–volatility relation, which appears to be stronger when accounting for trader type. The positive relation can be mainly attributed to energy providers. In contrast, industrial companies seem to have traded more frequently when volatility levels were lower. Finally, the non-liable players, represented by financial intermediaries, appear to have acted as a flexible counterparty, trading more with the energy sector when volatility was higher, and more with the industrial firms when volatility was lower. We discuss possible explanations for these contrasted positions. Understanding the trading activity–volatility link is relevant for evaluating the efficiency of the EU ETS. Although the relation is generally positive, many players remained often inactive and traded mostly when volatility levels were lower. Policies targeting the engagement of less active players could lead to a smoother incorporation of information into prices and to an increase in market efficiency. - Highlights: • We study the permit price volatility–trading activity link in the EU ETS Phase I. • We focus on the contrasting roles of different market players. • We show that the relation was overall positive, mainly due to energy providers. • Many other players remained inactive and traded more when volatility was lower. • Policies for the engagement of less active traders could increase market efficiency.

  2. Dividend Policy and Price Volatility. Empirical Evidence from Jordan

    OpenAIRE

    Imad Zeyad Ramadan

    2013-01-01

    The aim of this paper is to investigate the influence of the dividend policy on the share price volatility for the Jordanian industrial firms. All the 77 Jordanian industrial firms listed at Amman Stock Exchange for twelve years from 2000 to 2011 have been selected. Descriptive analysis, correlation analysis and a cross-sectional time series multiple least square regression method have been used to present data analysis, test hypotheses, and achieve the objective of the study. The experientia...

  3. Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise

    DEFF Research Database (Denmark)

    Nolte, Ingmar; Voev, Valeri

    The expected value of sums of squared intraday returns (realized variance) gives rise to a least squares regression which adapts itself to the assumptions of the noise process and allows for a joint inference on integrated volatility (IV), noise moments and price-noise relations. In the iid noise...

  4. Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture

    NARCIS (Netherlands)

    C-L. Chang (Chia-Lin); C-P. Liu (Chia-Ping); M.J. McAleer (Michael)

    2016-01-01

    textabstractThe agricultural and energy industries are closely related, both biologically and financially. The paper discusses the relationship and the interactions on price and volatility, with special focus on the covolatility spillover effects for these two industries. The interaction and

  5. Evaluation of the price volatility of short-term in Brazil and its relation with the thermal generation; Avaliacao da volatilidade do preco de curto prazo no Brasil e sua relacao com a geracao termica

    Energy Technology Data Exchange (ETDEWEB)

    Heideier, R.B.; Prado, F.A.A.; Saidel, M.A.; Ueocka, M.Z. [Universidade de Sao Paulo (EPUSP), SP (Brazil). Escola Politecnica. Dept. de Energia e Automacao Eletricas], E-mails: fernando@sinerconsult.com.br, saidel@pea.usp.br, marcos.ueocka@poli.usp.br

    2009-07-01

    This article evaluate the intensity of volatility of the electric power prices in the short term market in selected countries. It were analyzed historical series of monthly prices of major energy markets worldwide, with assessment of the energy matrix of each region. The study, by analysis of data entry program for optimizing the operation of the SIN (NEWAVE and DECOM), concludes that the price volatility in short-term in Brazil is marked by the large variation of thermal power available, especially the lack of natural gas.

  6. New evidence on the asymmetry in gasoline price: volatility versus margin?

    International Nuclear Information System (INIS)

    Abosedra, S.; Radchenko, S.

    2006-01-01

    This paper examines recent evidence on the role that gasoline margins and volatility play in the asymmetric response of gasoline prices to changes in oil prices at different stages of distribution process. In a regression model with margins, we find that margins are statistically significant in explaining asymmetry between crude oil and spot gasoline prices, spot gasoline prices and wholesale gasoline prices, and wholesale gasoline prices and retail prices. In a regression model with input volatility, we find evidence that volatility is responsible for asymmetry between wholesale gasoline prices and retail gasoline prices. When both, gasoline margins and gasoline volatility are included in the regression, we find evidence supporting margins, the search theory, volatility, the oligopolistic coordination theory and an explanation of asymmetry. (author)

  7. Incorporating the value of changes in price volatility into cost-benefit analysis-an application to oil prices in the transport sector

    Energy Technology Data Exchange (ETDEWEB)

    Jensen, Thomas C., E-mail: tcj@transport.dtu.d [Department of Transport, Danish Technical University, Bygningstorvet 116 Vest, 2800 Lyngby (Denmark); Moller, Flemming [National Environmental Research Institute, Box 358, Frederiksborgvej 399, 4000 Roskilde (Denmark)

    2010-01-15

    This paper contains a tentative suggestion of how to take into account the value of changes in price volatility in real world cost-benefit analyses. Price volatility is an important aspect of security of supply which first of all concerns physical availability, but assuming that consumers are risk averse, security of supply can also be viewed as a matter of avoiding oscillations in consumption originating from volatile prices of for instance oil. When the government makes transport-related choices on behalf of the consumers, the effect on oscillations in general consumption should be included in the policy assessment taking into account the most significant correlations between prices of alternative fuels and between fuel prices and consumption in general. In the present paper, a method of valuing changes in price volatility based on portfolio theory is applied to some very simple transport-related examples. They indicate that including the value of changes in price volatility often makes very little difference to the results of cost-benefit analyses, but more work has to be done on quantifying, among other things, consumers' risk aversion and the background standard deviation in total consumption before firm conclusions can be drawn.

  8. Incorporating the value of changes in price volatility into cost-benefit analysis. An application to oil prices in the transport sector

    Energy Technology Data Exchange (ETDEWEB)

    Jensen, Thomas C. [Department of Transport, Danish Technical University, Bygningstorvet 116 Vest, 2800 Lyngby (Denmark); Moeller, Flemming [National Environmental Research Institute, Box 358, Frederiksborgvej 399, 4000 Roskilde (Denmark)

    2010-01-15

    This paper contains a tentative suggestion of how to take into account the value of changes in price volatility in real world cost-benefit analyses. Price volatility is an important aspect of security of supply which first of all concerns physical availability, but assuming that consumers are risk averse, security of supply can also be viewed as a matter of avoiding oscillations in consumption originating from volatile prices of for instance oil. When the government makes transport-related choices on behalf of the consumers, the effect on oscillations in general consumption should be included in the policy assessment taking into account the most significant correlations between prices of alternative fuels and between fuel prices and consumption in general. In the present paper, a method of valuing changes in price volatility based on portfolio theory is applied to some very simple transport-related examples. They indicate that including the value of changes in price volatility often makes very little difference to the results of cost-benefit analyses, but more work has to be done on quantifying, among other things, consumers' risk aversion and the background standard deviation in total consumption before firm conclusions can be drawn. (author)

  9. Incorporating the value of changes in price volatility into cost-benefit analysis. An application to oil prices in the transport sector

    International Nuclear Information System (INIS)

    Jensen, Thomas C.; Moeller, Flemming

    2010-01-01

    This paper contains a tentative suggestion of how to take into account the value of changes in price volatility in real world cost-benefit analyses. Price volatility is an important aspect of security of supply which first of all concerns physical availability, but assuming that consumers are risk averse, security of supply can also be viewed as a matter of avoiding oscillations in consumption originating from volatile prices of for instance oil. When the government makes transport-related choices on behalf of the consumers, the effect on oscillations in general consumption should be included in the policy assessment taking into account the most significant correlations between prices of alternative fuels and between fuel prices and consumption in general. In the present paper, a method of valuing changes in price volatility based on portfolio theory is applied to some very simple transport-related examples. They indicate that including the value of changes in price volatility often makes very little difference to the results of cost-benefit analyses, but more work has to be done on quantifying, among other things, consumers' risk aversion and the background standard deviation in total consumption before firm conclusions can be drawn. (author)

  10. The pass through of oil prices into euro area consumer liquid fuel prices in an environment of high and volatile oil prices

    Energy Technology Data Exchange (ETDEWEB)

    Meyler, Aidan [European Central Bank, Frankfurt am Main (Germany)

    2009-11-15

    Crude and refined oil prices have been relatively high and volatile on a sustained basis since 1999. This paper considers the pass through of oil prices into consumer liquid (i.e. petrol, diesel and heating) fuel prices in such an environment. The pass through of oil prices into consumer liquid fuel prices has already been addressed extensively in the literature. Nonetheless much of this literature has either focused on the United States or on a time period when oil prices were relatively stable, or has used monthly data. The main contribution of this paper is a comprehensive combination of many features that have been considered before but rarely jointly. These features include: (1) the analysis of the euro area as an aggregate and a large number of countries (the initial 12 member states); (2) the consideration of different time periods; (3) the modelling of the data in raw levels rather than in log levels. This turns out to have important implications for our findings; (4) the use of high frequency (weekly) data, which, as results will suggest, are the lowest frequency one should consider; (5) the investigation of the different stages of the production chain from crude oil prices to retail distribution - refining costs and margins, distribution and retailing costs and margins; (6) the examination of prices including and excluding taxes - excise and value-added; (7) the modelling of prices for three fuel types - passenger car petrol and diesel separately and home heating fuel oil; (8) lastly we also address the issue of possible asymmetries, allowing for the pass through to vary according to (a) whether price are increasing or decreasing and (b) whether price levels are above or below their equilibrium level. The main findings are as follows: First, as distribution and retailing costs and margins have been broadly stable on average, the modelling of the relationship between consumer prices excluding taxes and upstream prices in raw levels rather than in

  11. The pass through of oil prices into euro area consumer liquid fuel prices in an environment of high and volatile oil prices

    International Nuclear Information System (INIS)

    Meyler, Aidan

    2009-01-01

    Crude and refined oil prices have been relatively high and volatile on a sustained basis since 1999. This paper considers the pass through of oil prices into consumer liquid (i.e. petrol, diesel and heating) fuel prices in such an environment. The pass through of oil prices into consumer liquid fuel prices has already been addressed extensively in the literature. Nonetheless much of this literature has either focused on the United States or on a time period when oil prices were relatively stable, or has used monthly data. The main contribution of this paper is a comprehensive combination of many features that have been considered before but rarely jointly. These features include: (1) the analysis of the euro area as an aggregate and a large number of countries (the initial 12 member states); (2) the consideration of different time periods; (3) the modelling of the data in raw levels rather than in log levels. This turns out to have important implications for our findings; (4) the use of high frequency (weekly) data, which, as results will suggest, are the lowest frequency one should consider; (5) the investigation of the different stages of the production chain from crude oil prices to retail distribution - refining costs and margins, distribution and retailing costs and margins; (6) the examination of prices including and excluding taxes - excise and value-added; (7) the modelling of prices for three fuel types - passenger car petrol and diesel separately and home heating fuel oil; (8) lastly we also address the issue of possible asymmetries, allowing for the pass through to vary according to (a) whether price are increasing or decreasing and (b) whether price levels are above or below their equilibrium level. The main findings are as follows: First, as distribution and retailing costs and margins have been broadly stable on average, the modelling of the relationship between consumer prices excluding taxes and upstream prices in raw levels rather than in

  12. Oil price volatility: An Econometric Analysis of the WTI Market

    International Nuclear Information System (INIS)

    Hache, Emmanuel; Lantz, Frederic

    2011-04-01

    The aim of this paper is to study the oil price volatility in West Texas Intermediate (WTI) market in the US. By using statistical and econometric tools, we first attempt to identify the long-term relationship between WTI spot prices and the prices of futures contracts on the New York Mercantile Exchange (NYMEX). Subsequently we model the short-term dynamic between these two prices and this analysis points up several breaks. On this basis, a short term Markov Switching Vectorial Error Correction model (MS-VECM) with two distinct states (standard state and crisis state) has been estimated. Finally we introduce the volumes of transactions observed on the NYMEX for the WTI contracts and we estimate the influence of the non-commercial players. We conclude that the hypothesis of an influence of noncommercial players on the probability for being in the crisis state cannot be rejected. In addition, we show that the rise in liquidity of the first financial contracts, as measured by the volume of open interest, is a key element to understand the dynamics in market prices. (authors)

  13. Price Limit and Volatility in Taiwan Stock Exchange: Some Additional Evidence from the Extreme Value Approach

    OpenAIRE

    Aktham I. Maghyereh; Haitham A. Al Zoubi; Haitham Nobanee

    2007-01-01

    We reexamine the effects of price limits on stock volatility of Taiwan Stock Exchange using a new methodology based on the Extreme-Value technique. Consistent with the advocates of price limits, we find that stock market volatility is sharply moderated under more restrictive price limits.

  14. Price regulation and relative price convergence: Evidence from the retail gasoline market in Canada

    International Nuclear Information System (INIS)

    Suvankulov, Farrukh; Lau, Marco Chi Keung; Ogucu, Fatma

    2012-01-01

    This paper explores price regulation and relative price convergence in the Canadian retail gasoline market. We use monthly data (2000–2010) on retail gasoline prices in 60 Canadian cities to investigate (i) whether the retail gasoline market in Canada has experienced a relative price convergence to the mean, which is expected, given the increased economic integration across Canadian provinces; and (ii) whether the introduction of price regulation mechanisms in New Brunswick and Nova Scotia in July 2006 had any impact on the price convergence in these provinces. We use a nonlinear panel unit root test and find solid evidence that Canadian retail gasoline markets are well integrated across locales; however, the share of converging cities reveals a significant decline since July of 2006. The impact of price regulation on price convergence is mixed; our results indicate that since the enactment of the regulation in all New Brunswick cities (9) included in the dataset, gasoline prices converge to the national mean. Volatility of price is also significantly reduced. In contrast, in the wake of price regulation in Nova Scotia, all 6 cities of the province are non-convergent to the mean with increased volatility and overall price level. - Highlights: ► The paper examines price regulation and convergence of gasoline prices in Canada. ► Overall in 2000–2010 the Canadian retail gasoline market was well integrated. ► Price convergence across cities has significantly declined since July 2006. ► The impact of price regulation at province level on a price convergence is mixed. ► The paper relies on the most advanced nonlinear panel unit root test.

  15. THE VOLATILITY OF TEMPERATURE AND PRICING OF WEATHER DERIVATIVES

    OpenAIRE

    Benth, Fred Espen; Saltyte-Benth, Jurate

    2005-01-01

    We propose an Ornstein-Uhlenbeck process with seasonal volatility to model the time dynamics of daily average temperatures. The model is fitted to almost 43 years of daily observations recorded in Stockholm, one of the European cities for which there is a trade in weather futures and options on the Chicago Mercantile Exchange (CME). Explicit pricing dynamics for futures contracts written on the number of heating/cooling degree-days (so-called HDD/CDD-futures) and the cumulative average daily ...

  16. Oil price volatility, financial regulation and energy policy

    International Nuclear Information System (INIS)

    Chevalier, J.M.

    2010-01-01

    In October of 2009, the French Ministry of Economy asked the author to chair a work group on oil price volatility. The report resulting from that work was submitted to the minister on February 9, 2010. Based on the report, this article focuses on three major elements: (i) the operation of the oil market, with interacting physical basics and financial basics (ii) financial market regulation, more specifically commodities-derived product markets and current work in that area and (iii) the lessons one can draw from that exercise in terms of energy policy. Significant projects have been initiated on global, European and national levels. (author)

  17. Multivariate Option Pricing with Time Varying Volatility and Correlations

    DEFF Research Database (Denmark)

    Rombouts, Jeroen V.K.; Stentoft, Lars Peter

    In recent years multivariate models for asset returns have received much attention, in particular this is the case for models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes to option pricing. Specifically, we derive the risk...... neutral dynamics for a general class of multivariate heteroskedastic models, and we provide a feasible way to price options in this framework. Our framework can be used irrespective of the assumed underlying distribution and dynamics, and it nests several important special cases. We provide an application...... to options on the minimum of two indices. Our results show that not only is correlation important for these options but so is allowing this correlation to be dynamic. Moreover, we show that for the general model exposure to correlation risk carries an important premium, and when this is neglected option...

  18. Report of the work-group on oil price volatility

    International Nuclear Information System (INIS)

    2010-01-01

    This report proposes a detailed analysis of the past and possible evolution of oil markets in terms of price volatility, financial strategies and pricing. It discusses current reflections and actions aiming at improving oil market operation: the Joint Oil Data Initiative or JODI for oil data transparency, the works of the International Energy Forum (IEF), and the conceivable reforms of the oil financial markets. Then, it proposes and discusses four main strategic orientations for a better knowledge of oil markets by France and the improvement of their operation and transparency: to support IEF initiatives, to apply to oil financial markets the global orientations defined by the G20, to set additional specific rules, and to propose a true oil strategy for the European Union. These orientations are then broken up in 22 propositions

  19. Use of Bayesian Estimates to determine the Volatility Parameter Input in the Black-Scholes and Binomial Option Pricing Models

    Directory of Open Access Journals (Sweden)

    Shu Wing Ho

    2011-12-01

    Full Text Available The valuation of options and many other derivative instruments requires an estimation of exante or forward looking volatility. This paper adopts a Bayesian approach to estimate stock price volatility. We find evidence that overall Bayesian volatility estimates more closely approximate the implied volatility of stocks derived from traded call and put options prices compared to historical volatility estimates sourced from IVolatility.com (“IVolatility”. Our evidence suggests use of the Bayesian approach to estimate volatility can provide a more accurate measure of ex-ante stock price volatility and will be useful in the pricing of derivative securities where the implied stock price volatility cannot be observed.

  20. Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model

    International Nuclear Information System (INIS)

    Perelló, Josep; Masoliver, Jaume; Sircar, Ronnie

    2008-01-01

    We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein–Uhlenbeck model. The random diffusion model proposed is a two-dimensional market process that takes a log-Brownian motion to describe price dynamics and an Ornstein–Uhlenbeck subordinated process describing the randomness of the log-volatility. We derive an approximate option price that is valid when (i) the fluctuations of the volatility are larger than its normal level, (ii) the volatility presents a slow driving force, toward its normal level and, finally, (iii) the market price of risk is a linear function of the log-volatility. We study the resulting European call price and its implied volatility for a range of parameters consistent with daily Dow Jones index data

  1. Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise

    OpenAIRE

    Nolte, Ingmar; Voev, Valeri

    2009-01-01

    The expected value of sums of squared intraday returns (realized variance)gives rise to a least squares regression which adapts itself to the assumptions ofthe noise process and allows for a joint inference on integrated volatility (IV),noise moments and price-noise relations. In the iid noise case we derive theasymptotic variance of the regression parameter estimating the IV, show thatit is consistent and compare its asymptotic efficiency against alternative consistentIV measures. In case of...

  2. Estimating Price Volatility Structure in Iran’s Meat Market: Application of General GARCH Models

    Directory of Open Access Journals (Sweden)

    Z. Rasouli Birami

    2016-10-01

    Full Text Available Introduction: Over the past few years, the price volatility of agricultural products and food markets has attracted attention of many researchers and policy makers. This growing attention was started from the food price crisis in 2007 and 2008 when major agricultural products faced accelerated price increases and then rapidly decreased. This paper focused on the price volatility of major commodities related to three market levels of Iran’s meat market, including hay (the input level, calf and sheep (the wholesale level and beef and mutton (the retail level. In particular, efforts will made to find more appropriate models for explaining the behavior of volatility of the return series and to identify which return series are more volatile. The effects of good and bad news on the volatility of prices in each return series will also be studied. Materials and Methods: Different GARCH type models have been considered the best for modeling volatility of return series. Nonlinear GARCH models were introduced to capture the effect of good and bad news separately. The paper uses some GARCH type models including GARCH, Exponential GARCH (EGARCH, GJR-GARCH, Threshold GARCH (TGARCH, Simple Asymmetric GARCH (SAGARCH, Power GARCH (PGARCH, Non-linear GARCH (NGARCH, Asymmetric Power GARCH (APGARCH and Non-linear Power GARCH (NPGARCH to model the volatility of hay, calf, sheep, beef and mutton return series. The data on hay, calf, sheep, and beef and mutton monthly prices are published by Iran’s livestock support firm. The paper uses monthly data over the sample period of the May 1992 to the March 2014. Results and Discussion: Descriptive statistics of the studied return series show evidence of skewness and kurtosis. The results here show that all the series has fat tails. The significant p-values for the Ljung-Box Q-statistics mean that the auto-correlation exists in the squared residuals. The presence of unit roots in the return series is confirmed by the

  3. Towards sustained high oil prices and increasingly volatile

    International Nuclear Information System (INIS)

    Auverlot, Dominique; Teillant, Aude; Rech, Olivier

    2012-09-01

    It is particularly difficult to predict the evolution of global oil production and its ability to meet the demand: the main uncertainties are related to the magnitude of the growth of emerging countries, more or less rapid decline in the production of major oil fields current events as well as natural or accidental, but especially geopolitics, which may affect, at any time, production. In a tight market today, the rapid growth of emerging economies, disruption of the oil supply chain world, even its mere mention, could cause short-term loss of excess production capacity - largely concentrated in Saudi Arabia - an increase substantial progress and, as contemplated by the International Atomic Energy imbalances between global oil supply and demand. If, after 2020, production of conventional oil begins to decline and the demand from emerging markets continues to grow, more massive imbalances may arise, leading to potential geopolitical tensions. Control would then demand the best answer. Otherwise, the resources of unconventional hydrocarbons, considerable expected to meet the demand, provided that their development is fast enough and their operating conditions are environmentally friendly. A consensus is emerging today on keeping oil prices high (above $ 100 / barrel) and volatile in the coming years, allowing some producing countries to pursue their development, but for France amplifying the negative effects on the economic growth oil bill (more than 49 billion euros in 2011) weighs more heavily in our trade deficit. In all cases, climate issues, the weight of the oil bill on our economy, securing our energy supply and technical uncertainties or geopolitical oil production call for reducing our oil consumption, accelerated motion the transition to a low carbon economy and development of our own energy resources. Contents: - Current analysis of oil reserves; - Uncertainties about the evolution of world oil production; - What is the potential long-term oil production

  4. Impact of Oil Price Shocks and Exchange Rate Volatility on Stock Market Behavior in Nigeria

    Directory of Open Access Journals (Sweden)

    Adedoyin I. Lawal

    2016-09-01

    Full Text Available The impact of exchange rate and oil prices fluctuation on the stock market has been a subject of hot debate among researchers. This study examined the impact of both the exchange rate volatility and oil price volatility on stock market volatility in Nigeria, so as to guide policy formulation based on the fact that the nation’s economy was foreign induced and mono-cultured with heavy dependence on oil. EGARCH estimation techniques were employed to examine if either the volatility in exchange rate, oil price volatility or both experts on stock market volatility in Nigeria. The result shows that share price volatility is induced by both the exchange rate volatility and oil price volatility. Thus, it is recommended that policymakers should pursue policies that tend to stabilize the exchange rate regime on the one hand, and guarantee the net oil exporting position for the economy, that market practitioners should formulate portfolio strategies in such a way that volatility in both exchange rates and oil price will be factored in time when investment decisions are being made.

  5. Recovery of time-dependent volatility in option pricing model

    Science.gov (United States)

    Deng, Zui-Cha; Hon, Y. C.; Isakov, V.

    2016-11-01

    In this paper we investigate an inverse problem of determining the time-dependent volatility from observed market prices of options with different strikes. Due to the non linearity and sparsity of observations, an analytical solution to the problem is generally not available. Numerical approximation is also difficult to obtain using most of the existing numerical algorithms. Based on our recent theoretical results, we apply the linearisation technique to convert the problem into an inverse source problem from which recovery of the unknown volatility function can be achieved. Two kinds of strategies, namely, the integral equation method and the Landweber iterations, are adopted to obtain the stable numerical solution to the inverse problem. Both theoretical analysis and numerical examples confirm that the proposed approaches are effective. The work described in this paper was partially supported by a grant from the Research Grant Council of the Hong Kong Special Administrative Region (Project No. CityU 101112) and grants from the NNSF of China (Nos. 11261029, 11461039), and NSF grants DMS 10-08902 and 15-14886 and by Emylou Keith and Betty Dutcher Distinguished Professorship at the Wichita State University (USA).

  6. Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Jacobs, Kris; Mimouni, Karim

    in the search for alternative specifications. We then estimate the models using maximum likelihood on S&P500 returns. Finally, we employ nonlinear least squares on a panel of option data. In comparison with earlier studies that explicitly solve the filtering problem, we analyze a more comprehensive option data......Most recent empirical option valuation studies build on the affine square root (SQR) stochastic volatility model. The SQR model is a convenient choice, because it yields closed-form solutions for option prices. However, relatively little is known about the resulting biases. We investigate...... alternatives to the SQR model, by comparing its empirical performance with that of five different but equally parsimonious stochastic volatility models. We provide empirical evidence from three different sources. We first use realized volatilities to assess the properties of the SQR model and to guide us...

  7. Adaptation of warrant price with Black Scholes model and historical volatility

    Science.gov (United States)

    Aziz, Khairu Azlan Abd; Idris, Mohd Fazril Izhar Mohd; Saian, Rizauddin; Daud, Wan Suhana Wan

    2015-05-01

    This project discusses about pricing warrant in Malaysia. The Black Scholes model with non-dividend approach and linear interpolation technique was applied in pricing the call warrant. Three call warrants that are listed in Bursa Malaysia were selected randomly from UiTM's datastream. The finding claims that the volatility for each call warrants are different to each other. We have used the historical volatility which will describes the price movement by which an underlying share is expected to fluctuate within a period. The Black Scholes model price that was obtained by the model will be compared with the actual market price. Mispricing the call warrants will contribute to under or over valuation price. Other variables like interest rate, time to maturity date, exercise price and underlying stock price are involves in pricing call warrants as well as measuring the moneyness of call warrants.

  8. Estimating the volatility of electricity prices: The case of the England and Wales wholesale electricity market

    International Nuclear Information System (INIS)

    Tashpulatov, Sherzod N.

    2013-01-01

    Price fluctuations that partially comove with demand are a specific feature inherent to liberalized electricity markets. The regulatory authority in Great Britain, however, believed that sometimes electricity prices were significantly higher than what was expected and, therefore, introduced price-cap regulation and divestment series. In this study, I analyze how the introduced institutional changes and regulatory reforms affected the dynamics of daily electricity prices in the England and Wales wholesale electricity market during 1990–2001. This research finds that the introduction of price-cap regulation did achieve the goal of lowering the price level at the cost of higher price volatility. Later, the first series of divestments is found to be successful at lowering price volatility, which however happens at the cost of a higher price level. Finally, this study also documents that the second series of divestments was more successful at lowering both the price level and volatility. - Author-Highlights: • The impact of regulation on the dynamics of electricity prices is examined. • Price-cap regulation has decreased the level at the cost of higher volatility. • The first series of divestments has reversed the trade-off. • The reversed trade-off is explained as an indication of tacit collusion. • The second series of divestments is found generally successful

  9. Modelling the Asymmetric Volatility in Hog Prices in Taiwan : The Impact of Joining the WTO

    NARCIS (Netherlands)

    C-L. Chang (Chia-Lin); B-W. Huang (Bing-Wen); M-G. Chen (Meng-Gu)

    2010-01-01

    textabstractPrices in the hog industry in Taiwan are determined according to an auction system. There are significant differences in hog prices before, during and after joining the World Trade Organization (WTO). The paper models growth rates and volatility in daily hog prices in Taiwan from 23

  10. Loss aversion and price volatility as determinants of attitude towards and preference for variable price in the Swedish electricity market

    International Nuclear Information System (INIS)

    Juliusson, E. Asgeir; Gamble, Amelie; Gaerling, Tommy

    2007-01-01

    The results of a survey of a random sample of 488 Swedish residents showed that a positive attitude towards and preference for a variable price agreement with the incumbent electricity supplier was negatively affected by loss aversion, and a positive attitude also negatively affected by beliefs about price volatility. Although correlated with attitude and preference, age, education, and current choice of a variable price agreement had no independent effects. Income and current electricity costs had no effects. (author)

  11. Oil Price Volatility and Economic Growth in Nigeria: a Vector Auto-Regression (VAR Approach

    Directory of Open Access Journals (Sweden)

    Edesiri Godsday Okoro

    2014-02-01

    Full Text Available The study examined oil price volatility and economic growth in Nigeria linking oil price volatility, crude oil prices, oil revenue and Gross Domestic Product. Using quarterly data sourced from the Central Bank of Nigeria (CBN Statistical Bulletin and World Bank Indicators (various issues spanning 1980-2010, a non‐linear model of oil price volatility and economic growth was estimated using the VAR technique. The study revealed that oil price volatility has significantly influenced the level of economic growth in Nigeria although; the result additionally indicated a negative relationship between the oil price volatility and the level of economic growth. Furthermore, the result also showed that the Nigerian economy survived on crude oil, to such extent that the country‘s budget is tied to particular price of crude oil. This is not a good sign for a developing economy, more so that the country relies almost entirely on revenue of the oil sector as a source of foreign exchange earnings. This therefore portends some dangers for the economic survival of Nigeria. It was recommended amongst others that there should be a strong need for policy makers to focus on policy that will strengthen/stabilize the economy with specific focus on alternative sources of government revenue. Finally, there should be reduction in monetization of crude oil receipts (fiscal discipline, aggressive saving of proceeds from oil booms in future in order to withstand vicissitudes of oil price volatility in future.

  12. Minerals Price Increases and Volatility: Causes and Consequences

    National Research Council Canada - National Science Library

    Cooney, Stephen; Nanto, Dick K

    2008-01-01

    .... Prices have at least nearly doubled between 2001 and 2008. In the case of steel, the most widely used industrial metal, the rise in price appears largely driven by the high prices of iron ore and steel scrap...

  13. The Impact of Economic Agents Perceptions on Stock Price Volatility

    Directory of Open Access Journals (Sweden)

    Jaroslav Bukovina

    2015-01-01

    Full Text Available This paper studies perceptions of economic subjects and its impact on stock prices. Perceptions are represented by stock market indexes and Facebook activity. The contribution of this paper is twofold. In the first place, this paper analyzes the unique data of Facebook activity and proposes the methodology for employment of social networks as a proxy variable which represents the perceptions of information in society related to the specific company. The second contribution is the proposal of potential link between social network principles and theories of behavioral economics. Overall, the author finds the negative impact of Facebook activity on stock prices and the positive impact of stock market indices. The author points the implications of findings to protection of company reputation and to investment strategy based on the existence of undervalued stocks.

  14. Development of risk management strategies for state DOTs to effectively deal with volatile prices of transportation construction materials.

    Science.gov (United States)

    2014-06-01

    Volatility in price of critical materials used in transportation projects, such as asphalt cement, leads to : considerable uncertainty about project cost. This uncertainty may lead to price speculation and inflated : bid prices submitted by highway c...

  15. Are stock prices too volatile to be justified by the dividend discount model?

    Science.gov (United States)

    Akdeniz, Levent; Salih, Aslıhan Altay; Ok, Süleyman Tuluğ

    2007-03-01

    This study investigates excess stock price volatility using the variance bound framework of LeRoy and Porter [The present-value relation: tests based on implied variance bounds, Econometrica 49 (1981) 555-574] and of Shiller [Do stock prices move too much to be justified by subsequent changes in dividends? Am. Econ. Rev. 71 (1981) 421-436.]. The conditional variance bound relationship is examined using cross-sectional data simulated from the general equilibrium asset pricing model of Brock [Asset prices in a production economy, in: J.J. McCall (Ed.), The Economics of Information and Uncertainty, University of Chicago Press, Chicago (for N.B.E.R.), 1982]. Results show that the conditional variance bounds hold, hence, our hypothesis of the validity of the dividend discount model cannot be rejected. Moreover, in our setting, markets are efficient and stock prices are neither affected by herd psychology nor by the outcome of noise trading by naive investors; thus, we are able to control for market efficiency. Consequently, we show that one cannot infer any conclusions about market efficiency from the unconditional variance bounds tests.

  16. The Impact of Oil Price Volatility on Statoil

    OpenAIRE

    Johannessen, Frida; Skjelvik, Karina

    2017-01-01

    Master's thesis in Finance PROBLEM STATEMENT How do oil price movements impact Statoil ASA? RESEARCH QUESTIONS Do oil price fluctuations have an explainable effect on Statoil’s capital expenditures and operating expenditures? Do oil price fluctuations have an explainable effect on Statoil’s share price? ANALYSIS To analyse the impact of oil price shocks, Ordinary Least Squares regression has been employed for two separate time periods. First, the period from Q4...

  17. The Volatility of Indonesia Shari’ah Capital Market Stock Price Toward Macro Economics Variable

    Directory of Open Access Journals (Sweden)

    Helma Malini

    2014-08-01

    Full Text Available Shari’ah stock market is also affected by many highly interrelated economic, social, political andother factor, same as the conventional stock market, the interaction between macroeconomic variablesand Shari’ah stock market creating volatility in the stock price as a response towards severalshocks. The sensitivity of Shari’ah stock market towards shocks happened related with the futureexpectation of micro and macro factor in one country which can be predict or unpredictable.There are six macroeconomic variables that used in this research; inflation, exchange rate, interestrate, dow jones index, crude oil palm price, and FED rate. Using vector error correction model(VECM, the result shows that domestic macroeconomic variables that significantly affect IndonesiaShari’ah compliance for long term, while for international macroeconomic variables the selectedvariable such as FED rate and Dow Jones Index are not significantly affected Indonesia Shari’ahcompliance both in short term and long term. Keywords: Indonesia Shari’ah compliance, Macro Economic Indicators, Impulse Response Function,Stock Price Volatility

  18. Estimating the volatility of electricity prices: the case of the England and Wales wholesale electricity market

    Czech Academy of Sciences Publication Activity Database

    Tashpulatov, Sherzod N.

    2013-01-01

    Roč. 60, September (2013), s. 81-90 ISSN 0301-4215 Institutional support: PRVOUK-P23 Keywords : conditional volatility * electricity prices * regulation Subject RIV: AH - Economics Impact factor: 2.696, year: 2013

  19. Estimating the volatility of electricity prices: the case of the England and Wales wholesale electricity market

    Czech Academy of Sciences Publication Activity Database

    Tashpulatov, Sherzod N.

    2013-01-01

    Roč. 60, September (2013), s. 81-90 ISSN 0301-4215 Institutional support: RVO:67985998 Keywords : conditional volatility * electricity prices * regulation Subject RIV: AH - Economics Impact factor: 2.696, year: 2013

  20. Moment generating functions and Normalized implied volatilities: unification and extension via Fukasawa's pricing formula

    OpenAIRE

    De Marco, Stefano; Martini, Claude

    2017-01-01

    We extend the model-free formula of [Fukasawa 2012] for $\\mathbb E[\\Psi(X_T)]$, where $X_T=\\log S_T/F$ is the log-price of an asset, to functions $\\Psi$ of exponential growth. The resulting integral representation is written in terms of normalized implied volatilities. Just as Fukasawa's work provides rigourous ground for Chriss and Morokoff's (1999) model-free formula for the log-contract (related to the Variance swap implied variance), we prove an expression for the moment generating functi...

  1. Excessive price reduction and extreme volatility in wind dominant electricity markets; solutions and emerging challenges

    DEFF Research Database (Denmark)

    Farashbashi-Astaneh, Seyed-Mostafa; Chen, Zhe; Mousavi, Omid Alizadeh

    2013-01-01

    High intermittency in the nature of wind power emphasize conceptual revising in the mechanisms of electricity markets with high wind power penetration levels. This paper introduces overmuch price reduction and high price volatility as two adverse consequences in future wind dominant electricity...... is developed. The paper indicates discriminatory pricing approach can be beneficial in high penetration of wind power because it alleviates high price variations and spikiness in one hand and prevents overmuch price reduction in wind dominant electricity markets on the other hand....... markets. While high price volatility imposes elevated risk levels for both electricity suppliers and consumers, excessive price reduction of electricity is a disincentive for investment in new generation capacity and might jeopardizes system adequacy in long term. A comparative study between marginal...

  2. Option Price Decomposition in Spot-Dependent Volatility Models and Some Applications

    Directory of Open Access Journals (Sweden)

    Raúl Merino

    2017-01-01

    Full Text Available We obtain a Hull and White type option price decomposition for a general local volatility model. We apply the obtained formula to CEV model. As an application we give an approximated closed formula for the call option price under a CEV model and an approximated short term implied volatility surface. These approximated formulas are used to estimate model parameters. Numerical comparison is performed for our new method with exact and approximated formulas existing in the literature.

  3. Stock Price Volatility and Role of Dividend Policy: Empirical Evidence from Pakistan

    OpenAIRE

    Shah, Syed Akif; Noreen, Umara

    2016-01-01

    Despite years of empirical research, the linkage between dividend policy and stock price volatility remains controversial among the researchers and scholars. This research endeavors to figure out the relationship between stock price volatility and dividend policy of listed companies in Pakistan. A sample of fifty firms, based upon consistent dividend paying behavior, listed on Karachi Stock Exchange has been selected from non-financial sectors, for the period of 2005 to 2012. Multiple regress...

  4. CORPORATE DIVIDEND POLICY AND SHARE PRICE VOLATILITY:A STUDY OF THE BOMBAY STOCK EXCHANGE

    OpenAIRE

    Vijayakumar, Arvind

    2012-01-01

    Purpose: The research paper aims to identify the empirical relationship between Corporate Dividend policy in India and share price volatility. Design/Methodology/Approach: A sample of 197 dividend paying companies listed on the Bombay stock exchange (BSE 500) was examined from 2006 to 2010.A panel data approach was applied to identify the relationship between price volatility against dividend yield and dividend payout ratio. Findings: The findings observe a significant relationship be...

  5. The impacts of oil price shocks on stock market volatility: Evidence from the G7 countries

    International Nuclear Information System (INIS)

    Bastianin, Andrea; Conti, Francesca; Manera, Matteo

    2016-01-01

    We study the effects of crude oil price shocks on the stock market volatility of the G7 countries. We identify the causes underlying oil price shocks and gauge the impacts that oil supply and oil demand innovations have on financial volatility. We show that stock market volatility does not respond to oil supply shocks. On the contrary, demand shocks impact significantly on the volatility of the G7 stock markets. Our results suggest that economic policies and financial regulation activities designed to mitigate the adverse effects of unexpected oil price movements should be designed by looking at the source of the oil price shocks. - Highlights: • Effects of oil price shocks on the stock market volatility of the G7 countries. • Econometric identification of the different causes of oil shocks. • Stock market volatility does not respond to oil supply shocks. • Demand shocks impact significantly on stock market volatility. • Policy measures should be designed by considering the source of oil shocks.

  6. Energy markets and price relations

    International Nuclear Information System (INIS)

    Bergendahl, P.A.

    1986-10-01

    The aim of the report is to elucidate the way and extent of the dependence of the price of different energy species of one another and particularly of crude oil prices. Oil, coal and natural gas can substitute each other at many applications. The prices are dependent on mining, processing and transporting. Forecasting of prices and future trends are discussed

  7. RESPONSIVENESS OF SPATIAL PRICE VOLATILITY TO INCREASED GOVERNMENT PARTICIPATION IN MAIZE GRAIN AND MAIZE MEAL MARKETING IN ZAMBIA

    OpenAIRE

    Syampaku, E.M; Mafimisebi, Taiwo Ejiola

    2014-01-01

    The study analyzed the responsiveness of maize grain and maize meal spatial price volatilities to increased government participation in maize grain marketing in Zambia using descriptive statistics and vector auto-regression (VAR). This was achieved by comparing spatial price volatility means and spatial price means for the period under increased government participation with respective means for periods under limited government participation. Also, spatial price volatilities were regressed ag...

  8. Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility

    NARCIS (Netherlands)

    van Haastrecht, A.; Lord, R.; Pelsser, A.; Schrager, D.

    2009-01-01

    We consider the pricing of long-dated insurance contracts under stochastic interest rates and stochastic volatility. In particular, we focus on the valuation of insurance options with long-term equity or foreign exchange exposures. Our modeling framework extends the stochastic volatility model of

  9. Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels

    DEFF Research Database (Denmark)

    Babaoglu, Kadir Gokhan; Christoffersen, Peter; Heston, Steven

    We nest multiple volatility components, fat tails and a U-shaped pricing kernel in a single option model and compare their contribution to describing returns and option data. All three features lead to statistically significant model improvements. A second volatility factor is economically most i...

  10. Estimating the Volatility of Cocoa Price Return with ARCH and GARCH Models

    Directory of Open Access Journals (Sweden)

    Lya Aklimawati

    2013-08-01

    Full Text Available Dynamics of market changing as a result of market liberalization have an impact on agricultural commodities price fluctuation. High volatility on cocoa price movement reflect its price and market risk. Because of price and market uncertainty, the market players face some difficulties to make a decision in determining business development. This research was conducted to 1 understand the characteristics of cocoa price movement in cocoa futures trading, and 2analyze cocoa price volatility using ARCH and GARCH type model. Research was carried out by direct observation on the pattern of cocoa price movement in the futures trading and volatility analysis based on secondary data. The data was derived from Intercontinental Exchange ( ICE Futures U.S. Reports. The analysis result showed that GARCH is the best model to predict the value of average cocoa price return volatility, because it meets criteria of three diagnostic checking, which are ARCH-LM test, residual autocorrelation test and residual normality test. Based on the ARCH-LM test, GARCH (1,1did not have heteroscedasticity, because p-value  2 (0.640139and F-statistic (0.640449 were greater than 0.05. Results of residual autocorrelation test indicated that residual value of GARCH (1,1 was random, because the statistic value of Ljung-Box (LBon the 36 th lag is smaller than the statistic value of  2. Whereas, residual normality test concluded the residual of GARCH (1,1 were normally distributed, because AR (29, MA (29, RESID (-1^2, and GARCH (-1 were significant at 5% significance level. Increasing volatility value indicate high potential risk. Price risk can be reduced by managing financial instrument in futures trading such as forward and futures contract, and hedging. The research result also give an insight to the market player for decision making and determining time of hedging. Key words: Volatility, price, cocoa, GARCH, risk, futures trading

  11. Pricing European option with transaction costs under the fractional long memory stochastic volatility model

    Science.gov (United States)

    Wang, Xiao-Tian; Wu, Min; Zhou, Ze-Min; Jing, Wei-Shu

    2012-02-01

    This paper deals with the problem of discrete time option pricing using the fractional long memory stochastic volatility model with transaction costs. Through the 'anchoring and adjustment' argument in a discrete time setting, a European call option pricing formula is obtained.

  12. Option Valuation with Volatility Components, Fat Tails, and Non-Monotonic Pricing Kernels

    DEFF Research Database (Denmark)

    Babaoglu, Kadir; Christoffersen, Peter; Heston, Steven L.

    We nest multiple volatility components, fat tails and a U-shaped pricing kernel in a single option model and compare their contribution to describing returns and option data. All three features lead to statistically significant model improvements. A U-shaped pricing kernel is economically most im...

  13. The transmission and management of price volatility in food supply chains

    NARCIS (Netherlands)

    Assefa, Tsion Taye

    2016-01-01

    The 2006-2011 period has been marked by increased volatility in food an agricultural commodity prices at a global level. In the EU, the continuous liberalization of agricultural markets under the Common Agricultural Policy has led to the exposure of EU agricultural to increasing market price

  14. The world price of jump and volatility risk

    NARCIS (Netherlands)

    Driessen, J.J.A.G.; Maenhout, P.

    2013-01-01

    We study international integration of markets for jump and volatility risk, using index option data for the main global markets. To explain the cross-section of expected option returns we focus on return-based multi-factor models. For each market separately, we provide evidence that volatility and

  15. Efficient "Myopic" Asset Pricing in General Equilibrium: A Potential Pitfall in Excess Volatility Tests

    OpenAIRE

    Willem H. Buiter

    1987-01-01

    Excess volatility tests for financial market efficiency maintain the hypothesis of risk-neutrality. This permits the specification of the benchmark efficient market price as the present discounted value of expected future dividends. By departing from the risk-neutrality assumption in a stripped-down version of Lucas's general equilibrium asset pricing model, I show that asset prices determined in a competitive asset market and efficient by construction can nevertheless violate the variance bo...

  16. FDI Inflows, Price and Exchange Rate Volatility: New Empirical Evidence from Latin America

    Directory of Open Access Journals (Sweden)

    Silvia Dal Bianco

    2017-02-01

    Full Text Available This paper investigates the impact of price and real exchange rate volatility on Foreign Direct Investment (FDI inflows in a panel of 10 Latin American and Caribbean countries, observed between 1990 and 2012. Both price and exchange rate volatility series are estimated through the Generalized Autoregressive Conditional Heteroscedasticity model (GARCH. Our results obtained, employing the Fixed Effects estimator, confirm the theory of hysteresis and option value, in so far as a statistically significant negative effect of exchange rate volatility on FDI is found. Price volatility, instead, turns out to be positive but insignificant. Moreover, we show that human capital and trade openness are key for attracting foreign capital. From the policy perspective, our analysis suggests the importance of stabilization policies as well as the policy of government credibility in promoting trade openness and human capital formation.

  17. DEVELOPMENT OF TIGHT OIL RESOURCES IN USA: PROFITABILITY OF EXPLOITATION AND EFFECT OF MACROECONOMIC INDICATORS IN VOLATILE OIL PRICE ENVIRONMENT

    Directory of Open Access Journals (Sweden)

    Kristina Strpić

    2017-01-01

    Full Text Available Large scale development of tight oil resources in US started after 2010. with following five-year period of favorable steady increase in crude oil price. During this relatively short expansion cycle, operating and capital expenses changed drastically for main tight oil plays due to technological improvements in both well drilling and completion, expansion of service sector as well as loose government monetary policy which allowed favorable financing. This paper analyzed trends in costs during expansion period, as well as correlation of oil price to number of operating rigs and production quotas. After 2008/2009. world financial crisis economy recovery in US was somewhat sluggish and it caused extreme volatile environment in both equity and commodity markets. In such volatile environment intra-day crude oil prices, as well as other commodities and equities, show significant reaction to monthly published macroeconomic indicator reports, which give better overviews of trends in economic recovery. Prior to announcement, these reports always have forecasted value determined by consensus among market analysts. Therefore, any positive or negative surprise in real value tends to influence price of oil. This paper investigated influence of such macroeconomic reports to closing intraday oil price, as well as effect of other important daily market indices. Analysis showed that only Producer Price Index (PPI, among other indicators, has statistical significance of affecting intraday closing oil price.

  18. Joint Pricing of VIX and SPX Options with Stochastic Volatility and Jump models

    DEFF Research Database (Denmark)

    Kokholm, Thomas; Stisen, Martin

    2015-01-01

    to existing literature, we derive numerically simpler VIX option and futures pricing formulas in the case of the SVJ model. Moreover, the paper is the first to study the pricing performance of three widely used models to SPX options and VIX derivatives.......With the existence of active markets for volatility derivatives and options on the underlying instrument, the need for models that are able to price these markets consistently has increased. Although pricing formulas for VIX and vanilla options are now available for commonly employed models...... and variance (SVJJ) are jointly calibrated to market quotes on SPX and VIX options together with VIX futures. The full flexibility of having jumps in both returns and volatility added to a stochastic volatility model is essential. Moreover, we find that the SVJJ model with the Feller condition imposed...

  19. Relative Price Levels and Current Accounts: An Exploration

    Directory of Open Access Journals (Sweden)

    Joshua Aizenman

    2008-12-01

    Full Text Available This paper studies the links between current accounts and relative price levels, finding that current account changes are associated with sizable future relative price levels effects. This is done in panel regressions of the Penn effect, adding a lagged current account/GDP and other explanatory variables. Higher GDP/ capita and a greater export share of manufacturing tend to mitigate the real exchange rate impact of lagged current accounts. Active management of current accounts may provide a powerful adjustment channel, mitigating the real exchange rate effects of volatile terms of trade, and may explain the growing proliferation of Sovereign Wealth Funds.

  20. The transitory and permanent volatility of oil prices: What implications are there for the US industrial production?

    International Nuclear Information System (INIS)

    Ali Ahmed, Huson Joher; Bashar, Omar H.M.N.; Wadud, I.K.M. Mokhtarul

    2012-01-01

    Highlights: ► This study examines the impact of oil price uncertainty on the US industrial production (IPI). ► The transitory component of the oil price volatility has an adverse impact on the US IPI. ► The transitory oil price volatility induces higher volatility in CPI, commodity prices and IPI. -- Abstract: This study examines the impact of oil price uncertainty on the US industrial production by decomposing oil price volatility into permanent and transitory components. The decompositions provide important evidence on sources and asymmetric effects of oil price volatility. To estimate the component structure of volatility and to analyse the dynamic impacts of the volatility components, the study uses a threshold based CGARCH and VAR modelling over a period from 1980 to 2010 for the US economy. The CGARCH model estimates show significant asymmetric effect of oil price shock on the transitory oil price volatility. Dynamic impulse response functions obtained from the estimated VAR models reveal that there is a significant and prolonged dampening impact of increased transitory oil price volatility on industrial production. The results also suggest that shocks to transitory component induce increased volatility in the general price level and non-fuel commodity prices in the US. Variance decomposition analysis reconfirms that the transitory volatility is the second most important factor to explain the variance of industrial production. These results provide additional insights on the sources of oil price uncertainty and point to the need to direct US energy policies towards stabilising short-term uncertainties in oil prices.

  1. Market information and price volatility in petroleum derivatives spot and future markets

    International Nuclear Information System (INIS)

    Khalid Nainar, S.M.

    1993-01-01

    This paper examines the relationship between petroleum futures trading, market information and spot prices. It tests the hypothesis that there is increased spot market information with futures trading of various petroleum derivatives for weekly data during the period January 1970 to July 1985 at the new York Mercantile Exchange. Increased market information with futures trading is indicated by the insignificance of coefficients of past prices in spot price regressions in periods with futures trading. However, the estimates of the coefficient of variation indicate that price volatility tends to increase with futures trading. Thus, traders seem better informed with futures trading although the advantages of increased market information might potentially be undermined by increased price volatility as in the case of regular gasoline. (author)

  2. Intensity of Price and Volatility Spillover Effects in Asia-Pacific Basin Equity Markets

    Directory of Open Access Journals (Sweden)

    Sazali Abidin

    2014-12-01

    Full Text Available This paper investigates the intensity of price and volatility spillover effects in five major stock markets within the Asia Pacific basin region with a particular emphasis in the spillover effects between Australia and China. VAR(5 model is used for measuring the return spillover while AR/VAR model with exogenous variables is employed for measuring the effects of same day returns on return spillover. .In modelling the volatility spillover, we employ AR/GARCH model which also incorporates the same day effects. Results of both return and volatility spillover provide evidence that there are significant spillover effects across different markets in the Asia-Pacific region and as well as between Australia and China. This study also provides support to the view that a market is most affected by other markets that opens/closes just before it. The main contribution of this paper is the confirmation of spillover effects between markets in the region, in particular, the interdependence between Australia and China which may have evolved only recently and thus have received relatively little research attention to date.

  3. Energy prices, volatility, and the stock market. Evidence from the Eurozone

    International Nuclear Information System (INIS)

    Oberndorfer, Ulrich

    2009-01-01

    This paper constitutes a first analysis on stock returns of energy corporations from the Eurozone. It focuses on the relationship between energy market developments and the pricing of European energy stocks. According to our results, oil price hikes negatively impact on stock returns of European utilities. However, they lead to an appreciation of oil and gas stocks. Interestingly, forecastable oil market volatility negatively affects European oil and gas stocks, implying profit opportunities for strategic investors. In contrast, the gas market does not play a role for the pricing of Eurozone energy stocks. Coal price developments affect the stock returns of European utilities. However, this effect is small compared to oil price impacts, although oil is barely used for electricity generation in Europe. This suggests that for the European stock market, the oil price is the main indicator for energy price developments as a whole. (author)

  4. Fractional Black–Scholes option pricing, volatility calibration and implied Hurst exponents in South African context

    Directory of Open Access Journals (Sweden)

    Emlyn Flint

    2017-03-01

    Full Text Available Background: Contingent claims on underlying assets are typically priced under a framework that assumes, inter alia, that the log returns of the underlying asset are normally distributed. However, many researchers have shown that this assumption is violated in practice. Such violations include the statistical properties of heavy tails, volatility clustering, leptokurtosis and long memory. This paper considers the pricing of contingent claims when the underlying is assumed to display long memory, an issue that has heretofore not received much attention. Aim: We address several theoretical and practical issues in option pricing and implied volatility calibration in a fractional Black–Scholes market. We introduce a novel eight-parameter fractional Black–Scholes-inspired (FBSI model for the implied volatility surface, and consider in depth the issue of calibration. One of the main benefits of such a model is that it allows one to decompose implied volatility into an independent long-memory component – captured by an implied Hurst exponent – and a conditional implied volatility component. Such a decomposition has useful applications in the areas of derivatives trading, risk management, delta hedging and dynamic asset allocation. Setting: The proposed FBSI volatility model is calibrated to South African equity index options data as well as South African Rand/American Dollar currency options data. However, given the focus on the theoretical development of the model, the results in this paper are applicable across all financial markets. Methods: The FBSI model essentially combines a deterministic function form of the 1-year implied volatility skew with a separate deterministic function for the implied Hurst exponent, thus allowing one to model both observed implied volatility surfaces as well as decompose them into independent volatility and long-memory components respectively. Calibration of the model makes use of a quasi-explicit weighted

  5. Scaling and long-range dependence in option pricing V: Multiscaling hedging and implied volatility smiles under the fractional Black-Scholes model with transaction costs

    Science.gov (United States)

    Wang, Xiao-Tian

    2011-05-01

    This paper deals with the problem of discrete time option pricing using the fractional Black-Scholes model with transaction costs. Through the ‘anchoring and adjustment’ argument in a discrete time setting, a European call option pricing formula is obtained. The minimal price of an option under transaction costs is obtained. In addition, the relation between scaling and implied volatility smiles is discussed.

  6. FEWS NET Price Volatility Data 2002-2012

    Data.gov (United States)

    US Agency for International Development — This dataset from the Famine Early Warning System Network (FEWS NET) documents ten years, from 2002 to 2012, of cereal price fluctuations across twenty-five African...

  7. Price volatility, trading volume, and market depth in Asian commodity futures exchanges

    Directory of Open Access Journals (Sweden)

    Tanachote Boonvorachote

    2016-01-01

    Full Text Available This paper empirically investigates the impact of trading activity including trading volume and open interest on price volatility in Asian futures exchanges. Trading volume and open interest represent market information for investors. This study uses three different definitions of volatility: (1 daily volatility measured by close-to-close returns, (2 non-trading volatility measured by close-to-open returns, and (3 trading volatility measured by open-to-close returns. The impact of trading volume and open interest on price volatility is investigated. Following Bessembinder and Seguin (1993, volume and open interest are divided into expected and unexpected components. The GARCH (1,1 model is employed using expected and unexpected components of trading activity (volume and open interest as explanatory variables. The results show a positive contemporaneous relationship between expected and unexpected trading volume and volatility, while open interest mitigates volatility. Policy makers can use these findings to suggest to investors that trading activity (volume and open interest is a proxy of market information flowing to exchanges, especially unexpected trading activity. New information flowing to exchanges can mostly be noticed in unexpected trading volumes and open interests.

  8. A Generic Decomposition Formula for Pricing Vanilla Options under Stochastic Volatility Models

    Directory of Open Access Journals (Sweden)

    Raúl Merino

    2015-01-01

    Full Text Available We obtain a decomposition of the call option price for a very general stochastic volatility diffusion model, extending a previous decomposition formula for the Heston model. We realize that a new term arises when the stock price does not follow an exponential model. The techniques used for this purpose are nonanticipative. In particular, we also see that equivalent results can be obtained by using Functional Itô Calculus. Using the same generalizing ideas, we also extend to nonexponential models the alternative call option price decomposition formula written in terms of the Malliavin derivative of the volatility process. Finally, we give a general expression for the derivative of the implied volatility under both the anticipative and the nonanticipative cases.

  9. The Pricing of European Options Under the Constant Elasticity of Variance with Stochastic Volatility

    Science.gov (United States)

    Bock, Bounghun; Choi, Sun-Yong; Kim, Jeong-Hoon

    This paper considers a hybrid risky asset price model given by a constant elasticity of variance multiplied by a stochastic volatility factor. A multiscale analysis leads to an asymptotic pricing formula for both European vanilla option and a Barrier option near the zero elasticity of variance. The accuracy of the approximation is provided in a rigorous manner. A numerical experiment for implied volatilities shows that the hybrid model improves some of the well-known models in view of fitting the data for different maturities.

  10. The impact of crude oil price volatility on agricultural employment in the United States

    International Nuclear Information System (INIS)

    Uri, N.D.

    1996-01-01

    This study addresses the question of whether fluctuations in the price of crude oil have affected agricultural employment in the United States. After reviewing previous assessments of the issue, the existence of an empirical relationship between agricultural employment and crude oil price volatility is established using cointegration tests. Subsequently, the nature of the relationship is estimated with the results suggesting that at least three full years are required before the measurable impacts of a percentage change in the real price of crude oil on the change in agricultural employment are exhausted. Finally, the structural stability of the functional relationship between the change in agricultural employment and the volatility of the price of crude oil, the percentage changes in expected net farm income, realized technological innovation, and the wage rate is examined. (author)

  11. Fractional Black-Scholes option pricing, volatility calibration and implied Hurst exponents in South African context

    OpenAIRE

    Flint, Emlyn; Maré, Eben

    2017-01-01

    Background: Contingent claims on underlying assets are typically priced under a framework that assumes, inter alia, that the log returns of the underlying asset are normally distributed. However, many researchers have shown that this assumption is violated in practice. Such violations include the statistical properties of heavy tails, volatility clustering, leptokurtosis and long memory. This paper considers the pricing of contingent claims when the underlying is assumed to display long memor...

  12. Alternative interpretations of price-quality relations

    DEFF Research Database (Denmark)

    Hjorth-Andersen, Christian

    1992-01-01

    In a previous paper by Ratchford and Gupta price-quality relations are related to a measure of market efficiency. In this paper, alternative explanations are presented to the effect that one cannot conclude from a poor price-quality relation that the market is inefficient. Further, some...

  13. Study of Volatility of New Ship Building Prices in LNG Shipping

    Directory of Open Access Journals (Sweden)

    T. Bangar Raju

    2016-12-01

    Full Text Available The natural gas market has been expanding in size and has attracted particular attention across the global energy market. Although most natural gas transportation is carried out through pipelines, almost one third of it is done with the help of merchant vessels, capable of carrying liquefied natural gas. These LNG carriers have a special design and thus can be treated as a separate class of global fleet. New vessels are huge capital investments by vessel owning companies and just like other vessel classes; the new shipbuilding prices for the LNG segment continue to be a key aspect in the decision making of business players. Additionally these prices can be volatile as new ship building prices fluctuate with time. This paper attempts to analyse the volatility of new ship building prices of LNG carriers. For the study, the average ship building prices for all the LNG carriers having volume carrying capacity is between 160,000 – 173,000 cbm to be delivered between 2016 – 2019 were taken into account. For the analysis, GARCH and EGARCH methods were applied on the data set. The analysis concluded that there is a great deal of volatility in the new ship building prices of LNG vessels. It was also identified that negative shocks were more persistent the positive shocks.

  14. Forward curves, scarcity and price volatility in oil and natural gas markets

    International Nuclear Information System (INIS)

    Geman, Helyette; Ohana, Steve

    2009-01-01

    The role of inventory in explaining the shape of the forward curve and spot price volatility in commodity markets is central in the theory of storage developed by Kaldor [Kaldor, N. (1939) ''Speculation and Economic Stability'', The Review of Economic Studies 7, 1-27] and Working [Working, H. (1949) ''The theory of the price of storage'', American Economic Review, 39, 1254-1262] and has since been documented in a vast body of financial literature, including the reference paper by Fama and French [Fama, E.F. and K.R. French (1987) ''Commodity futures prices: some evidence on forecast power, premiums and the theory of storage'', Journal of Business 60, 55-73] on metals. The goal of this paper is twofold: 1. validate in the case of oil and natural gas the use of the slope of the forward curve as a proxy for inventory (the slope being defined in a way that filters out seasonality); 2. analyze directly for these two major commodities the relationship between inventory and price volatility. In agreement with the theory of storage, we find that: 1. the negative correlation between price volatility and inventory is globally significant for crude oil; 2. this negative correlation prevails only during those periods of scarcity when the inventory is below the historical average and increases importantly during the winter periods for natural gas. Our results are illustrated by the analysis of a 15 year-database of US oil and natural gas prices and inventory. (author)

  15. Incorporating the value of changes in price volatility into cost-benefit analysis-an application to oil prices in the transport sector

    DEFF Research Database (Denmark)

    Jensen, Thomas Christian; Møller, Flemming

    2010-01-01

    in the policy assessment taking into account the most significant correlations between prices of alternative fuels and between fuel prices and consumption in general. In the present paper, a method of valuing changes in price volatility based on portfolio theory is applied to some very simple transport...

  16. Statistical properties of country risk ratings under oil price volatility: Evidence from selected oil-exporting countries

    International Nuclear Information System (INIS)

    Liu, Chang; Sun, Xiaolei; Chen, Jianming; Li, Jianping

    2016-01-01

    This paper focuses on the application of panel models for identification and analysis of influence of oil price volatility on statistical properties of country risk ratings which stem from uncertainty of macroeconomic fluctuations. Firstly, two statistical properties of country risk ratings, volatility clustering and asymmetrical revision were identified in a theoretical framework based on Cruces (2006). Secondly, considering the oil price volatility, numerical experiments were conducted based on extended models to test and verify specific properties of country risk ratings in selected oil-exporting countries. Empirical results suggest that properties of country risk remain comparatively steady despite oil price volatility. It is also found that the oil price volatility can obviously exaggerate the country risk volatility, as it happened during 2007–2009. Country clustering based on the properties of country risk ratings shows that the selected countries maintain a significant clustering tendency. These features are of great importance for estimating risk exposure of international trade and investments in oil export during extreme situations. - Highlights: •Relationship between oil price volatility and country risk is the focus. •An extended model based on Cruces (2006) is proposed. •Volatility clustering and asymmetrical revision of country risk ratings is explored. •Oil price volatility can obviously exaggerate properties of country risk volatility.

  17. Market-oriented ethanol and corn-trade policies can reduce climate-induced US corn price volatility

    International Nuclear Information System (INIS)

    Verma, Monika; Diffenbaugh, Noah; Hertel, Thomas

    2014-01-01

    Agriculture is closely affected by climate. Over the past decade, biofuels have emerged as another important factor shaping the agricultural sector. We ask whether the presence of the US ethanol sector can play a role in moderating increases in US corn price variability, projected to occur in response to near-term global warming. Our findings suggest that the answer to this question depends heavily on the underlying forces shaping the ethanol industry. If mandate-driven, there is little doubt that the presence of the corn-ethanol sector will exacerbate price volatility. However, if market-driven, then the emergence of the corn-ethanol sector can be a double-edged sword for corn price volatility, possibly cushioning the impact of increased climate driven supply volatility, but also inheriting volatility from the newly integrated energy markets via crude oil price fluctuations. We find that empirically the former effect dominates, reducing price volatility by 27%. In contrast, mandates on ethanol production increase future price volatility by 54% in under future climate after 2020. We also consider the potential for liberalized international corn trade to cushion corn price volatility in the US. Our results suggest that allowing corn to move freely internationally serves to reduce the impact of near-term climate change on US corn price volatility by 8%. (letter)

  18. Market-oriented ethanol and corn-trade policies can reduce climate-induced US corn price volatility

    Science.gov (United States)

    Verma, Monika; Hertel, Thomas; Diffenbaugh, Noah

    2014-05-01

    Agriculture is closely affected by climate. Over the past decade, biofuels have emerged as another important factor shaping the agricultural sector. We ask whether the presence of the US ethanol sector can play a role in moderating increases in US corn price variability, projected to occur in response to near-term global warming. Our findings suggest that the answer to this question depends heavily on the underlying forces shaping the ethanol industry. If mandate-driven, there is little doubt that the presence of the corn-ethanol sector will exacerbate price volatility. However, if market-driven, then the emergence of the corn-ethanol sector can be a double-edged sword for corn price volatility, possibly cushioning the impact of increased climate driven supply volatility, but also inheriting volatility from the newly integrated energy markets via crude oil price fluctuations. We find that empirically the former effect dominates, reducing price volatility by 27%. In contrast, mandates on ethanol production increase future price volatility by 54% in under future climate after 2020. We also consider the potential for liberalized international corn trade to cushion corn price volatility in the US. Our results suggest that allowing corn to move freely internationally serves to reduce the impact of near-term climate change on US corn price volatility by 8%.

  19. Volatilities, traded volumes, and the hypothesis of price increments in derivative securities

    Science.gov (United States)

    Lim, Gyuchang; Kim, SooYong; Scalas, Enrico; Kim, Kyungsik

    2007-08-01

    A detrended fluctuation analysis (DFA) is applied to the statistics of Korean treasury bond (KTB) futures from which the logarithmic increments, volatilities, and traded volumes are estimated over a specific time lag. In this study, the logarithmic increment of futures prices has no long-memory property, while the volatility and the traded volume exhibit the existence of the long-memory property. To analyze and calculate whether the volatility clustering is due to a inherent higher-order correlation not detected by with the direct application of the DFA to logarithmic increments of KTB futures, it is of importance to shuffle the original tick data of future prices and to generate a geometric Brownian random walk with the same mean and standard deviation. It was found from a comparison of the three tick data that the higher-order correlation inherent in logarithmic increments leads to volatility clustering. Particularly, the result of the DFA on volatilities and traded volumes can be supported by the hypothesis of price changes.

  20. A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures

    DEFF Research Database (Denmark)

    Andersen, Torben G.; Bollerslev, Tim; Huang, Xin

    Building on realized variance and bi-power variation measures constructed from high-frequency financial prices, we propose a simple reduced form framework for effectively incorporating intraday data into the modeling of daily return volatility. We decompose the total daily return variability...

  1. The Economics of Biofuel Policies. Impacts on Price Volatility in Grain and Oilseed Markets

    NARCIS (Netherlands)

    Gorter, de H.; Drabik, D.

    2015-01-01

    The global food crises of 2008 and 2010 and the increased price volatility revolve around biofuels policies and their interaction with each other, farm policies and between countries. The Economics of Biofuel Policies focuses on the role of biofuel policies in creating turmoil in the world grains

  2. Price and volatility transmissions between natural gas, fertilizer, and corn markets

    NARCIS (Netherlands)

    Etienne, Xiaoli Liao; Trujillo-Barrera, Andrés; Wiggins, Seth

    2016-01-01

    Purpose – The purpose of this paper is to investigate the price and volatility transmission between natural gas, fertilizer (ammonia), and corn markets, an issue that has been traditionally ignored in the literature despite its significant importance. Design/methodology/approach – The authors

  3. Pricing stock options under stochastic volatility and interest rates with efficient method of moments estimation

    NARCIS (Netherlands)

    Jiang, George J.; Sluis, Pieter J. van der

    1999-01-01

    While the stochastic volatility (SV) generalization has been shown to improve the explanatory power over the Black-Scholes model, empirical implications of SV models on option pricing have not yet been adequately tested. The purpose of this paper is to first estimate a multivariate SV model using

  4. The Volatility of Oil Prices on Stock Exchanges in the Context of Recent Events

    Directory of Open Access Journals (Sweden)

    Popescu Maria-Floriana

    2016-04-01

    Full Text Available Oil along with currencies and gold are the main indicators of the most important processes which take place in the world economy, quotations’ volatility being always followed by economic and social events. Quiet periods of oil prices, when quotations have a constant evolution or only suffer minor fluctuations, are very rare. Most of the time, very sharp price increases or decreases are happening over night or week. This is mostly due to the fact that the oil market is extremely speculative, being influenced by political, military, social, or meteorological events. Since the major oil price shocks of the 70s, the impact of oil price changes on the economic reality of a country or region has been widely studied by academic researchers. Moreover, the stock market plays an important role in the economic welfare and development of a country. Therefore, a vast number of studies have investigated the relationship between oil prices and stock market returns, being discovered significant effects of oil price shocks on the macroeconomic activity for both developed and emerging countries. The purpose of this study is to investigate the volatility of oil prices on stock exchanges taking into consideration the recent events that have affected the oil markets around the globe. Furthermore, based on the findings of this research, some possible scenarios will be developed, taking into account various events that might take place and their potential outcome for oil prices’ future.

  5. Level Shifts in Volatility and the Implied-Realized Volatility Relation

    DEFF Research Database (Denmark)

    Christensen, Bent Jesper; de Magistris, Paolo Santucci

    We propose a simple model in which realized stock market return volatility and implied volatility backed out of option prices are subject to common level shifts corresponding to movements between bull and bear markets. The model is estimated using the Kalman filter in a generalization to the mult......We propose a simple model in which realized stock market return volatility and implied volatility backed out of option prices are subject to common level shifts corresponding to movements between bull and bear markets. The model is estimated using the Kalman filter in a generalization...... to the multivariate case of the univariate level shift technique by Lu and Perron (2008). An application to the S&P500 index and a simulation experiment show that the recently documented empirical properties of strong persistence in volatility and forecastability of future realized volatility from current implied...... volatility, which have been interpreted as long memory (or fractional integration) in volatility and fractional cointegration between implied and realized volatility, are accounted for by occasional common level shifts....

  6. How Volatilities Nonlocal in Time Affect the Price Dynamics in Complex Financial Systems

    Science.gov (United States)

    Tan, Lei; Zheng, Bo; Chen, Jun-Jie; Jiang, Xiong-Fei

    2015-01-01

    What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made, it remains challenging. Physicists usually apply the concepts and methods in statistical physics, such as temporal correlation functions, to study financial dynamics. However, the usual volatility-return correlation function, which is local in time, typically fluctuates around zero. Here we construct dynamic observables nonlocal in time to explore the volatility-return correlation, based on the empirical data of hundreds of individual stocks and 25 stock market indices in different countries. Strikingly, the correlation is discovered to be non-zero, with an amplitude of a few percent and a duration of over two weeks. This result provides compelling evidence that past volatilities nonlocal in time affect future returns. Further, we introduce an agent-based model with a novel mechanism, that is, the asymmetric trading preference in volatile and stable markets, to understand the microscopic origin of the volatility-return correlation nonlocal in time. PMID:25723154

  7. How volatilities nonlocal in time affect the price dynamics in complex financial systems.

    Directory of Open Access Journals (Sweden)

    Lei Tan

    Full Text Available What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made, it remains challenging. Physicists usually apply the concepts and methods in statistical physics, such as temporal correlation functions, to study financial dynamics. However, the usual volatility-return correlation function, which is local in time, typically fluctuates around zero. Here we construct dynamic observables nonlocal in time to explore the volatility-return correlation, based on the empirical data of hundreds of individual stocks and 25 stock market indices in different countries. Strikingly, the correlation is discovered to be non-zero, with an amplitude of a few percent and a duration of over two weeks. This result provides compelling evidence that past volatilities nonlocal in time affect future returns. Further, we introduce an agent-based model with a novel mechanism, that is, the asymmetric trading preference in volatile and stable markets, to understand the microscopic origin of the volatility-return correlation nonlocal in time.

  8. Volatile behaviour of enrichment uranium in the total nuclear fuel price

    International Nuclear Information System (INIS)

    Arnaiz, J.; Inchausti, J. M.; Tarin, F.

    2004-01-01

    In this article the historical high volatile behaviour of the total nuclear fuel price is evaluated quantitatively and it is concluded that it has been due mainly to the fluctuations of the price of the principal components of enriched uranium (concentrates and enrichment). In order to avoid the negative effects of this volatiles behaviour as far as possible, a basic strategy in the uranium procurement activities is recommended (union of buyers, diversification of supplier, stock management, optimisation of contract portfolio and suitable currency management that guarantees a reliable uranium supply at reasonable prices. These guidelines are those that ENUSA has been following on behalf of the Spanish Utilities in the Commission of Uranium Procurement (CAU in Spanish). (Author) 11 refs

  9. Free Cash-Flow, Issuance Costs and Stock Price Volatility

    OpenAIRE

    Décamps, Jean-Paul; Mariotti, Thomas; Rochet, Jean-Charles; Villeneuve, Stéphane

    2008-01-01

    We study the issuance and payout policies that maximize the value of a firm facing both agency costs of free cash-flow and external financing costs. We find that the firm optimally issues equity. Equity distributes no dividends until a target cash level is reached, while new equity is issued when the firm runs out of cash. We characterize the process modelling the number of outstanding shares and the dynamics of the stock prices. In line with the leverage effect identified by Black (1976), we...

  10. Price volatility, hedging and variable risk premium in the crude oil market

    International Nuclear Information System (INIS)

    Ahmad Jalali-Naini; Maryam Kazemi Manesh

    2006-01-01

    The crude oil price exhibits a high degree of volatility which varies significantly over time. Such characteristics imply that the oil market is a promising area for testing volatility models. Testing and predicting volatility using ARCH and GARCH models have grown in the literature. A useful application of the volatility models is in the formulation of hedging strategies. In this paper we compare the optimal hedge ratio for the crude oil using the classical minimum risk approach and use ARCH to incorporate the effect of heteroskedasticity in the residuals on the hedge ratio. In addition, we test for the existence of a variable risk premium in the crude oil market. We find that, assuming rational expectations, there is a non-zero risk premium. We test for the variability of the risk premia and find evidence in its support when we employed a multivariate GARCH model. (author)

  11. Relating price strategies and price-setting practices

    NARCIS (Netherlands)

    Ingenbleek, P.T.M.; Lans, van der I.A.

    2013-01-01

    Purpose - This article addresses the relationship between price strategies and price-setting practices. The first derive from a normative tradition in the pricing literature and the latter from a descriptive tradition. Price strategies are visible in the market, whereas price-setting practices are

  12. Scaling and volatility of breakouts and breakdowns in stock price dynamics.

    Science.gov (United States)

    Liu, Lu; Wei, Jianrong; Huang, Jiping

    2013-01-01

    Because the movement of stock prices is not only ubiquitous in financial markets but also crucial for investors, extensive studies have been done to understand the law behind it. In particular, since the financial crisis in 2008, researchers have a more interest in investigating large market volatilities in order to grasp changing market trends. In this work, we analyze the breakouts and breakdowns of both the Standard & Poor's 500 Index in the US stock market and the Shanghai Composite Index in the Chinese stock market. The breakout usually represents an ongoing upward trend in technical analysis while the breakdown represents an ongoing downward trend. Based on the renormalization method, we introduce two parameters to quantize breakouts and breakdowns, respectively. We discover scaling behavior, characterized by power-law distributions for both the breakouts and breakdowns in the two financial markets with different power-law exponents, which reflect different market volatilities. In detail, the market volatility for breakdowns is usually larger than that for breakouts. Moreover, as an emerging market, the Chinese stock market has larger market volatilities for both the breakouts and breakdowns than the US stock market (a mature market). Further, the short-term volatilities show similar features for both the US stock market and the Chinese stock market. However, the medium-term volatilities in the US stock market are almost symmetrical for the breakouts and breakdowns, whereas those in the Chinese stock market appear to be asymmetrical for the breakouts and breakdowns. The methodology presented here provides a way to understand scaling and hence volatilities of breakouts and breakdowns in stock price dynamics. Our findings not only reveal the features of market volatilities but also make a comparison between mature and emerging financial markets.

  13. Scaling and volatility of breakouts and breakdowns in stock price dynamics.

    Directory of Open Access Journals (Sweden)

    Lu Liu

    Full Text Available BACKGROUND: Because the movement of stock prices is not only ubiquitous in financial markets but also crucial for investors, extensive studies have been done to understand the law behind it. In particular, since the financial crisis in 2008, researchers have a more interest in investigating large market volatilities in order to grasp changing market trends. METHODOLOGY/PRINCIPAL FINDINGS: In this work, we analyze the breakouts and breakdowns of both the Standard & Poor's 500 Index in the US stock market and the Shanghai Composite Index in the Chinese stock market. The breakout usually represents an ongoing upward trend in technical analysis while the breakdown represents an ongoing downward trend. Based on the renormalization method, we introduce two parameters to quantize breakouts and breakdowns, respectively. We discover scaling behavior, characterized by power-law distributions for both the breakouts and breakdowns in the two financial markets with different power-law exponents, which reflect different market volatilities. In detail, the market volatility for breakdowns is usually larger than that for breakouts. Moreover, as an emerging market, the Chinese stock market has larger market volatilities for both the breakouts and breakdowns than the US stock market (a mature market. Further, the short-term volatilities show similar features for both the US stock market and the Chinese stock market. However, the medium-term volatilities in the US stock market are almost symmetrical for the breakouts and breakdowns, whereas those in the Chinese stock market appear to be asymmetrical for the breakouts and breakdowns. CONCLUSIONS/SIGNIFICANCE: The methodology presented here provides a way to understand scaling and hence volatilities of breakouts and breakdowns in stock price dynamics. Our findings not only reveal the features of market volatilities but also make a comparison between mature and emerging financial markets.

  14. Theft in Price-Volatile Markets: On the Relationship between Copper Price and Copper Theft

    OpenAIRE

    Sidebottom, A.; Belur, J.; Bowers, K.; Tompson, L.; Johnson, S. D.

    2011-01-01

    Recently, against a backdrop of general reductions in acquisitive crime, increases have been observed in the frequency of metal theft offences. This is generally attributed to increases in metal prices in response to global demand exceeding supply. The main objective of this article was to examine the relationship between the price of copper and levels of copper theft, focusing specifically on copper cable theft from the British railway network. Results indicated a significant positive correl...

  15. A discontinuous Galerkin method for numerical pricing of European options under Heston stochastic volatility

    Science.gov (United States)

    Hozman, J.; Tichý, T.

    2016-12-01

    The paper is based on the results from our recent research on multidimensional option pricing problems. We focus on European option valuation when the price movement of the underlying asset is driven by a stochastic volatility following a square root process proposed by Heston. The stochastic approach incorporates a new additional spatial variable into this model and makes it very robust, i.e. it provides a framework to price a variety of options that is closer to reality. The main topic is to present the numerical scheme arising from the concept of discontinuous Galerkin methods and applicable to the Heston option pricing model. The numerical results are presented on artificial benchmarks as well as on reference market data.

  16. Finite Volume Method for Pricing European Call Option with Regime-switching Volatility

    Science.gov (United States)

    Lista Tauryawati, Mey; Imron, Chairul; Putri, Endah RM

    2018-03-01

    In this paper, we present a finite volume method for pricing European call option using Black-Scholes equation with regime-switching volatility. In the first step, we formulate the Black-Scholes equations with regime-switching volatility. we use a finite volume method based on fitted finite volume with spatial discretization and an implicit time stepping technique for the case. We show that the regime-switching scheme can revert to the non-switching Black Scholes equation, both in theoretical evidence and numerical simulations.

  17. The analysis of volatility of gold coin price fluctuations in Iran using ARCH & VAR models

    Directory of Open Access Journals (Sweden)

    Younos Vakilolroaya

    2014-03-01

    Full Text Available The aim of this study is to investigate the changes in gold price and modeling of its return volatility and conditional variance model. The study gathers daily prices of gold coins as the dependent variable and the price of gold in world market, the price of oil in OPEC, exchange rate USD to IRR and index of Tehran Stock Exchange from March 2007 to July 2013 and using ARCH family models and VAR methods, the study analysis the data. The study first examines whether the data are stationary or not and then it reviews the household stability, Arch and Garch models. The proposed study investigates the causality among variables, selects different factors, which could be blamed of uncertainty in the coin return. The results indicate that the effect of sudden changes of standard deviation and after a 14-day period disappears and gold price goes back to its initial position. In addition, in this study we observe the so-called leverage effect in Iran’s Gold coin market, which means the good news leads to more volatility in futures market than bad news in an equal size. Finally, the result of analysis of variance implies that in the short-term, a large percentage change in uncertainty of the coin return is due to changes in the same factors and volatility of stock returns in the medium term, global gold output, oil price and exchange rate fluctuation to some extent will show the impact. In the long run, the effects of parameters are more evident.

  18. Forward curves, scarcity and price volatility in oil and natural gas markets

    Energy Technology Data Exchange (ETDEWEB)

    Geman, Helyette [Birkbeck, University of London (United Kingdom); ESCP-EAP (France); Ohana, Steve [ESCP-EAP (France)

    2009-07-15

    The role of inventory in explaining the shape of the forward curve and spot price volatility in commodity markets is central in the theory of storage developed by Kaldor [Kaldor, N. (1939) ''Speculation and Economic Stability'', The Review of Economic Studies 7, 1-27] and Working [Working, H. (1949) ''The theory of the price of storage'', American Economic Review, 39, 1254-1262] and has since been documented in a vast body of financial literature, including the reference paper by Fama and French [Fama, E.F. and K.R. French (1987) ''Commodity futures prices: some evidence on forecast power, premiums and the theory of storage'', Journal of Business 60, 55-73] on metals. The goal of this paper is twofold: 1. validate in the case of oil and natural gas the use of the slope of the forward curve as a proxy for inventory (the slope being defined in a way that filters out seasonality); 2. analyze directly for these two major commodities the relationship between inventory and price volatility. In agreement with the theory of storage, we find that: 1. the negative correlation between price volatility and inventory is globally significant for crude oil; 2. this negative correlation prevails only during those periods of scarcity when the inventory is below the historical average and increases importantly during the winter periods for natural gas. Our results are illustrated by the analysis of a 15 year-database of US oil and natural gas prices and inventory. (author)

  19. Modeling agricultural commodity prices and volatility in response to anticipated climate change

    Science.gov (United States)

    Lobell, D. B.; Tran, N.; Welch, J.; Roberts, M.; Schlenker, W.

    2012-12-01

    Food prices have shown a positive trend in the past decade, with episodes of rapid increases in 2008 and 2011. These increases pose a threat to food security in many regions of the world, where the poor are generally net consumers of food, and are also thought to increase risks of social and political unrest. The role of global warming in these price reversals have been debated, but little quantitative work has been done. A particular challenge in modeling these effects is that they require understanding links between climate and food supply, as well as between food supply and prices. Here we combine the anticipated effects of climate change on yield levels and volatility with an empirical competitive storage model to examine how expected climate change might affect prices and social welfare in the international food commodity market. We show that price level and volatility do increase over time in response to decreasing yield, and increasing yield variability. Land supply and storage demand both increase, but production and consumption continue to fall leading to a decrease in consumer surplus, and a corresponding though smaller increase in producer surplus.

  20. Equilibrium Asset and Option Pricing under Jump-Diffusion Model with Stochastic Volatility

    Directory of Open Access Journals (Sweden)

    Xinfeng Ruan

    2013-01-01

    Full Text Available We study the equity premium and option pricing under jump-diffusion model with stochastic volatility based on the model in Zhang et al. 2012. We obtain the pricing kernel which acts like the physical and risk-neutral densities and the moments in the economy. Moreover, the exact expression of option valuation is derived by the Fourier transformation method. We also discuss the relationship of central moments between the physical measure and the risk-neutral measure. Our numerical results show that our model is more realistic than the previous model.

  1. Estimation of stochastic volatility with long memory for index prices of FTSE Bursa Malaysia KLCI

    Energy Technology Data Exchange (ETDEWEB)

    Chen, Kho Chia; Kane, Ibrahim Lawal; Rahman, Haliza Abd [Department of Mathematical Sciences, Faculty of Science, Universiti Teknologi Malaysia, 81310, Johor Bahru (Malaysia); Bahar, Arifah [UTM Centre for Industrial and Applied Mathematics (UTM-CIAM), Universiti Teknologi Malaysia, 81310, Johor Bahru and Department of Mathematical Sciences, Faculty of Science, Universiti Teknologi Malaysia, 81310, Johor Bahru (Malaysia); Ting, Chee-Ming [Center for Biomedical Engineering, Universiti Teknologi Malaysia, 81310, Johor Bahru (Malaysia)

    2015-02-03

    In recent years, modeling in long memory properties or fractionally integrated processes in stochastic volatility has been applied in the financial time series. A time series with structural breaks can generate a strong persistence in the autocorrelation function, which is an observed behaviour of a long memory process. This paper considers the structural break of data in order to determine true long memory time series data. Unlike usual short memory models for log volatility, the fractional Ornstein-Uhlenbeck process is neither a Markovian process nor can it be easily transformed into a Markovian process. This makes the likelihood evaluation and parameter estimation for the long memory stochastic volatility (LMSV) model challenging tasks. The drift and volatility parameters of the fractional Ornstein-Unlenbeck model are estimated separately using the least square estimator (lse) and quadratic generalized variations (qgv) method respectively. Finally, the empirical distribution of unobserved volatility is estimated using the particle filtering with sequential important sampling-resampling (SIR) method. The mean square error (MSE) between the estimated and empirical volatility indicates that the performance of the model towards the index prices of FTSE Bursa Malaysia KLCI is fairly well.

  2. Estimation of stochastic volatility with long memory for index prices of FTSE Bursa Malaysia KLCI

    Science.gov (United States)

    Chen, Kho Chia; Bahar, Arifah; Kane, Ibrahim Lawal; Ting, Chee-Ming; Rahman, Haliza Abd

    2015-02-01

    In recent years, modeling in long memory properties or fractionally integrated processes in stochastic volatility has been applied in the financial time series. A time series with structural breaks can generate a strong persistence in the autocorrelation function, which is an observed behaviour of a long memory process. This paper considers the structural break of data in order to determine true long memory time series data. Unlike usual short memory models for log volatility, the fractional Ornstein-Uhlenbeck process is neither a Markovian process nor can it be easily transformed into a Markovian process. This makes the likelihood evaluation and parameter estimation for the long memory stochastic volatility (LMSV) model challenging tasks. The drift and volatility parameters of the fractional Ornstein-Unlenbeck model are estimated separately using the least square estimator (lse) and quadratic generalized variations (qgv) method respectively. Finally, the empirical distribution of unobserved volatility is estimated using the particle filtering with sequential important sampling-resampling (SIR) method. The mean square error (MSE) between the estimated and empirical volatility indicates that the performance of the model towards the index prices of FTSE Bursa Malaysia KLCI is fairly well.

  3. Estimation of stochastic volatility with long memory for index prices of FTSE Bursa Malaysia KLCI

    International Nuclear Information System (INIS)

    Chen, Kho Chia; Kane, Ibrahim Lawal; Rahman, Haliza Abd; Bahar, Arifah; Ting, Chee-Ming

    2015-01-01

    In recent years, modeling in long memory properties or fractionally integrated processes in stochastic volatility has been applied in the financial time series. A time series with structural breaks can generate a strong persistence in the autocorrelation function, which is an observed behaviour of a long memory process. This paper considers the structural break of data in order to determine true long memory time series data. Unlike usual short memory models for log volatility, the fractional Ornstein-Uhlenbeck process is neither a Markovian process nor can it be easily transformed into a Markovian process. This makes the likelihood evaluation and parameter estimation for the long memory stochastic volatility (LMSV) model challenging tasks. The drift and volatility parameters of the fractional Ornstein-Unlenbeck model are estimated separately using the least square estimator (lse) and quadratic generalized variations (qgv) method respectively. Finally, the empirical distribution of unobserved volatility is estimated using the particle filtering with sequential important sampling-resampling (SIR) method. The mean square error (MSE) between the estimated and empirical volatility indicates that the performance of the model towards the index prices of FTSE Bursa Malaysia KLCI is fairly well

  4. Modeling the return and volatility of the Greek electricity marginal system price

    International Nuclear Information System (INIS)

    Theodorou, Petros; Karyampas, Dimitrios

    2008-01-01

    Traditional cost based optimization models (WASP) for expansion planning do not allow for mark-to-market valuation and cannot satisfy arbitrage free requirements. This work will fill this gap by developing and estimating models for mark-to-market valuation. Furthermore the present paper examines the return and volatility of the newly born Greek's electricity market's marginal system price. A detailed description of the market mechanism and regulation is used to describe how prices are determined in order to proceed with return and volatility modeling. Continuous time mean reverting and time varying mean reverting stochastic processes have been solved in discrete time processes and estimated econometrically along with ARMAX and GARCH models. It was found that GARCH model gave much better estimation and forecasting ability. Strong persistence in mean has been found giving suspicions of market inefficiency and strong incentives for arbitrage opportunities. Finally, the change in the regulatory framework has been controlled and found to have significant impact. (author)

  5. Computational intelligence applications to option pricing, volatility forecasting and value at risk

    CERN Document Server

    Mostafa, Fahed; Chang, Elizabeth

    2017-01-01

    The results in this book demonstrate the power of neural networks in learning complex behavior from the underlying financial time series data . The results in this book also demonstrate how neural networks can successfully be applied to volatility modeling, option pricings, and value at risk modeling. These features allow them to be applied to market risk problems to overcome classical issues associated with statistical models. .

  6. Governança corporativa: nível de evidenciação das informações e sua relação com a volatilidade das ações do Ibovespa Corporate governance: information disclosure level and its relation with the stock price volatility on Ibovespa

    Directory of Open Access Journals (Sweden)

    Mara Jane Contrera Malacrida

    2006-08-01

    Full Text Available Este estudo busca analisar se o nível de evidenciação de informações contábeis, apresentadas pelas empresas componentes do Ibovespa, influencia a volatilidade do retorno de suas ações quando negociadas na Bolsa de Valores de São Paulo, pois se espera que empresas com maior nível de evidenciação apresentem menor volatilidade dos retornos de suas ações. Para efetuar a análise entre o nível de evidenciação e a volatilidade do retorno das ações, fez-se necessária a coleta das informações publicadas por 42 empresas pertencentes ao Ibovespa, através dos relatórios anuais referentes ao exercício de 2002. Após segregar essas companhias em 3 grupos distintos, de acordo com seus níveis específicos de evidenciação, foram aplicados testes estatísticos com o propósito de se verificar a existência de diferenças significativas entre o nível de evidenciação das empresas e a volatilidade do retorno das suas ações. Este estudo caracteriza-se como empírico-analítico, e as análises possibilitaram a constatação de que as empresas com maior nível médio de evidenciação das informações contábeis apresentam menor volatilidade média dos retornos das ações; as empresas com menor nível médio de evidenciação das informações contábeis apresentam maior volatilidade média dos retornos das ações. Com isso, verifica-se que maior nível médio de evidenciação resulta em menor volatilidade média dos retornos das ações.This empirical-analytical study investigates the role of accounting as a source of information to the Brazilian capital market. It aims to verify whether the accounting disclosure level provided by Brazilian entities is related to the volatility of their share prices on Bovespa (Brazilian Stock Exchange. Entities with greater accounting disclosure level are expected to present lower volatility of their stock returns. To analyze the relation between disclosure level and stock price volatility, we

  7. Pricing of American Put Option under a Jump Diffusion Process with Stochastic Volatility in an Incomplete Market

    Directory of Open Access Journals (Sweden)

    Shuang Li

    2014-01-01

    Full Text Available We study the pricing of American options in an incomplete market in which the dynamics of the underlying risky asset is driven by a jump diffusion process with stochastic volatility. By employing a risk-minimization criterion, we obtain the Radon-Nikodym derivative for the minimal martingale measure and consequently a linear complementarity problem (LCP for American option price. An iterative method is then established to solve the LCP problem for American put option price. Our numerical results show that the model and numerical scheme are robust in capturing the feature of incomplete finance market, particularly the influence of market volatility on the price of American options.

  8. Homotopy Analysis Method for Boundary-Value Problem of Turbo Warrant Pricing under Stochastic Volatility

    Directory of Open Access Journals (Sweden)

    Hoi Ying Wong

    2013-01-01

    Full Text Available Turbo warrants are liquidly traded financial derivative securities in over-the-counter and exchange markets in Asia and Europe. The structure of turbo warrants is similar to barrier options, but a lookback rebate will be paid if the barrier is crossed by the underlying asset price. Therefore, the turbo warrant price satisfies a partial differential equation (PDE with a boundary condition that depends on another boundary-value problem (BVP of PDE. Due to the highly complicated structure of turbo warrants, their valuation presents a challenging problem in the field of financial mathematics. This paper applies the homotopy analysis method to construct an analytic pricing formula for turbo warrants under stochastic volatility in a PDE framework.

  9. Quantifying the value that wind power provides as a hedge against volatile natural gas prices

    Energy Technology Data Exchange (ETDEWEB)

    Bolinger, Mark; Wiser, Ryan; Golove, William

    2002-05-31

    Advocates of renewable energy have long argued that wind power and other renewable technologies can mitigate fuel price risk within a resource portfolio. Such arguments--made with renewed vigor in the wake of unprecedented natural gas price volatility during the winter of 2000/2001--have mostly been qualitative in nature, however, with few attempts to actually quantify the price stability benefit that wind and other renewables provide. This paper attempts to quantify this benefit by equating it with the cost of achieving price stability through other means, particularly gas-based financial derivatives (futures and swaps). We find that over the past two years, natural gas consumers have had to pay a premium of roughly 0.50 cents/kWh over expected spot prices to lock in natural gas prices for the next 10 years. This incremental cost is potentially large enough to tip the scales away from new investments in natural gasfired generation and in favor of investments in wind power and other renewable technologies.

  10. Investigating banks’ financial structure on profitability and price volatility of banks’ shares: Evidence from Tehran Stock Exchange

    OpenAIRE

    Zeinab Mirzaei; Mohsen Hamidian; Mohammad Khodaei Valahzaghard

    2014-01-01

    This paper presents an empirical investigation to study the relationship between financial structure on profitability and price volatility of banks’ shares, which are operating in Iran. The proposed study considers the information of 21 Iranian banks over the period 2006-2012. Using some regression techniques, the study has determined that there was a negative relationship between leverage and return on assets but there was not any meaningful relationship between leverage and price volatility...

  11. Examining the Impact of Corporate Dividend Policy On Stock Price Volatility In Singapore : Does Financial Crisis Matter?

    OpenAIRE

    Hussain, Muhammad Asjad

    2016-01-01

    One of the most puzzling and widely researched topics in the field of corporate finance is corporate dividend policy and the probable impact it has on firms’ stock price volatility. Despite years of research and extensive empirical examination of the dividend policy-stock price volatility linkage, conflicting evidence across a multitude of studies implies that no solid conclusion regarding the veracity and validity of this relationship has yet been reached. Furthermore, there is a dearth of s...

  12. Dynamic Relation Mechanism between Cotton Future Price and Stock Price of Related Listed Companies

    Institute of Scientific and Technical Information of China (English)

    2011-01-01

    The Dynamic relation mechanism between ZCE cotton futures price and related listed company stock price has been studied based on the metastock historical data in January 1st,2007 to September 1st,2010,Johansen co-integration analysis,Vector error correction model,Granger causality test and variance decomposition method.The results indicated that:long-term equilibrium relationship existed between ZCE cotton futures price and Xinsai share stock price while which changed in the same tendency and speed in the long-term.Cotton futures price is the main reason for the changing of Xinsai share stock price.The lead-lag relationship in changing course had been confirmed that existed between ZCE cotton futures price and the Xinsai share stock price.Meanwhile,the forward pass mechanism of price changing information had been found only from the ZCE cotton futures market to the stock market while showing asymmetry.Conclusions of the study can be used for cotton and related corporate to hedge business risks by the cotton price changes.

  13. Effects of interest rate, exchange rate and their volatilities on stock prices: evidence from banking industry of Pakistan

    Directory of Open Access Journals (Sweden)

    Syed Tehseen JAWAID

    2012-08-01

    Full Text Available This study investigates the effects of exchange rate, interest rates, and their volatilities on stock prices of banking industry of Pakistan. Cointegration results suggests the existance of significant negative long run relationship between exchange rate and short term interest rate with stock prices. On the other hand, positive and significant relationship exists between volatilities of exchange rate and interest rate with stock prices. Causality analysis confirms bidirectional causality between exchange rate and stock prices. Whereas, unidirectional causality runs from short term interest rate to stock prices. Sensitivity analysis confirms that the results are robust. It is suggested that investors should invest in banking sector stocks when exchange rate and interest rates are highly volatile. The result also supports the view that exchange rate and interest rate can be used as an indicator for investment decision making in banking sector stocks.

  14. Role of Exchange Rate Volatility in Exchange Rate Pass-Through to Import Prices: Some Evidence from Japan

    OpenAIRE

    Guneratne Banda Wickremasinghe; Param Silvapulle

    2004-01-01

    This paper investigates the effect of exchange rate volatility on the degree of exchange rate pass-through in Japan for the period January 1975 to June 1997. Although several studies put forward theoretical arguments for the volatility-domestic import price relationship, only a very few studies produced empirical evidence. The volatility of contractual currency based exchange rate index returns was modelled using GARCH-type processes with skewed student t-distribution, capturing the typical n...

  15. Stochastic price modeling of high volatility, mean-reverting, spike-prone commodities: The Australian wholesale spot electricity market

    International Nuclear Information System (INIS)

    Higgs, Helen; Worthington, Andrew

    2008-01-01

    It is commonly known that wholesale spot electricity markets exhibit high price volatility, strong mean-reversion and frequent extreme price spikes. This paper employs a basic stochastic model, a mean-reverting model and a regime-switching model to capture these features in the Australian national electricity market (NEM), comprising the interconnected markets of New South Wales, Queensland, South Australia and Victoria. Daily spot prices from 1 January 1999 to 31 December 2004 are employed. The results show that the regime-switching model outperforms the basic stochastic and mean-reverting models. Electricity prices are also found to exhibit stronger mean-reversion after a price spike than in the normal period, and price volatility is more than fourteen times higher in spike periods than in normal periods. The probability of a spike on any given day ranges between 5.16% in NSW and 9.44% in Victoria

  16. A DG approach to the numerical solution of the Stein-Stein stochastic volatility option pricing model

    Science.gov (United States)

    Hozman, J.; Tichý, T.

    2017-12-01

    Stochastic volatility models enable to capture the real world features of the options better than the classical Black-Scholes treatment. Here we focus on pricing of European-style options under the Stein-Stein stochastic volatility model when the option value depends on the time, on the price of the underlying asset and on the volatility as a function of a mean reverting Orstein-Uhlenbeck process. A standard mathematical approach to this model leads to the non-stationary second-order degenerate partial differential equation of two spatial variables completed by the system of boundary and terminal conditions. In order to improve the numerical valuation process for a such pricing equation, we propose a numerical technique based on the discontinuous Galerkin method and the Crank-Nicolson scheme. Finally, reference numerical experiments on real market data illustrate comprehensive empirical findings on options with stochastic volatility.

  17. Auditor Tenure and Stock Price Volatility: TheModerating Role of Auditor Industry Specialization

    Directory of Open Access Journals (Sweden)

    Mehran Jorjani

    2018-04-01

    Full Text Available Purpose The present study aims to investigate the relationship between auditor tenure and stock return volatility and to study the moderating effect of auditor’s industry specialization on this relationship in the firms listed on the Tehran Stock Exchange (TSE. Design/methodology/approach A sample of 95 companies listed on the Tehran Stock Exchange during the period 2011 to 2015 was selected and two hypotheses were formulated and analyzed using multivariate regression and econometric models. Findings The results of the study indicate that with the increase of auditor tenure, the volatility of stock returns is reduced. However, the results showed that the use of auditors specializing in the client's industry does not affect the relationship between the length of auditor tenure and the volatility of stock returns. Originality/value The findings of current study not only extend the extant theoretical literature concerning the stock price volatility in developing countries including emerging capital market of Iran, but also help investors, capital market and audit profession regulators to make informed decisions.

  18. Papers of the 2. annual Canadian Institute conference on managing natural gas price volatility : effective risk strategies for turbulent times

    International Nuclear Information System (INIS)

    2002-01-01

    The issue of how natural gas price volatility is affecting future energy projects was the focus of this conference. Discussions focused on the dynamics of supply and demand of natural gas in North America and how end-users are responding to price fluctuations. Methods by which storage can be used as an effective risk management tool was also on the agenda. The hedging strategies that work best for leading energy firms were described. It was noted that price volatility can be reduced through improved market transparency. Discussions also focused on credit risk in a volatile price environment. A total of 17 papers were presented of which 3 were indexed separately for inclusion in the database. tabs., figs

  19. Leveraging the benefits of storage as a risk management tool : strategies to offset price volatility

    International Nuclear Information System (INIS)

    Ledene, B.

    2002-01-01

    The Storage and Hub Services of the Alberta Energy Company provides the largest independent gas storage and operation in North America. It has grown from one facility in 1988 in Canada to 4 facilities and 2 leases with total storage capacity of 133 billion cubic feet in Canada and the United States. It established the AECO C Hub in Alberta, the major pricing point for gas in the western Canadian supply basin. It was also the first company to use, and continue to use, horizontal well technology in natural gas storage. AEC Storage has played a leading role in regulatory proceedings regarding the interconnect of its facilities and transmission systems. It also established the first independent gas storage facility in California, where it promoted true competition in the natural gas market. In October 2001, natural gas storage inventories in Canada and the United States were at a near record level of 3.56 Tcf. The only other time inventories were that full was at the end of October 1998. The paper illustrated how prices behaved during the winters of 98/99 and beyond. It was noted that low natural gas prices will have a strong impact on production levels since drilling is closely linked to the price of natural gas. Drilling activity is declining even in price sensitive areas such as in the Shallow Water Gulf of Mexico and the Permian Basin. These production declines will not affect the storage situation because storage levels are currently high. Natural gas prices may rebound with significant storage withdrawals by March 2003 if the US economy recovers and if the winter is normal. Field data suggests that supplies are not keeping up with demand. The average decline rate for all active wells in western Canada is about 23 per cent. This drilling activity will have to be maintained or we will see stronger gas prices. The paper described how industry participants use storage to take advantage of price volatility with information on how to focus on storage assets, develop a

  20. Juxtaposition of micro and macro dynamics of dividend policy on stock price volatility in financial sector of Pakistan : (comparative analysis through common, fixed, random and GMM effect)

    OpenAIRE

    Hamid, Kashif; Khurram, Muhammad Usman; Ghaffar, Wasim

    2017-01-01

    The purpose of this study is to analyze the dividend policy dynamics in context to firm specific and macroeconomic variables with stock price volatility in the financial sector of Pakistan. Panel data is used for the period 2006-2014 to identify the common, fixed, random and GMM effect. It is concluded that dividend payout ratio, market value, interest volatility and inflation volatility have positive significant correlation with price volatility. Common effect model shows that dividend payou...

  1. A Markov switching model of the conditional volatility of crude oil futures prices

    International Nuclear Information System (INIS)

    Fong, Wai Mun; See, Kim Hock

    2002-01-01

    This paper examines the temporal behaviour of volatility of daily returns on crude oil futures using a generalised regime switching model that allows for abrupt changes in mean and variance, GARCH dynamics, basis-driven time-varying transition probabilities and conditional leptokurtosis. This flexible model enables us to capture many complex features of conditional volatility within a relatively parsimonious set-up. We show that regime shifts are clearly present in the data and dominate GARCH effects. Within the high volatility state, a negative basis is more likely to increase regime persistence than a positive basis, a finding which is consistent with previous empirical research on the theory of storage. The volatility regimes identified by our model correlate well with major events affecting supply and demand for oil. Out-of-sample tests indicate that the regime switching model performs noticeably better than non-switching models regardless of evaluation criteria. We conclude that regime switching models provide a useful framework for the financial historian interested in studying factors behind the evolution of volatility and to oil futures traders interested short-term volatility forecasts

  2. Analysis of the transmission characteristics of China's carbon market transaction price volatility from the perspective of a complex network.

    Science.gov (United States)

    Jia, Jingjing; Li, Huajiao; Zhou, Jinsheng; Jiang, Meihui; Dong, Di

    2018-03-01

    Research on the price fluctuation transmission of the carbon trading pilot market is of great significance for the establishment of China's unified carbon market and its development in the future. In this paper, the carbon market transaction prices of Beijing, Shanghai, Tianjin, Shenzhen, and Guangdong were selected from December 29, 2013 to March 26, 2016, as sample data. Based on the view of the complex network theory, we construct a price fluctuation transmission network model of five pilot carbon markets in China, with the purposes of analyzing the topological features of this network, including point intensity, weighted clustering coefficient, betweenness centrality, and community structure, and elucidating the characteristics and transmission mechanism of price fluctuation in China's five pilot cities. The results of point intensity and weighted clustering coefficient show that the carbon prices in the five markets remained unchanged and transmitted smoothly in general, and price fragmentation is serious; however, at some point, the price fluctuates with mass phenomena. The result of betweenness centrality reflects that a small number of price fluctuations can control the whole market carbon price transmission and price fluctuation evolves in an alternate manner. The study provides direction for the scientific management of the carbon price. Policy makers should take a positive role in promoting market activity, preventing the risks that may arise from mass trade and scientifically forecasting the volatility of trading prices, which will provide experience for the establishment of a unified carbon market in China.

  3. Strategies to keep your business operating through times of price volatility

    International Nuclear Information System (INIS)

    Spearman, C.

    2002-01-01

    The past (the promises), the present (the reality), and the future (the dream) of electricity deregulation in Alberta are reviewed. According to this outspoken critic of the system the promise was orderly transition, the introduction of industry structure and regulatory reforms that would preserve the 'Alberta advantage' of competitive electricity prices. The reality is government indecision, price volatility, uncertainty and complexity, resulting in poor understanding of the system on the part of consumers, hence bad decisions, rapidly declining confidence, high prices, and eroded competitiveness. In short, costs have skyrocketed and benefits are nowhere to be seen. As far as the dream is concerned the picture is cloudy, based on the following factors: load settlement is still in a mess, transmission remains a major issue, market power of former monopolies is still a concern, and future supply is uncertain in the absence of additional capacity. What is needed to make good on the original promises is a clear vision, stability, a cohesive plan, leadership, decisiveness, certainty and simplicity

  4. Oil-Price Volatility and Macroeconomic Spillovers in Central and Eastern Europe: Evidence from a Multivariate GARCH Model

    Directory of Open Access Journals (Sweden)

    Hegerty Scott W.

    2015-11-01

    Full Text Available Recent commodity price declines have added to worldwide macroeconomic risk, which has had serious effects on both commodity exporters and manufacturers that use oil and raw materials. These effects have been keenly felt in Central and Eastern Europe—particularly in Russia, but also in European Union member states. This study tests for spillovers among commodity-price and macroeconomic volatility by applying a VAR(1-MGARCH model to monthly time series for eight CEE countries. Overall, we find that oil prices do indeed have effects throughout the region, as do spillovers among exchange rates, inflation, interest rates, and output, but that they differ from country to country—particularly when different degrees of transition and integration are considered. While oil prices have a limited impact on the currencies of Russia and Ukraine, they do make a much larger contribution to the two countries’ macroeconomic volatility than do spillovers among the other macroeconomic variables.

  5. Quantifying the value that energy efficiency and renewable energy provide as a hedge against volatile natural gas prices

    Energy Technology Data Exchange (ETDEWEB)

    Bolinger, Mark; Wiser, Ryan; Bachrach, Devra; Golove, William

    2002-05-15

    Advocates of energy efficiency and renewable energy have long argued that such technologies can mitigate fuel price risk within a resource portfolio. Such arguments--made with renewed vigor in the wake of unprecedented natural gas price volatility during the winter of 2000/2001--have mostly been qualitative in nature, however, with few attempts to actually quantify the price stability benefit that these sources provide. In evaluating this benefit, it is important to recognize that alternative price hedging instruments are available--in particular, gas-based financial derivatives (futures and swaps) and physical, fixed-price gas contracts. Whether energy efficiency and renewable energy can provide price stability at lower cost than these alternative means is therefore a key question for resource acquisition planners. In this paper we evaluate the cost of hedging gas price risk through financial hedging instruments. To do this, we compare the price of a 10-year natural gas swap (i.e., what it costs to lock in prices over the next 10 years) to a 10-year natural gas price forecast (i.e., what the market is expecting spot natural gas prices to be over the next 10 years). We find that over the past two years natural gas users have had to pay a premium as high as $0.76/mmBtu (0.53/242/kWh at an aggressive 7,000 Btu/kWh heat rate) over expected spot prices to lock in natural gas prices for the next 10 years. This incremental cost to hedge gas price risk exposure is potentially large enough - particularly if incorporated by policymakers and regulators into decision-making practices - to tip the scales away from new investments in variable-price, natural gas-fired generation and in favor of fixed-price investments in energy efficiency and renewable energy.

  6. Quantifying the value that energy efficiency and renewable energy provide as a hedge against volatile natural gas prices

    International Nuclear Information System (INIS)

    Bolinger, Mark; Wiser, Ryan; Bachrach, Devra; Golove, William

    2002-01-01

    Advocates of energy efficiency and renewable energy have long argued that such technologies can mitigate fuel price risk within a resource portfolio. Such arguments-made with renewed vigor in the wake of unprecedented natural gas price volatility during the winter of 2000/2001-have mostly been qualitative in nature, however, with few attempts to actually quantify the price stability benefit that these sources provide. In evaluating this benefit, it is important to recognize that alternative price hedging instruments are available-in particular, gas-based financial derivatives (futures and swaps) and physical, fixed-price gas contracts. Whether energy efficiency and renewable energy can provide price stability at lower cost than these alternative means is therefore a key question for resource acquisition planners. In this paper we evaluate the cost of hedging gas price risk through financial hedging instruments. To do this, we compare the price of a 10-year natural gas swap (i.e., what it costs to lock in prices over the next 10 years) to a 10-year natural gas price forecast (i.e., what the market is expecting spot natural gas prices to be over the next 10 years). We find that over the past two years natural gas users have had to pay a premium as high as$0.76/mmBtu (0.53/242/kWh at an aggressive 7,000 Btu/kWh heat rate) over expected spot prices to lock in natural gas prices for the next 10 years. This incremental cost to hedge gas price risk exposure is potentially large enough - particularly if incorporated by policymakers and regulators into decision-making practices - to tip the scales away from new investments in variable-price, natural gas-fired generation and in favor of fixed-price investments in energy efficiency and renewable energy

  7. Currency Inconvertibility, Portfolio Balance and Relative Prices

    OpenAIRE

    Jorge Braga de Macedo

    1983-01-01

    This paper analyzes regimes of currency inconvertibility in the frame-work of a simple general equilibrium model where an officially-traded good,a smuggled good and a non-traded good are produced and consumed by residents,who hold domestic and foreign currency in their portfolios. It is shown that stability requires the effect of relative prices on demand for traded and non-traded goods to dominate their effect on asset demands and that a once-and-for-all devaluation does not change the curre...

  8. Exchange rate volatility and oil prices shocks and its impact on economic sustainability

    Directory of Open Access Journals (Sweden)

    Khuram Shaf

    2015-01-01

    Full Text Available Impact of exchange rate volatility has received a great attention from the last century, its importance is certain in all sectors of the economy and it affects welfare as well as social life of the economy. Exchange rate between two currencies tells the value of one currency in terms of others one. Depreciation/Appreciation of exchange rate affects economic growth in terms of trade and shifts income to/from exporting countries from/to importing countries. The factors affecting exchange rate are inflation, interest rate, foreign direct investment, government consumption expenditure and balance of trade. This research study examines the impact of oil prices and exchange rate volatility on economic growth in Germany based on 40-year annual data. Cointegration technique is applied to check the impact of macroeconomic variables on exchange rate in the long run and short run. It is estimated that imports, exports, inflation, interest rate, government consumption expenditure and foreign direct investment had significant impacts on real effective exchange rate in the long run and short run. Sin addition, Engle Granger results indicate that relationship was significant for the long run and its error correction adjustment mechanism (ECM in short a run is significant and correctly signed for Germany.

  9. From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes

    Science.gov (United States)

    Henkel, Christof

    2017-03-01

    We present an agent behavior based microscopic model that induces jumps, spikes and high volatility phases in the price process of a traded asset. We transfer dynamics of thermally activated jumps of an unexcited/excited two state system discussed in the context of quantum mechanics to agent socio-economic behavior and provide microfoundations. After we link the endogenous agent behavior to price dynamics we establish the circumstances under which the dynamics converge to an Itô-diffusion price processes in the large market limit.

  10. International business cycles and the relative price of investment goods

    OpenAIRE

    Parantap Basu; Christoph Thoenissen

    2009-01-01

    Is the relative price of investment goods a good proxy for investment frictions? We model this relative price in a flexible price international economy with two fundamental shocks, namely the total factor productivity (TFP) shock and the investment specific technology (IST) shock. The paper argues that the one-to-one correspondence between investment friction and the relative price of investment goods breaks down in an international economy because of the short run correlation between the ter...

  11. Revisiting short-term price and volatility dynamics in day-ahead electricity markets with rising wind power

    International Nuclear Information System (INIS)

    Li, Yuanjing

    2015-01-01

    This paper revisits the short-term price and volatility dynamics in day-ahead electricity markets in consideration of an increasing share of wind power, using an example of the Nord Pool day-ahead market and the Danish wind generation. To do so, a GARCH process is applied, and market coupling and the counterbalance effect of hydropower in the Scandinavian countries are additionally accounted for. As results, we found that wind generation weakly dampens spot prices with an elasticity of 0.008 and also reduces price volatility with an elasticity of 0.02 in the Nordic day-ahead market. The results shed lights on the importance of market coupling and interactions between wind power and hydropower in the Nordic system through cross-border exchanges, which play an essential role in price stabilization. Additionally, an EGARCH specification confirms an asymmetric influence of the price innovations, whereby negative shocks produce larger volatility in the Nordic spot market. While considering heavy tails in error distributions can improve model fits significantly, the EGARCH model outperforms the GARCH model on forecast evaluations. (author)

  12. Regional Relative Price Disparities and Their Driving Forces

    Directory of Open Access Journals (Sweden)

    Eu Joon Chang

    2017-09-01

    Full Text Available This paper studies the long-run behavior of relative price dispersion among cities in Korea with a special emphasis on heterogeneous transitional patterns of price level dynamics. Formal statistical tests indicate considerable evidence for rejecting the null of relative price level convergence among the majority of cities over the sample period of 1985-2015. The analysis of gravity model suggests that the effect of transportation costs on intercity price level differentials is limited, while other socioeconomic factors, such as income, input factor prices, demographic structure, and housing price growth, play key roles in accounting for persistent regional price level disparities. Individual price levels are found to be better explained by a multiple-component model, and the deviations from PPP may be attributed to distinct stochastic common trends that are characterized by income and demographic structure.

  13. On the effects of world stock market and oil price shocks on food prices: An empirical investigation based on TVP-VAR models with stochastic volatility

    International Nuclear Information System (INIS)

    Jebabli, Ikram; Arouri, Mohamed; Teulon, Frédéric

    2014-01-01

    Transmission of price shocks from one market to another one has long been investigated in the economic literature. However, studies have namely dealt with the relationship between financial and energy markets. With the recent changes in market conditions, investors, policy-makers and interest groups are giving special attention to food market. This paper aims at analyzing shock transmission between international food, energy and financial markets and to provide some insights into the volatility behavior during the past years and discuss its implications for portfolio management. To do this, we present a new time varying parameter VAR (TVP-VAR) model with stochastic volatility approach which provides extreme flexibility with a parsimonious specification. We resort also to a generalized vector autoregressive framework in which forecast-error variance decompositions are invariant to the variable ordering for the assessment of total and directional volatility spillovers. Our main findings suggest that volatility spillovers increase considerably during crisis and, namely after mid-2008, when stock markets become net transmitter of volatility shocks while crude oil becomes a net receiver. Shocks to crude oil or MSCI markets have immediate and short-term impacts on food markets which are emphasized during the financial crisis period. Moreover, we show that augmenting a diversified portfolio of food commodities with crude oil or stocks significantly increases its risk-adjusted performance. - Highlights: • We study shock transmission between food, energy and financial markets. • We use a new time-varying parameter VAR model with stochastic volatility. • There is volatility spillover from oil and stock markets to food. • Volatility spillovers increase considerably during crisis, namely after mid-2008. • Augmenting a portfolio of foods with oil or stocks increases its performance

  14. An empirical analysis of freight rate and vessel price volatility transmission in global dry bulk shipping market

    Directory of Open Access Journals (Sweden)

    Lei Dai

    2015-10-01

    Full Text Available Global dry bulk shipping market is an important element of global economy and trade. Since newbuilding and secondhand vessels are often traded as assets and the freight rate is the key determinant of vessel price, it is important for shipping market participants to understand the market dynamics and price transmission mechanism over time to make suitable strategic decisions. To address this issue, a multi-variate GARCH model was applied in this paper to explore the volatility spillover effects across the vessel markets (including newbuilding and secondhand vessel markets and freight market. Specifically, the BEKK parameterization of the multi-variate GARCH model (BEKK GARCH was proposed to capture the volatility transmission effect from the freight market, newbuilding and secondhand vessel markets in the global dry bulk shipping industry. Empirical results reveal that significant volatility transmission effects exist in each market sector, i.e. capesize, panamax, handymax and handysize. Besides, the market volatility transmission mechanism varies among different vessel types. Moreover, some bilateral effects are found in the dry bulk shipping market, showing that lagged variances could affect the current variance in a counterpart market, regardless of the volatility transmission. A simple ratio is proposed to guide investors optimizing their portfolio allocations. The findings in this paper could provide unique insights for investors to understand the market and hedge their portfolios well.

  15. How does petroleum price and corn yield volatility affect ethanol markets with and without an ethanol use mandate?

    International Nuclear Information System (INIS)

    Thompson, Wyatt; Meyer, Seth; Westhoff, Pat

    2009-01-01

    The recent increase in ethanol use in the US strengthens and changes the nature of links between agricultural and energy markets. Here, we explore the interaction of market volatility and the scope for policy to affect this interaction, with a focus on how corn yields and petroleum prices affect ethanol prices. Mandates associated with new US energy legislation may intervene in these links in the medium-term future. We simulate stochastically a structural model that represents these markets, and that includes mandates, in order to assess how shocks to corn or oil markets can affect ethanol price and use. We estimate that the mandate makes ethanol producer prices more sensitive to corn yields and less sensitive to changes in petroleum prices overall. We note a discontinuity in these links that is caused by the mandate. Ethanol use can exceed the mandate if petroleum prices and corn yields are high enough, but the mandate limits downside adjustments in ethanol use to low petroleum prices or corn yields

  16. A discrete-time two-factor model for pricing bonds and interest rate derivatives under random volatility

    OpenAIRE

    Heston, Steven L.; Nandi, Saikat

    1999-01-01

    This paper develops a discrete-time two-factor model of interest rates with analytical solutions for bonds and many interest rate derivatives when the volatility of the short rate follows a GARCH process that can be correlated with the level of the short rate itself. Besides bond and bond futures, the model yields analytical solutions for prices of European options on discount bonds (and futures) as well as other interest rate derivatives such as caps, floors, average rate options, yield curv...

  17. Long-term memory and volatility clustering in high-frequency price changes

    Science.gov (United States)

    oh, Gabjin; Kim, Seunghwan; Eom, Cheoljun

    2008-02-01

    We studied the long-term memory in diverse stock market indices and foreign exchange rates using Detrended Fluctuation Analysis (DFA). For all high-frequency market data studied, no significant long-term memory property was detected in the return series, while a strong long-term memory property was found in the volatility time series. The possible causes of the long-term memory property were investigated using the return data filtered by the AR(1) model, reflecting the short-term memory property, the GARCH(1,1) model, reflecting the volatility clustering property, and the FIGARCH model, reflecting the long-term memory property of the volatility time series. The memory effect in the AR(1) filtered return and volatility time series remained unchanged, while the long-term memory property diminished significantly in the volatility series of the GARCH(1,1) filtered data. Notably, there is no long-term memory property, when we eliminate the long-term memory property of volatility by the FIGARCH model. For all data used, although the Hurst exponents of the volatility time series changed considerably over time, those of the time series with the volatility clustering effect removed diminish significantly. Our results imply that the long-term memory property of the volatility time series can be attributed to the volatility clustering observed in the financial time series.

  18. Oil prices, speculation, and fundamentals. Interpreting causal relations among spot and futures prices

    International Nuclear Information System (INIS)

    Kaufmann, Robert K.; Ullman, Ben

    2009-01-01

    A consensus that the world oil market is unified begs the question, where do innovations in oil prices enter the market? Here we investigate where changes in the price of crude oil originate and how they spread by examining causal relationships among prices for crude oils from North America, Europe, Africa, and the Middle East on both spot and futures markets. Results indicate that innovations first appear in spot prices for Dubai-Fateh and spread to other spot and futures prices while other innovations first appear in the far month contract for West Texas Intermediate and spread to other exchanges and contracts. Links between spot and futures markets are relatively weak and this may have allowed the long-run relationship between spot and future prices to change after September 2004. Together, these results suggest that market fundamentals initiated a long-term increase in oil prices that was exacerbated by speculators, who recognized an increase in the probability that oil prices would rise over time. (author)

  19. Relative volatility of dilute solutions of Rb-Cs system

    International Nuclear Information System (INIS)

    Gromov, P.B.; Izotov, V.P.; Nisel'son, L.A.

    1984-01-01

    Relative volatility of diluted solutions Rb-Cs in the temperature range 650-820 K and pressures 13-200 gPa has been studied. The system Rb-Cs in the range of diluted solutions obeys the Henry law. It is shown, that liquid-vapour equilibrium in diluted solutions of cesium in rubidium is characterized by negative deviation from perfection

  20. Volatility Discovery

    DEFF Research Database (Denmark)

    Dias, Gustavo Fruet; Scherrer, Cristina; Papailias, Fotis

    The price discovery literature investigates how homogenous securities traded on different markets incorporate information into prices. We take this literature one step further and investigate how these markets contribute to stochastic volatility (volatility discovery). We formally show...... that the realized measures from homogenous securities share a fractional stochastic trend, which is a combination of the price and volatility discovery measures. Furthermore, we show that volatility discovery is associated with the way that market participants process information arrival (market sensitivity......). Finally, we compute volatility discovery for 30 actively traded stocks in the U.S. and report that Nyse and Arca dominate Nasdaq....

  1. Long Run Dynamic Volatilities between OPEC and non-OPEC Crude Oil Prices

    OpenAIRE

    Ghassan, Hassan B.; Alhajhoj, Hassan R.

    2015-01-01

    Understanding the long-run dynamics of OPEC and non-OPEC crude oil prices is important in an era of increased financialization of petroleum markets. Utilizing an ECM within a threshold cointegration and CGARCH errors framework, we provide evidence on the cointegrating relationship and estimate how and to what extent the respective prices adjust to eliminate disequilibrium. Our findings suggest that the adjustment process of OPEC prices to the positive discrepancies is slow which implies that ...

  2. Can reported VaR be used as an indicator of the volatility of share prices? Evidence from UK banks.

    OpenAIRE

    Ou, Shian Kao

    2006-01-01

    Value at Risk (VaR) is used as an indicator to measure the risks contained in a firm. With the uprising development of VaR theory and computational techniques, the VaR is nowadays adopted by banks and reported in annual reports. Since the method to calculate VaR is questioned, and the reported VaR can not be thoroughly audited, this paper attempts to find the relationship between the reported VaR and the volatility of share price for UK listed banks. This paper reviews literature about VaR an...

  3. DOES VOLATILITY IN CRUDE OIL PRICE PRECIPITATE MACROECONOMIC PERFORMANCE IN NIGERIA?

    Directory of Open Access Journals (Sweden)

    Joseph Ayoola Omojolaibi

    2013-01-01

    Full Text Available This study examines the effects of crude oil price changes on economic activity in an oil dependent economy-Nigeria. A small open economy structural vector autoregressive (SVAR technique is employed to study the macroeconomic dynamics of domestic price level, economic output, money supply and oil price in Nigeria. The sample covers the data from 1985:q1 to 2010:q4. The Impulse Response Functions (IRFs and the Forecast Error Variance Decompositions (FEVDs results suggest that domestic policies, instead of oil-boom should be blamed for inflation. Also, oil price variations are driven mostly by oil shocks, however, domestic shocks are responsible for a reasonable portion of oil price variations.

  4. Volatility

    Directory of Open Access Journals (Sweden)

    María Sánchez

    2016-11-01

    Full Text Available The action consists of moving with small kicks a tin of cola refresh -without Brand-from a point of the city up to other one. During the path I avoid bollards, the slope differences between sidewalks, pedestrians, parked motorcycles, etc. Volatility wants to say exactly that the money is getting lost. That the money is losing by gentlemen and by ladies who are neither financial sharks, nor big businessmen… or similarly, but ingenuous people, as you or as me, who walk down the street.

  5. Price-related promotions for tobacco products on Twitter.

    Science.gov (United States)

    Jo, Catherine L; Kornfield, Rachel; Kim, Yoonsang; Emery, Sherry; Ribisl, Kurt M

    2016-07-01

    This cross-sectional study examined price-related promotions for tobacco products on Twitter. Through the Twitter Firehose, we obtained access to all public tweets posted between 6 December 2012 and 20 June 2013 that contained a keyword suggesting a tobacco-related product or behaviour (eg, cigarette, vaping) in addition to a keyword suggesting a price promotion (eg, coupon, discount). From this data set of 155 249 tweets, we constructed a stratified sampling frame based on the price-related keywords and randomly sampled 5000 tweets (3.2%). Tweets were coded for product type and promotion type. Non-English tweets and tweets unrelated to a tobacco or cessation price promotion were excluded, leaving an analytic sample of 2847 tweets. The majority of tweets (97.0%) mentioned tobacco products while 3% mentioned tobacco cessation products. E-cigarettes were the most frequently mentioned product (90.1%), followed by cigarettes (5.4%). The most common type of price promotion mentioned across all products was a discount. About a third of all e-cigarette-related tweets included a discount code. Banned or restricted price promotions comprised about 3% of cigarette-related tweets. This study demonstrates that the vast majority of tweets offering price promotions focus on e-cigarettes. Future studies should examine the extent to which Twitter users, particularly youth, notice or engage with these price promotion tweets. Published by the BMJ Publishing Group Limited. For permission to use (where not already granted under a licence) please go to http://www.bmj.com/company/products-services/rights-and-licensing/

  6. Cohesiveness in financial news and its relation to market volatility.

    Science.gov (United States)

    Piškorec, Matija; Antulov-Fantulin, Nino; Novak, Petra Kralj; Mozetič, Igor; Grčar, Miha; Vodenska, Irena; Smuc, Tomislav

    2014-05-22

    Motivated by recent financial crises, significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said regarding the influence of financial news on financial markets. We propose a novel measure of collective behaviour based on financial news on the Web, the News Cohesiveness Index (NCI), and we demonstrate that the index can be used as a financial market volatility indicator. We evaluate the NCI using financial documents from large Web news sources on a daily basis from October 2011 to July 2013 and analyse the interplay between financial markets and finance-related news. We hypothesise that strong cohesion in financial news reflects movements in the financial markets. Our results indicate that cohesiveness in financial news is highly correlated with and driven by volatility in financial markets.

  7. Cohesiveness in Financial News and its Relation to Market Volatility

    Science.gov (United States)

    Piškorec, Matija; Antulov-Fantulin, Nino; Novak, Petra Kralj; Mozetič, Igor; Grčar, Miha; Vodenska, Irena; Šmuc, Tomislav

    2014-01-01

    Motivated by recent financial crises, significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said regarding the influence of financial news on financial markets. We propose a novel measure of collective behaviour based on financial news on the Web, the News Cohesiveness Index (NCI), and we demonstrate that the index can be used as a financial market volatility indicator. We evaluate the NCI using financial documents from large Web news sources on a daily basis from October 2011 to July 2013 and analyse the interplay between financial markets and finance-related news. We hypothesise that strong cohesion in financial news reflects movements in the financial markets. Our results indicate that cohesiveness in financial news is highly correlated with and driven by volatility in financial markets. PMID:24849598

  8. Binomial tree method for pricing a regime-switching volatility stock loans

    Science.gov (United States)

    Putri, Endah R. M.; Zamani, Muhammad S.; Utomo, Daryono B.

    2018-03-01

    Binomial model with regime switching may represents the price of stock loan which follows the stochastic process. Stock loan is one of alternative that appeal investors to get the liquidity without selling the stock. The stock loan mechanism resembles that of American call option when someone can exercise any time during the contract period. From the resembles both of mechanism, determination price of stock loan can be interpreted from the model of American call option. The simulation result shows the behavior of the price of stock loan under a regime-switching with respect to various interest rate and maturity.

  9. Price-related sensitivities of greenhouse gas intensity targets

    International Nuclear Information System (INIS)

    Muller, Benito; Muller-Furstenberger, Georg

    2003-12-01

    Greenhouse gas intensities are an appealing tool to foster abatement without imposing constraints on economic growth. This paper shows, however, that the computation of intensities is subject to some significant statistical and conceptual problems which relate to the inflation proofing of GDP growth. It is shown that the choice of price-index, the updating of quantity weights and the choice of base year prices can have a significant impact upon the commitment of intensity targets

  10. The impact of oil price volatility on the future of the U.S. economy

    International Nuclear Information System (INIS)

    Boyd, Roy; Doroodian, K.; Thornton, Dennis

    2000-01-01

    This paper examines the impact of a foreign oil price shock on domestic energy markets as well as the U.S. economy as a whole. The analytical approach employed in the analysis consisted of a dynamic CGE model composed of eight production sectors, eight consumption sectors, three household categories classified by income, foreign sector, and the government. The results show that oil price shocks will have, as expected, a significantly positive effect on crude oil production. We also find that such price shocks negatively affect the refinery sector as input costs rise there. A decline in per-well productivity has the effect of dampening the rise in crude oil extraction and causing a further decline in refinery output. Economy-wide, the impact of a new series of oil price shocks is quite limited with overall welfare falling, but nowhere near the levels experienced in the 1970s and early 1980s. (Author)

  11. Integration of CCS, emissions trading and volatilities of fuel prices into sustainable energy planning, and its robust optimization

    International Nuclear Information System (INIS)

    Koo, Jamin; Han, Kyusang; Yoon, En Sup

    2011-01-01

    In this paper, a new approach has been proposed that allows a robust optimization of sustainable energy planning over a period of years. It is based on the modified energy flow optimization model (EFOM) and minimizes total costs in planning capacities of power plants and CCS to be added, stripped or retrofitted. In the process, it reduces risks due to a high volatility in fuel prices; it also provides robustness against infeasibility with respect to meeting the required emission level by adopting a penalty constant that corresponds to the price level of emission allowances. In this manner, the proposed methodology enables decision makers to determine the optimal capacities of power plants and/or CCS, as well as volumes of emissions trading in the future that will meet the required emission level and satisfy energy demand from various user-sections with minimum costs and maximum robustness. They can also gain valuable insights on the effects that the price of emission allowances has on the competitiveness of RES and CCS technologies; it may be used in, for example, setting appropriate subsidies and tax policies for promoting greater use of these technologies. The proposed methodology is applied to a case based on directions and volumes of energy flows in South Korea during the year 2008. (author)

  12. Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

    NARCIS (Netherlands)

    Jiang, G.J.; van der Sluis, P.J.

    2000-01-01

    This paper specifies a multivariate stochastic volatility (SV) model for the S&P500 index and spot interest rate processes. We first estimate the multivariate SV model via the efficient method of moments (EMM) technique based on observations of underlying state variables, and then investigate the

  13. ALGORITHM FOR GENERALIZED GARMAN EQUATION IN OPTION PRICING OF A FINANCIAL DERIVATIVES WITH STOCHASTIC VOLATILITY MODELS

    Directory of Open Access Journals (Sweden)

    Maxim Ioan

    2009-05-01

    Full Text Available In our paper we build a reccurence from generalized Garman equation and discretization of 3-dimensional domain. From reccurence we build an algorithm for computing values of an option based on time, momentan volatility of support and value of support on a

  14. New Evidence on Price and Volatility Effects of Stock Option Introductions

    NARCIS (Netherlands)

    Kabir, M.R.

    1997-01-01

    This paper adds to the literature dealing with the effect of derivatives trading on underlying securities by examining option listings from the Netherlands. The effects on both stock returns and volatility are investigated using three types of samples, namely, listing of call options alone,

  15. Causal Relationship Between Relative Price Variability and Inflation in Turkey:

    Directory of Open Access Journals (Sweden)

    Nebiye Yamak

    2016-09-01

    Full Text Available This study investigates the causal relationship between inflation and relative price variability in Turkey for the period of January 2003-January 2014, by using panel data. In the study, a Granger (1969 non-causality test in heterogeneous panel data models developed by Dumitrescu and Hurlin (2012 is utilized to determine the causal relations between inflation rate relative price variability. The panel data consists of 4123 observations: 133 time observations and 31 cross-section observations. The results of panel causality test indicate that there is a bidirectional causality between inflation rate and relative price variability by not supporting the imperfection information model of Lucas and the menu cost model of Ball and Mankiw.

  16. The pricing effect of the common pattern in firm-level idiosyncratic volatility: Evidence from A-Share stocks of China

    Science.gov (United States)

    Su, Zhi; Shu, Tengjia; Yin, Libo

    2018-05-01

    Inspired by Herskovic et al. (2016), we investigate the pricing effect of the firm-level common idiosyncratic volatility (CIV) in China's A-Share market. Return tests indicate that lower CIV risk loadings bring higher returns significantly, while the pricing function of market volatility (MV) is inconsistent. Strategy that goes long the highest CIV-beta quintile and short the lowest CIV-beta quintile brings an annualized average return of 5%-7%. Our findings supplement Herskovic et al. (2016) by confirming a significantly negative relationship between CIV and stock returns in a developing market.

  17. The Effects of Oil Price Changes And Exchange Rate Volatility On Unemployment: Evidence From Malaysia

    Directory of Open Access Journals (Sweden)

    Mohd Shahidan Shaari

    2016-01-01

    Full Text Available The study aims to examine the effects of oil price and exchange rate on unemployment in Malaysia. The empirical analysis commence by analyzing the time series property of data. The Johansen VAR-based co-integration technique was applied to examine the long run relationship between exchange rate, oil price and unemployment and found the long run relationship does exist. The vector error correction model was performed to check the short run dynamics and found that the short run dynamics are influenced by the estimated long run equilibrium. Granger causality was done and found that oil price does not affect unemployment but exchange rate has an influence on unemployment. Therefore, putting the exchange rate under control should be implemented to control unemployment.

  18. A regime-switching stochastic volatility model for forecasting electricity prices

    DEFF Research Database (Denmark)

    Exterkate, Peter; Knapik, Oskar

    In a recent review paper, Weron (2014) pinpoints several crucial challenges outstanding in the area of electricity price forecasting. This research attempts to address all of them by i) showing the importance of considering fundamental price drivers in modeling, ii) developing new techniques for ...... on explanatory variables. Bayesian inference is explored in order to obtain predictive densities. The main focus of the paper is on shorttime density forecasting in Nord Pool intraday market. We show that the proposed model outperforms several benchmark models at this task....

  19. EFFECT OF GOLD PRICE VOLATILITY ON STOCK RETURNS:EXAMPLE OF TURKEY

    Directory of Open Access Journals (Sweden)

    Filiz YILDIZ CONTUK

    2013-01-01

    Full Text Available This study analyzes the effect of fluctuations in gold prices on ISE 100 indexusing daily prices and the index data from 01.01.2009 to 31.12.2012. The rawdata has been converted into earningsyields and analyzed. The study firstdetermines whether or not the use of aGARCH model would beappropriate usinga heteroskedasticity test. The test resultsshow that there was an ARCH effect inboth variables, and that GARCH modeling could be used. The results obtainedfrom MGARCH modeling show that gold and stock exchange yields have beenaffected both by their own shocks and by shocks of each other

  20. Uncertainty of Volatility Estimates from Heston Greeks

    Directory of Open Access Journals (Sweden)

    Oliver Pfante

    2018-01-01

    Full Text Available Volatility is a widely recognized measure of market risk. As volatility is not observed it has to be estimated from market prices, i.e., as the implied volatility from option prices. The volatility index VIX making volatility a tradeable asset in its own right is computed from near- and next-term put and call options on the S&P 500 with more than 23 days and less than 37 days to expiration and non-vanishing bid. In the present paper we quantify the information content of the constituents of the VIX about the volatility of the S&P 500 in terms of the Fisher information matrix. Assuming that observed option prices are centered on the theoretical price provided by Heston's model perturbed by additive Gaussian noise we relate their Fisher information matrix to the Greeks in the Heston model. We find that the prices of options contained in the VIX basket allow for reliable estimates of the volatility of the S&P 500 with negligible uncertainty as long as volatility is large enough. Interestingly, if volatility drops below a critical value of roughly 3%, inferences from option prices become imprecise because Vega, the derivative of a European option w.r.t. volatility, and thereby the Fisher information nearly vanishes.

  1. A Comparison of forecasting Volatility startegies into ARCH Class throughPricing

    OpenAIRE

    Marzia Freo

    2003-01-01

    Daily data on the German market index return are used to consider multiple issues in a forecasting comparison of ARCH-type specifications. first, attention is paid to the impact of different sample sizez, different horizons and fitting of historical versus implied data. Secondly, the issue of volatility transmission is addressed by modelling French and Germany market indexes into simultaneous conditionally heteroskedasticity framework. Errors obtained by updating the Black and Scholes formula...

  2. The relation between food price, energy density and diet quality

    Directory of Open Access Journals (Sweden)

    Margareta Bolarić

    2013-01-01

    Full Text Available Low energy density diet, high in fruits and vegetables, is related to lower obesity risk and to better health status, but is more expensive. High energy density diet, high in added sugar and fats, is more affordable, but is related to higher obesity and chronic diseases risk. The aim of this study was to report prices according to energy density (low vs. high of food items and to show how food affordability could affect food choice and consumers’ health. Data was collected for 137 raw and processed foods from three purchase sites in Zagreb (one representative for supermarket, one smaller shop and green market. Results showed that low energy density food is more expensive than high energy density food (for example, the price of 1000 kcal from green zucchini (15 kcal/100 g is 124.20 kn while the price of 1000 kcal from sour cream (138 kcal/100 g is 13.99 kn. Food energy price was significantly different (p<0.05 between food groups with highest price for vegetable products (159.04 ± 36.18 kn/1000 kcal and raw vegetables (97.90 ± 50.13 kn/1000 kcal and lowest for fats (8.49 ± 1.22 kn/1000 kcal and cereals and products (5.66 ± 0.76 kn/1000 kcal. Negative correlation (Spearman r=-0.72, p<0.0001 was observed for energy density (kcal/100 g and price of 1000 kcal. Therefore, it is advisable to develop strategies in order to reduce price of low energy density food and encourage its intake since it would improve diet quality, which could lead to better costumers’ health.

  3. Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations

    NARCIS (Netherlands)

    Pistorius, M.; Stolte, J.

    2012-01-01

    We present a new numerical method to price vanilla options quickly in time-changed Brownian motion models. The method is based on rational function approximations of the Black-Scholes formula. Detailed numerical results are given for a number of widely used models. In particular, we use the

  4. Pricing long-term options with stochastic volatility and stochastic interest rates

    NARCIS (Netherlands)

    van Haastrecht, A.

    2010-01-01

    The markets for long-term options have expanded tremendously over the last decade. Nowadays many of these derivatives along with pension schemes and insurance products depend on joint changes in stock prices, interest rates and inflation. As a result the dependencies between the underlying assets

  5. The Impact of Oil Price Volatility on Macroeconomic Activity in Russia

    Directory of Open Access Journals (Sweden)

    Katsuya Ito

    2010-07-01

    Full Text Available Since the beginning of the 1980s a large number of studies using a vector autoregressive (VAR model have been made on the macroeconomic effects of oil price changes. However, surprisingly few studies have so far focused on Russia, the world’s second largest oil exporter. The purpose of this paper is to empirically examine the impact of oil prices on the macroeconomic variables in Russia using the VAR model. The time span covered by the series is from 1994:Q1 to 2009:Q3, giving 63 observations. The analysis leads to the finding that a 1% increase (decrease in oil prices contributes to the depreciation (appreciation of the exchange rate by 0.17% in the long run, whereas it leads to a 0.46% GDP growth (decline. Likewise, we find that in the short run (8 quarters rising oil prices cause not only the GDP growth and the exchange rate depreciation, but also a marginal increase in inflation rate.

  6. Separated influence of crude oil prices on regional natural gas import prices

    International Nuclear Information System (INIS)

    Ji, Qiang; Geng, Jiang-Bo; Fan, Ying

    2014-01-01

    This paper analyses the impact of global economic activity and international crude oil prices on natural gas import prices in three major natural gas markets using the panel cointegration model. It also investigates the shock impacts of the volatility and the increase and decrease of oil prices on regional natural gas import prices. The results show that both global economic activity and international crude oil prices have significant long-term positive effects on regional natural gas import prices. The volatility of international crude oil prices has a negative impact on regional natural gas import prices. The shock impact is weak in North America, lags in Europe and is most significant in Asia, which is mainly determined by different regional policies for price formation. In addition, the response of natural gas import prices to increases and decreases in international crude oil prices shows an asymmetrical mechanism, of which the decrease impact is relatively stronger. - Highlights: • Impacts of world economy and oil prices on regional natural gas prices are analysed • North American natural gas prices are mainly affected by world economy • Asian and European natural gas prices are mainly affected by oil prices • The volatility of oil prices has a negative impact on regional natural gas prices • The response of natural gas import prices to oil prices up and down shows asymmetry

  7. Behavior of Stock Price Variability over Trading and Nontrading Periods, and Daily Return Volatility

    Directory of Open Access Journals (Sweden)

    Sumiyana Sumiyana

    2007-09-01

    This study concludes that return variance over trading and nontrading periods, along with overnight and lunch break nontrading session, and the first and second trading session, has differed significantly. In addition, daily return volatility is also not identical significantly. Subsequently, this study used size, trading volume, bid-ask spreads and up-down market as control variables. This study contradicts to all prior studies. This study especially suggests contra evidence in comparisons with previous concepts and theories in regards to size, trading volume, bid-ask spreads, and up-down market as control variables.

  8. Oil and stock market volatility: A multivariate stochastic volatility perspective

    International Nuclear Information System (INIS)

    Vo, Minh

    2011-01-01

    This paper models the volatility of stock and oil futures markets using the multivariate stochastic volatility structure in an attempt to extract information intertwined in both markets for risk prediction. It offers four major findings. First, the stock and oil futures prices are inter-related. Their correlation follows a time-varying dynamic process and tends to increase when the markets are more volatile. Second, conditioned on the past information, the volatility in each market is very persistent, i.e., it varies in a predictable manner. Third, there is inter-market dependence in volatility. Innovations that hit either market can affect the volatility in the other market. In other words, conditioned on the persistence and the past volatility in their respective markets, the past volatility of the stock (oil futures) market also has predictive power over the future volatility of the oil futures (stock) market. Finally, the model produces more accurate Value-at-Risk estimates than other benchmarks commonly used in the financial industry. - Research Highlights: → This paper models the volatility of stock and oil futures markets using the multivariate stochastic volatility model. → The correlation between the two markets follows a time-varying dynamic process which tends to increase when the markets are more volatile. → The volatility in each market is very persistent. → Innovations that hit either market can affect the volatility in the other market. → The model produces more accurate Value-at-Risk estimates than other benchmarks commonly used in the financial industry.

  9. The Temptation of Zero Price: Event-Related Potentials Evidence of How Price Framing Influences the Purchase of Bundles.

    Science.gov (United States)

    Ma, Haiying; Mo, Zan; Zhang, Huijun; Wang, Cuicui; Fu, Huijian

    2018-01-01

    Studies have revealed that consumers are susceptible to price framing effect, a common cognitive bias, due to their limited capacity in processing information. The effect of price framing in a bundling context and its neural correlates, however, remain not clearly characterized. The present study applied the event-related potentials (ERPs) approach to investigate the role of price framing in information processing and purchase decision making in a bundling context. Three price frames were created with practically identical total prices (with a maximum difference of ¥0.1, which was about equal to 0.016 US dollars) for a bundle with two components, a focal product and a tie-in product. In normal price condition (NP), both the focal and tie-in products were offered at a normal discounted price; in zero price condition (ZP), the tie-in product was offered free while the total price of the bundle remained the same as NP; whereas in low price condition (LP), the tie-in product was offered at a low token price (¥0.1), and the focal product shared the same price as the focal product of ZP. The behavioral results showed a higher purchase rate and a shorter reaction time for ZP in contrast to NP. Neurophysiologically, enlarged LPP amplitude was elicited by ZP relative to NP, suggesting that ZP triggered a stronger positive affect that could motivate decision to buy. Thus, this study provides both behavioral and neural evidence for how different price framing information is processed and ultimately gives rise to price framing effect in purchase decision making.

  10. The Temptation of Zero Price: Event-Related Potentials Evidence of How Price Framing Influences the Purchase of Bundles

    Science.gov (United States)

    Ma, Haiying; Mo, Zan; Zhang, Huijun; Wang, Cuicui; Fu, Huijian

    2018-01-01

    Studies have revealed that consumers are susceptible to price framing effect, a common cognitive bias, due to their limited capacity in processing information. The effect of price framing in a bundling context and its neural correlates, however, remain not clearly characterized. The present study applied the event-related potentials (ERPs) approach to investigate the role of price framing in information processing and purchase decision making in a bundling context. Three price frames were created with practically identical total prices (with a maximum difference of ¥0.1, which was about equal to 0.016 US dollars) for a bundle with two components, a focal product and a tie-in product. In normal price condition (NP), both the focal and tie-in products were offered at a normal discounted price; in zero price condition (ZP), the tie-in product was offered free while the total price of the bundle remained the same as NP; whereas in low price condition (LP), the tie-in product was offered at a low token price (¥0.1), and the focal product shared the same price as the focal product of ZP. The behavioral results showed a higher purchase rate and a shorter reaction time for ZP in contrast to NP. Neurophysiologically, enlarged LPP amplitude was elicited by ZP relative to NP, suggesting that ZP triggered a stronger positive affect that could motivate decision to buy. Thus, this study provides both behavioral and neural evidence for how different price framing information is processed and ultimately gives rise to price framing effect in purchase decision making. PMID:29731705

  11. The Temptation of Zero Price: Event-Related Potentials Evidence of How Price Framing Influences the Purchase of Bundles

    Directory of Open Access Journals (Sweden)

    Haiying Ma

    2018-04-01

    Full Text Available Studies have revealed that consumers are susceptible to price framing effect, a common cognitive bias, due to their limited capacity in processing information. The effect of price framing in a bundling context and its neural correlates, however, remain not clearly characterized. The present study applied the event-related potentials (ERPs approach to investigate the role of price framing in information processing and purchase decision making in a bundling context. Three price frames were created with practically identical total prices (with a maximum difference of ¥0.1, which was about equal to 0.016 US dollars for a bundle with two components, a focal product and a tie-in product. In normal price condition (NP, both the focal and tie-in products were offered at a normal discounted price; in zero price condition (ZP, the tie-in product was offered free while the total price of the bundle remained the same as NP; whereas in low price condition (LP, the tie-in product was offered at a low token price (¥0.1, and the focal product shared the same price as the focal product of ZP. The behavioral results showed a higher purchase rate and a shorter reaction time for ZP in contrast to NP. Neurophysiologically, enlarged LPP amplitude was elicited by ZP relative to NP, suggesting that ZP triggered a stronger positive affect that could motivate decision to buy. Thus, this study provides both behavioral and neural evidence for how different price framing information is processed and ultimately gives rise to price framing effect in purchase decision making.

  12. Long memory volatility of gold price returns: How strong is the evidence from distinct economic cycles?

    Science.gov (United States)

    Bentes, Sonia R.

    2016-02-01

    This paper examines the long memory behavior in the volatility of gold returns using daily data for the period 1985-2009. We divided the whole sample into eight sub-samples in order to analyze the robustness and consistency of our results during different crisis periods. This constitutes our main contribution. We cover four major world crises, namely, (i) the US stock market crash of 1987; (ii) the Asian financial crisis of 1997; (iii) the World Trade Center terrorist attack of 2001 and finally, (iv) the sub-prime crisis of 2007, in order to investigate how the fractional integrated parameter of the FIGARCH(1, d,1) model evolves over time. Our findings are twofold: (i) there is evidence of long memory in the conditional variance over the whole sample period; (ii) when we consider the sub-sample analysis, the results show mixed evidence. Thus, for the 1985-2003 period the long memory parameter is positive and statistically significant in the pre-crisis sub-samples, and there is no evidence of long memory in the crisis sub-sample periods; however the reverse pattern occurs for the 2005-2009 period. This highlights the unique characteristics of the 2007 sub-prime crisis.

  13. Investment shocks and the relative price of investment

    OpenAIRE

    Justiniano, Alejandro; Primiceri, Giorgio E.; Tambalotti, Andrea

    2009-01-01

    We estimate a New-Neoclassical Synthesis model of the business cycle with two investment shocks. The first, an investment-specific technology shock, affects the transformation of consumption into investment goods and is identified with the relative price of investment. The second shock affects the production of installed capital from investment goods or, more broadly, the transformation of savings into future capital input. We find that this shock is the most important driver of U.S. business...

  14. Exchange Rate – Relative Price Nonlinear Cointegration Relationship in Malaysia

    OpenAIRE

    Venus Khim-Sen Liew; Chee-Keong Choong; Evan Lau; Kian-Ping Lim

    2005-01-01

    The finding of exchange rate–relative price nonlinear cointegration relationship in Malaysia, among others, suggests that nonlinear Purchasing Power Parity (PPP) equilibrium may be regarded as reference point in judging the short run misalignment of the Ringgit currency and thereby deducing effective policy actions. Moreover, economists who wish to extend the simple PPP exchange rate model into the more complicated monetary exchange models may do so comfortably, at least in the text of Malays...

  15. Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets

    International Nuclear Information System (INIS)

    Higgs, Helen

    2009-01-01

    This paper examines the inter-relationships of wholesale spot electricity prices among the four regional electricity markets in the Australian National Electricity Market (NEM): namely, New South Wales, Queensland, South Australia and Victoria using the constant conditional correlation and Tse and Tsui's (Tse, Y.K., Tsui, A.K.C., 2002. A multivariate generalised autoregressive conditional heteroscedasticity model with time-varying correlations. Journal of Business and Economic Statistics 20 (3), 351-362.) and Engle's (Engle, R., 2002. Dynamic conditional correlation: a sample class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics 20 (3), 339-350.) dynamic conditional correlation multivariate GARCH models. Tse and Tsui's (Tse, Y.K., Tsui, A.K.C., 2002. A multivariate generalised autoregressive conditional heteroscedasticity model with time-varying correlations. Journal of Business and Economic Statistics 20 (3), 351-362.) dynamic conditional correlation multivariate GARCH model which takes account of the Student t specification produces the best results. At the univariate GARCH(1,1) level, the mean equations indicate the presence of positive own mean spillovers in all four markets and little evidence of mean spillovers from the other lagged markets. In the dynamic conditional correlation equation, the highest conditional correlations are evident between the well-connected markets indicating the presence of strong interdependence between these markets with weaker interdependence between the not so well-interconnected markets. (author)

  16. Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression

    OpenAIRE

    Barunik, Jozef; Barunikova, Michaela

    2015-01-01

    This paper revisits the fractional co-integrating relationship between ex-ante implied volatility and ex-post realized volatility. Previous studies on stock index options have found biases and inefficiencies in implied volatility as a forecast of future volatility. It is argued that the concept of corridor implied volatility (CIV) should be used instead of the popular model-free option-implied volatility (MFIV) when assessing the relation as the latter may introduce bias to the estimation. In...

  17. Commodity Price Volatility in the Biofuel Era: An Examination of the Linkage Between Energy and Agricultural Markets

    OpenAIRE

    Thomas W. Hertel; Jayson Beckman

    2011-01-01

    Agricultural and energy commodity prices have traditionally exhibited relatively low – even negative correlation. However, the recent increases in biofuel production have altered the agriculture-energy relationship in a fundamental way. The amount of corn utilized for ethanol production in the US has increased from 5% in 2001 to over one-third by the end of the decade. This increase has drawn corn previously sold to other uses (exports, food, feed), as well as acreage devoted to other crops (...

  18. Martian geomorphology and its relation to subsurface volatiles

    Science.gov (United States)

    Clifford, Stephen M. (Editor); Rossbacher, Lisa A. (Editor); Zimbelman, James R. (Editor)

    1986-01-01

    Martian volatile inventory, planetary climatic and atmospheric evolution, and the interpretation of various remote sensing data were discussed. A number of morphologies that were cited as potential indicators of subsurface volatiles were reviewed. Rampart craters and terrain softening were the focus of more in-depth discussion because of the popular attention they have received and the fact that their areal distributions are by far the most extensive of all the proposed indicators.

  19. Orphan Drug Pricing: An Original Exponential Model Relating Price to the Number of Patients

    Directory of Open Access Journals (Sweden)

    Andrea Messori

    2016-10-01

    Full Text Available In managing drug prices at the national level, orphan drugs represent a special case because the price of these agents is higher than that determined according to value-based principles. A common practice is to set the orphan drug price in an inverse relationship with the number of patients, so that the price increases as the number of patients decreases. Determination of prices in this context generally has a purely empirical nature, but a theoretical basis would be needed. The present paper describes an original exponential model that manages the relationship between price and number of patients for orphan drugs. Three real examples are analysed in detail (eculizumab, bosentan, and a data set of 17 orphan drugs published in 2010. These analyses have been aimed at identifying some objective criteria to rationally inform this relationship between prices and patients and at converting these criteria into explicit quantitative rules.

  20. Volatile elements in Allende inclusions. [Mn, Na and Cl relation to meteorite evolution

    Science.gov (United States)

    Grossman, L.; Ganapathy, R.

    1975-01-01

    New data are presented on the relatively volatile elements (Mn, Na, and Cl) in coarse- and fine-grained Ca/Al-rich inclusions of different textures and mineralogy in the Allende meteorite. It is shown that the coarse-grained inclusions condensed from the solar nebula at high temperature and contained vanishingly small quantities of volatile elements at that time. Later, volatiles were added to these during the metamorphism of the Allende parent body. The fine-grained inclusions were also affected by the addition of volatiles during this metamorphism but, unlike the coarse-grained ones, they incorporated large amounts of volatiles when they condensed from the solar nebula, accounting for their higher volatile element contents.

  1. Electricity prices and fuel costs. Long-run relations and short-run dynamics

    International Nuclear Information System (INIS)

    Mohammadi, Hassan

    2009-01-01

    The paper examines the long-run relation and short-run dynamics between electricity prices and three fossil fuel prices - coal, natural gas and crude oil - using annual data for the U.S. for 1960-2007. The results suggest (1) a stable long-run relation between real prices for electricity and coal (2) Bi-directional long-run causality between coal and electricity prices. (3) Insignificant long-run relations between electricity and crude oil and/or natural gas prices. And (4) no evidence of asymmetries in the adjustment of electricity prices to deviations from equilibrium. A number of implications are addressed. (author)

  2. Target Price Accuracy

    Directory of Open Access Journals (Sweden)

    Alexander G. Kerl

    2011-04-01

    Full Text Available This study analyzes the accuracy of forecasted target prices within analysts’ reports. We compute a measure for target price forecast accuracy that evaluates the ability of analysts to exactly forecast the ex-ante (unknown 12-month stock price. Furthermore, we determine factors that explain this accuracy. Target price accuracy is negatively related to analyst-specific optimism and stock-specific risk (measured by volatility and price-to-book ratio. However, target price accuracy is positively related to the level of detail of each report, company size and the reputation of the investment bank. The potential conflicts of interests between an analyst and a covered company do not bias forecast accuracy.

  3. Essays on Economic Volatility and Financial Frictions

    OpenAIRE

    Zhao, Hongyan

    2012-01-01

    This dissertation consists of three essays in macroeconomics. The first one essay discusses the reasons of Chinese huge foreign reserves holdings. It contributes to the literature of sudden stops, precautionary saving and foreign assets holdings. In the second essay, I study the price volatility of commodities and manufactured goods. I measure the price volatility of each individual goods but not on the aggregated level and therefore the results complete the related study. The third essay exp...

  4. Price

    International Nuclear Information System (INIS)

    Anon.

    1991-01-01

    The price terms in wheeling contracts very substantially, reflecting the differing conditions affecting the parties contracting for the service. These terms differ in the manner in which rates are calculated, the formulas used, and the philosophy underlying the accord. For example, and EEI study found that firm wheeling rates ranged from 20 cents to $1.612 per kilowatt per month. Nonfirm rates ranged from .15 mills to 5.25 mills per kilowatt-hour. The focus in this chapter is on cost-based rates, reflecting the fact that the vast majority of existing contracts are based on rate designs reflecting embedded costs. This situation may change in the future, but, for now, this fact can't be ignored

  5. When do relative prices matter for measuring income inequality? The case of food prices in Mozambique

    DEFF Research Database (Denmark)

    Arndt, Channing; Jones, Edward Samuel; Salvucci, Vincenzo

    2015-01-01

    are accounted for, inequality of real consumption increases substantially. We obtain this result by constructing a price deflator that reflects divergent price dynamics of different product categories. Since the main factors driving this result prevail in other developing countries, it is likely that inequality...

  6. Is Every Smoker Interested in Price Promotions? An Evaluation of Price-Related Discounts by Cigarette Brands.

    Science.gov (United States)

    Xu, Xin; Wang, Xu; Caraballo, Ralph S

    2016-01-01

    Raising unit price is one of the most effective ways of reducing cigarette consumption. A large proportion of US adult smokers use generic brands or price discounts in response to higher prices, which may mitigate the public health impacts of raising unit price. The main purpose of this study was to evaluate the retail price impact and the determinants of price-related discount use among US adult smokers by their most commonly used cigarette brand types. Data from the 2009-2010 National Adult Tobacco Survey, a telephone survey of US adults 18 years or older, was used to assess price-related discount use by cigarette brands. Price-related discounts included coupons, rebates, buy 1 get 1 free, 2 for 1, or any other special promotions. Multivariate logistic regression was used to assess sociodemographic and tobacco use determinants of discount use by cigarette brands. Discount use was most common among premium brand users (22.1%), followed by generic (13.3%) and other brand (10.8%) users. Among premium brand users, those who smoked 10 to 20 cigarettes per day were more likely to use discounts, whereas elderly smokers, non-Hispanic blacks, those with greater annual household income, dual users of cigarettes and other combustible tobacco products, and those who had no quit intentions were less likely to do so. Among generic brand users, those who had no quit intentions and those who smoked first cigarette within 60 minutes after waking were more likely to use discounts. Frequent use of discounts varies between smokers of premium and generic cigarette brands. Setting a high minimum price, together with limiting the use of coupons and promotions, may uphold the effect of cigarette excise taxes to reduce smoking prevalence.

  7. American options under stochastic volatility

    NARCIS (Netherlands)

    Chockalingam, A.; Muthuraman, K.

    2011-01-01

    The problem of pricing an American option written on an underlying asset with constant price volatility has been studied extensively in literature. Real-world data, however, demonstrate that volatility is not constant, and stochastic volatility models are used to account for dynamic volatility

  8. The Effect on the Indicators of Unemployment of International Crude Oil Price Volatility: Empirical Findings on the Case of Turkey

    Directory of Open Access Journals (Sweden)

    Birol Erkan

    2011-12-01

    Full Text Available Oil prices may have an impact on economic activity through various transmission channels. A number of recent studies have emphasized the role of oil prices and macro-economic variables. The aim of this paper is to study the short-term/longterm relationship between oil prices and unemployment in Turkey. The most common cause of increasing oil prices over the last thirty years has been a decrease in supply. Prices increased during the early 1970s as OPEC reduced supply. Again prices increased in the late 1970s and early 1980s as the collapse of the government of the Shah of Iran and subsequent war between Iran and Iraq threatened supply. We applied Granger causal modals to determine if oil prices “Granger Caused” unemployment for data between 2005:01 and 2009:12 in Turkey. However, we performed Vector Autoregressive Model (VAR to determine the relationship between to variables in question, to estimate these relationships and to determine the delay values. As a result, long-term relationship between oil prices and unemployment rate are available in Turkey, and changes in the unemployment rate do not affect oil prices, oil prices changes affect the unemployment rate (this effect is the opposite direction

  9. Causes for an asymmetric relation between the price of crude oil and refined petroleum products

    International Nuclear Information System (INIS)

    Kaufmann, R.K.; Laskowski, C.

    2005-01-01

    We revisit the issue of asymmetries in the relation between the price of crude oil and refined petroleum products in the United States. An econometric analysis of monthly data indicates that the asymmetric relationship between the price of crude oil and motor gasoline is generated by refinery utilization rates and inventory behavior. The asymmetric relation between the price of crude oil and home heating oil probably is generated by contractual arrangements between retailers and consumers. Together, these results imply that price asymmetries may be generated by efficient markets. Under these conditions, there is little justification for policy interventions to reduce or eliminate price asymmetries in motor gasoline and home heating oil markets. (author)

  10. Are energy-dense foods really cheaper? Reexamining the relation between food price and energy density.

    Science.gov (United States)

    Lipsky, Leah M

    2009-11-01

    The inverse relation between energy density (kcal/g) and energy cost (price/kcal) has been interpreted to suggest that produce (fruit, vegetables) is more expensive than snacks (cookies, chips). The objective of this study was to show the methodologic weakness of comparing energy density with energy cost. The relation between energy density and energy cost was replicated in a random-number data set. Additionally, observational data were collected for produce and snacks from an online supermarket. Variables included total energy (kcal), total weight (g), total number of servings, serving size (g/serving), and energy density (kcal/g). Price measures included energy cost ($/kcal), total price ($), unit price ($/g), and serving price ($/serving). Two-tailed t tests were used to compare price measures by food category. Relations between energy density and price measures within food categories were examined with the use of Spearman rank correlation analysis. The relation between energy density and energy cost was shown to be driven by the algebraic properties of these variables. Food category was strongly correlated with both energy density and food price measures. Energy cost was higher for produce than for snacks. However, total price and unit price were lower for produce. Serving price and serving size were greater for produce than for snacks. Within food categories, energy density was uncorrelated with most measures of food price, except for a weak positive correlation with serving price within the produce category. The findings suggest the relation between energy density and food price is confounded by food category and depends on which measure of price is used.

  11. Universal scaling behaviors of meteorological variables’ volatility and relations with original records

    Science.gov (United States)

    Lu, Feiyu; Yuan, Naiming; Fu, Zuntao; Mao, Jiangyu

    2012-10-01

    Volatility series (defined as the magnitude of the increments between successive elements) of five different meteorological variables over China are analyzed by means of detrended fluctuation analysis (DFA for short). Universal scaling behaviors are found in all volatility records, whose scaling exponents take similar distributions with similar mean values and standard deviations. To reconfirm the relation between long-range correlations in volatility and nonlinearity in original series, DFA is also applied to the magnitude records (defined as the absolute values of the original records). The results clearly indicate that the nonlinearity of the original series is more pronounced in the magnitude series.

  12. Pricing in the International Takeoff of New Products

    NARCIS (Netherlands)

    Chandrasekaran, D.; Arts, J.W.C.; Tellis, G.J.; Frambach, R.T.

    2013-01-01

    This study focuses on the effect of two dimensions of price (relative price and price volatility) on the international takeoff of new products. The study examines these drivers of takeoff using a novel data set of bimonthly observations of 7 new consumer electronic products in 8 countries. The

  13. Price and Volatility Spillovers across North American, European and Asian Stock Markets: With Special Focus on Indian Stock Market

    OpenAIRE

    Priyanka Singh; Brajesh Kumar; Pandey, Ajay

    2008-01-01

    This paper investigates interdependence of fifteen world indices including an Indian market index in terms of return and volatility spillover effect. Interdependence of Indian stock market with other fourteen world markets in terms of long run integration, short run dependence (return spillover) and volatility spillover are investigated. These markets are that of are Canada, China, France, Germany, Hong-Kong, Indonesia, Japan, Korea, Malaysia, Pakistan, Singapore, Taiwan, United Kingdom and U...

  14. The Impact of Tax Shocks and Oil Price Volatility on Risk - A Study of North Sea Oilfield Projects

    OpenAIRE

    Kretzschmar, Gavin Lee; Moles, Peter

    2006-01-01

    We examine the impact of market volatility and increased fiscal take on risk in strategic natural resource projects. An increase in 2006 UK oilfield taxation is used as a natural experiment for assessing the impact of a fiscal increase on oilfield projects comprising 73% of UK reserves. Stochastic cash flow at risk models combine market volatility and tax-take at the oilfield level to extend earlier North Sea studies. We demonstrate that a 10% Secondary tax increase in a composite UKCS fiscal...

  15. Causality relation between the producer price index and the consumer price index. Ecuador Case

    Directory of Open Access Journals (Sweden)

    Víctor Quinde Rosales

    2018-01-01

    Full Text Available The present document is an investigation with a type of inductive reasoning. It evaluated the relationship of causality between the producer price index (IPP, and the consumer price index (IPC in a period from January 1998 to December 2016. The unit root test Dickey-Fuller Augmented (DFA was used under an empirical- analytic paradigm, an autoregressive vector-VAR model was generated and the Granger causality test was performed. The results show a positive trend and seasonality in the data of the variables, a VAR model of two variables was obtained with a number of optimal remnants of fourteen VAR2 (14 to which the causality test was performed, demonstrating a bi - directionality of both indices.

  16. Relative Food Prices and Obesity in U.S. Metropolitan Areas: 1976-2001

    Science.gov (United States)

    Xu, Xin; Variyam, Jayachandran N.; Zhao, Zhenxiang; Chaloupka, Frank J.

    2014-01-01

    This study investigates the impact of food price on obesity, by exploring the co-occurrence of obesity growth with relative food price reduction between 1976 and 2001. Analyses control for female labor participation and metropolitan outlet densities that might affect body weight. Both the first-difference and fixed effects approaches provide consistent evidence suggesting that relative food prices have substantial impacts on obesity and such impacts were more pronounced among the low-educated. These findings imply that relative food price reductions during the time period could plausibly explain about 18% of the increase in obesity among the U.S. adults in metropolitan areas. PMID:25502888

  17. Asset price and trade volume relation in artificial market impacted by value investors

    Science.gov (United States)

    Tangmongkollert, K.; Suwanna, S.

    2016-05-01

    The relationship between return and trade volume has been of great interests in a financial market. The appearance of asymmetry in the price-volume relation in the bull and bear market is still unsettled. We present a model of the value investor traders (VIs) in the double auction system, in which agents make trading decision based on the pseudo fundamental price modelled by sawtooth oscillations. We investigate the system by two different time series for the asset fundamental price: one corresponds to the fundamental price in a growing phase; and the other corresponds to that in a declining phase. The simulation results show that the trade volume is proportional to the difference between the market price and the fundamental price, and that there is asymmetry between the buying and selling phases. Furthermore, the selling phase has more significant impact of price on the trade volume than the buying phase.

  18. Volatilidad de precios internacionales recibidos por los productores de kiwis y manzanas frescas chilenas Volatility of international prices received by chilean fresh kiwi and apple farmers

    Directory of Open Access Journals (Sweden)

    Germán Lobos Andrade

    2008-03-01

    Full Text Available El objetivo de este trabajo fue analizar el comportamiento de los precios medios FOB y el de los precios medios recibidos por los productores de kiwis y manzanas frescas chilenas, usando datos mensuales del periodo enero 1998 a diciembre 2005. Los valores fueron expresados en moneda de diciembre de 2005 usando como deflactor el WPI de EE.UU. Las series de precios medios recibidos por los productores se estimaron indirectamente restando a los precios medios FOB las comisiones y tarifas de exportación. Como medida de volatilidad se usó la desviación estándar de los retornos (variación de precios continuos de cada serie. Se utilizó el método del promedio geométrico móvil para estimar patrones de estacionalidad ajustada de los precios recibidos por los productores de kiwis y manzanas frescas chilenas. Se observó una mayor volatilidad de los retornos en kiwis (47,5% que en manzanas (17,3%. Los resultados mostraron: a una menor estacionalidad de precios para kiwis que manzanas; b una estabilidad de precios en marzo y desde julio a noviembre para kiwis, y desde febrero a junio y desde agosto a diciembre para manzanas; c un valor máximo en diciembre y más bajo en junio para kiwis, un valor máximo en julio y más bajo en enero para manzanas.The purpose of this study is to analyze the behavior of FOB average prices and the average prices received by fresh kiwi and apple producers, using monthly figures for the period spanning from January 1998 to December 2005. The values were expressed in December 2005 currency rates using the U.S.A. WPI (Wholesale Price Index as a deflator. The series of average prices received by the producers were estimated indirectly by subtracting the commissions and export tariffs from the FOB average prices. As a measure of volatility, the standard deviation of the continuous returns (prices variation of each series was used. The patterns of seasonally adjusted price fluctuations, received by Chilean fresh kiwi and

  19. Relative price level developments in the Baltic economies and lessons to learn from the crises. Suhteline hinnatase Balti riikide majandustes ja kriisikogemused

    Directory of Open Access Journals (Sweden)

    Meelis Angerma

    2012-01-01

    Full Text Available Estonia and other Baltic countries experienced speculative boom in years 2004-2008. The boom resulted in rapidly rising relative price level or real exchange rate. Euro wages are used as proxies for bilateral real exchange rates. Rapid reversal of capital inflow created instantly short-term real exchange rate overvaluation. The data shows that some other developing countries, like Poland and Russia let their price level to adjust through depreciation of nominal exchange rate. Estonia and other Baltic countries decided to go through adjustment with deflation of prices and wages. This contributed to higher unemployment rate and GDP loss. The most positive way out appears to be restoration of foreign investors interest in local economy and raising equilibrium real exchange rate reducing likely real exchange rate overvaluation. The other important implication was that local businessmen and other individuals were too much risk-takers for volatile emerging market economy.

  20. Dynamic Relationship between Crude Oil Price, Exchange Rate and ...

    African Journals Online (AJOL)

    DrNneka

    Second, since Hamilton (1983) documented the impact of crude oil price volatility .... Hariri,2013) sourced from the U.S. Energy Information Administration (EIA). .... is explained by identifying the relative importance of a variable in generating.

  1. The Impact of Oil Prices on Irish Inflation

    OpenAIRE

    O'Brien, Derry; Weymes, Laura

    2010-01-01

    Oil prices have been characterised by large fluctuations in recent years. Strong volatility in oil prices has important implications for the Irish economy as Ireland has a relatively poor fuel endowment and relies heavily on imported oil. Energy price increases have been one of the principal drivers behind HICP inflation rates in Ireland in recent years. This article highlights the distinctive features of the Irish energy market which render the impact of oil price changes on Irish inflation ...

  2. Electricity price modeling with stochastic time change

    International Nuclear Information System (INIS)

    Borovkova, Svetlana; Schmeck, Maren Diane

    2017-01-01

    In this paper, we develop a novel approach to electricity price modeling, based on the powerful technique of stochastic time change. This technique allows us to incorporate the characteristic features of electricity prices (such as seasonal volatility, time varying mean reversion and seasonally occurring price spikes) into the model in an elegant and economically justifiable way. The stochastic time change introduces stochastic as well as deterministic (e.g., seasonal) features in the price process' volatility and in the jump component. We specify the base process as a mean reverting jump diffusion and the time change as an absolutely continuous stochastic process with seasonal component. The activity rate of the stochastic time change can be related to the factors that influence supply and demand. Here we use the temperature as a proxy for the demand and hence, as the driving factor of the stochastic time change, and show that this choice leads to realistic price paths. We derive properties of the resulting price process and develop the model calibration procedure. We calibrate the model to the historical EEX power prices and apply it to generating realistic price paths by Monte Carlo simulations. We show that the simulated price process matches the distributional characteristics of the observed electricity prices in periods of both high and low demand. - Highlights: • We develop a novel approach to electricity price modeling, based on the powerful technique of stochastic time change. • We incorporate the characteristic features of electricity prices, such as seasonal volatility and spikes into the model. • We use the temperature as a proxy for the demand and hence, as the driving factor of the stochastic time change • We derive properties of the resulting price process and develop the model calibration procedure. • We calibrate the model to the historical EEX power prices and apply it to generating realistic price paths.

  3. Signals of speciation: Volatile organic compounds resolve closely related sagebrush taxa, suggesting their importance in evolution

    Science.gov (United States)

    Deidre M. Jaeger; Justin B. Runyon; Bryce A. Richardson

    2016-01-01

    Volatile organic compounds (VOCs) play important roles in the environmental adaptation and fitness of plants. Comparison of the qualitative and quantitative differences in VOCs among closely related taxa and assessing the effects of environment on their emissions are important steps to deducing VOC function and evolutionary importance.

  4. Normalization for Implied Volatility

    OpenAIRE

    Fukasawa, Masaaki

    2010-01-01

    We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given. Pricing formulas for the European options which are written in terms of the implied volatility are given. In particular, we prove elegant formulas for the fair strikes of the variance swap and the gamma swap.

  5. Investor attention and FX market volatility

    OpenAIRE

    Goddard, John; Kita, Arben; Wang, Qingwei

    2015-01-01

    We study the relationship between investors’ active attention, measured by a Google search volume index (SVI), and the dynamics of currency prices. Investor attention is correlated with the trading activities of large FX market participants. Investor attention comoves with comtemporaneous FX market volatility and predicts subsequent FX market volatility, after controlling for macroeconomic fundamentals. In addition, investor attention is related to the currency risk premium. Our results sugge...

  6. Comparison of antioxidant potential of volatile oils of syzygium aromaticum and Illicium verum relative to conventionally used standards

    International Nuclear Information System (INIS)

    Riaz, T.; Abbasi, M.A.; Umar, M.I.; Aziz-ur-Rehman; Shahzadi, T.; Khan, K.M.; Ahmad, V.U.

    2011-01-01

    The volatile oils of Syzygium aromaticum Linn. (cloves) and Illicium verum Hook. (star anise) were extracted by steam distillation. The antioxidant potential of these oils was evaluated by four methods: 1,1-Diphenyl-2-picrylhydrazyl radical (DPPH) free radical scavenging activity, total antioxidant activity, Ferric Reducing Antioxidant Power (FRAP) assay and ferric thiocyanate assay and total phenolics were also determined. The results revealed that scavenging potential of clove volatile oil was more than star anise volatile oil. The IC/sub 50/ of the clove volatile oil was 4.56 +- 1.07 mu g/mL while that of star anise was found to be 120 +- 1.80 mu mL relative to butylated hydroxytoluene (BHT), having IC/sub 50/ of 12.1 +- 0.92 mu g/mL. Total antioxidant activity of clove volatile oil was also higher than star anise volatile oil. The FRAP values of clove and star anise volatile oils were 2830 +- 2.14 and 388 +- 1.32 mu g of trolox equivalents (TE) respectively. The total phenolic contents of clove and star anise volatile oils were 934.34 +- 1.6 and 85.36 +- 0.28 mg of gallic acid equivalents (GAE)/g of volatile oil respectively. The inhibition of lipid peroxidation by clove volatile oil was found to be 66.63% +- 0.41 while that of star anise was 43.24% +- 0.48. (author)

  7. Petroleum price

    International Nuclear Information System (INIS)

    Maurice, J.

    2001-01-01

    The oil market is the most volatile of all markets, with the exception of the Nasdaq. It is also the biggest commodity market in the world. Therefore one cannot avoid forecasting oil prices, nor can one expect to avoid the forecasting errors that have been made in the past. In his report, Joel Maurice draws a distinction between the short term and the medium-long term in analysing the outlook for oil prices. (author)

  8. Assessing the impacts of Saskatchewan's minimum alcohol pricing regulations on alcohol-related crime.

    Science.gov (United States)

    Stockwell, Tim; Zhao, Jinhui; Sherk, Adam; Callaghan, Russell C; Macdonald, Scott; Gatley, Jodi

    2017-07-01

    Saskatchewan's introduction in April 2010 of minimum prices graded by alcohol strength led to an average minimum price increase of 9.1% per Canadian standard drink (=13.45 g ethanol). This increase was shown to be associated with reduced consumption and switching to lower alcohol content beverages. Police also informally reported marked reductions in night-time alcohol-related crime. This study aims to assess the impacts of changes to Saskatchewan's minimum alcohol-pricing regulations between 2008 and 2012 on selected crime events often related to alcohol use. Data were obtained from Canada's Uniform Crime Reporting Survey. Auto-regressive integrated moving average time series models were used to test immediate and lagged associations between minimum price increases and rates of night-time and police identified alcohol-related crimes. Controls were included for simultaneous crime rates in the neighbouring province of Alberta, economic variables, linear trend, seasonality and autoregressive and/or moving-average effects. The introduction of increased minimum-alcohol prices was associated with an abrupt decrease in night-time alcohol-related traffic offences for men (-8.0%, P prices may contribute to reductions in alcohol-related traffic-related and violent crimes perpetrated by men. Observed lagged effects for violent incidents may be due to a delay in bars passing on increased prices to their customers, perhaps because of inventory stockpiling. [Stockwell T, Zhao J, Sherk A, Callaghan RC, Macdonald S, Gatley J. Assessing the impacts of Saskatchewan's minimum alcohol pricing regulations on alcohol-related crime. Drug Alcohol Rev 2017;36:492-501]. © 2016 Australasian Professional Society on Alcohol and other Drugs.

  9. China's coal price disturbances: Observations, explanations, and implications for global energy economies

    International Nuclear Information System (INIS)

    Yang, Chi-Jen; Xuan, Xiaowei; Jackson, Robert B.

    2012-01-01

    Since China decontrolled coal prices, its coal price has risen steadily and been unusually volatile. In 2011 in particular, high coal prices and capped electricity prices in China discouraged coal-fired power generation, triggering widespread power shortages. We suggest that these coal-price disturbances could be symptomatic of a major change in pricing dynamics of global fossil-fuel markets, with increasing correspondence between coal and oil prices globally. Historically, global coal prices have been more stable and lower than oil and natural gas prices on a per-heat basis. In recent years, however, coal prices have been increasingly volatile worldwide and have tracked other fossil fuel prices more closely. Meanwhile, the recent development of unconventional gas has substantially decoupled US natural gas and oil prices. Technically, low US natural gas prices, with potential fuel switching, could drive US domestic coal prices lower. However, this effect is unlikely to counteract the overall trend in increasing coal consumption globally. China's market size and unique, partially-controlled energy system make its reform agenda a key force in the global economy. Policymakers in the US, E.U. and elsewhere should monitor China's economic reform agenda to anticipate and respond to changes accompanying China's increasing importance in the global energy economy. - Highlights: ► Since China decontrolled its coal prices, the price of coal has risen steadily in China, accompanied by unusual volatility. ► Relatively high and volatile coal prices have triggered widespread power shortages in China. ► Coal and oil prices have already become, and continue to become, more closely linked globally. ► China's demand will likely drive up global coal prices and make them as volatile as that of other fossil fuels. ► Policymakers should monitor China's economic reform agenda to anticipate and respond to changes in the global energy economy.

  10. [Evolution of the relative prices of food groups between 1939 and 2010 in the city of Sao Paulo, Southeastern Brazil].

    Science.gov (United States)

    Yuba, Tania Yuka; Sarti, Flavia Mori; Campino, Antonio Carlos Coelho; Carmo, Heron Carlos Esvael do

    2013-06-01

    To analyze the evolution of relative prices of food groups and its influence on public healthy eating policies. Data from the municipality of Sao Paulo between 1939 and 2010 were analyzed based on calculating index numbers. Data from the Economic Researches Foundation Institute price database and weight structures (1939 to 1988) and from the Brazilian Institute of Geography and Statistics (1989 to 2010) were used to. The price database was organized, its consistency tested and prices were deflated using the consumer price index. Relative prices were calculated and associated to food categories and groups, according to the food pyramid guide adapted for the Brazilian population. The price indices for each group were calculated according to Laspeyres modified formula. The general food price index was compared with the indices for each food group and respective category: fresh food, processed food, beverages, meat, legumes, milk and eggs, cereals and root vegetables and eating out. Price indices for fat, oil, spices, sugars and sweets and processed food showed relative price reduction. Fresh food, such as fruit and vegetables, showed an increase in relative prices. Other food groups, such as cereals, flour and pasta, meat, milk and egg, showed a steadier long term trend in relative prices. The evolution of relative prices of food in the city of Sao Paulo demonstrates a negative trend towards healthy eating at household level in the long run.

  11. Wine phenolic compounds influence the production of volatile phenols by wine-related lactic acid bacteria.

    Science.gov (United States)

    Silva, I; Campos, F M; Hogg, T; Couto, J A

    2011-08-01

    To evaluate the effect of wine phenolic compounds on the production of volatile phenols (4-vinylphenol [4VP] and 4-ethylphenol [4EP]) from the metabolism of p-coumaric acid by lactic acid bacteria (LAB). Lactobacillus plantarum, Lactobacillus collinoides and Pediococcus pentosaceus were grown in MRS medium supplemented with p-coumaric acid, in the presence of different phenolic compounds: nonflavonoids (hydroxycinnamic and benzoic acids) and flavonoids (flavonols and flavanols). The inducibility of the enzymes involved in the p-coumaric acid metabolism was studied in resting cells. The hydroxycinnamic acids tested stimulated the capacity of LAB to synthesize volatile phenols. Growth in the presence of hydroxycinnamic acids, especially caffeic acid, induced the production of 4VP by resting cells. The hydroxybenzoic acids did not significantly affect the behaviour of the studied strains. Some of the flavonoids showed an effect on the production of volatile phenols, although strongly dependent on the bacterial species. Relatively high concentrations (1 g l(-1) ) of tannins inhibited the synthesis of 4VP by Lact. plantarum. Hydroxycinnamic acids were the main compounds stimulating the production of volatile phenols by LAB. The results suggest that caffeic and ferulic acids induce the synthesis of the cinnamate decarboxylase involved in the metabolism of p-coumaric acid. On the other hand, tannins exert an inhibitory effect. This study highlights the capacity of LAB to produce volatile phenols and that this activity is markedly influenced by the phenolic composition of the medium. © 2011 The Authors. Journal of Applied Microbiology © 2011 The Society for Applied Microbiology.

  12. Relative Pricing of Publicly Traded U.S. Electric Utility Companies

    Science.gov (United States)

    Jewczyn, Nicholas Stephen

    In the financial turmoil of 2008, U.S. firms reported debt-ratios that differed from the debt-ratios calculated from balance sheets. The problem is that investors bought common stock expecting initial investment return and lost money when companies delisted. The purpose of this quantitative study was to determine sample securities pricing with the application of synthetic assets and debt accrued. Addressed in the research questions was whether those securities were (a) underpriced compared with return-on-assets (ROA), (b) overpriced compared with ROA, (c) a debt-ratio higher than 60% and also overpriced, (d) underpriced with a synthetic asset added, or (e) related by relative pricing to variant pricing and market capitalization. The study's base theory was Pan's efficient market hypothesis (EMH) of security price prediction of market prices versus model prices. The data from the financial statements of 16 publicly traded U.S. electric utility companies were analyzed via correlations and multiple regression analyses to determine securities pricing and suitability. The findings from the analyses of the sample's variables of market price, book value, market-to-book, and study constructed variables from those variable data were statistically significant. The alternate hypotheses were accepted for all 5 research questions since the analytical operationalization of the hypothetical constructs led to significant relationships. Results suggest that the use of more pricing determinants in securities evaluation may lead to investors losing less money and earning the expected returns for a more efficient capital market, leading to a stronger economy and macroeconomic stability.

  13. Pricing Mining Concessions Based on Combined Multinomial Pricing Model

    Directory of Open Access Journals (Sweden)

    Chang Xiao

    2017-01-01

    Full Text Available A combined multinomial pricing model is proposed for pricing mining concession in which the annualized volatility of the price of mineral products follows a multinomial distribution. First, a combined multinomial pricing model is proposed which consists of binomial pricing models calculated according to different volatility values. Second, a method is provided to calculate the annualized volatility and the distribution. Third, the value of convenience yields is calculated based on the relationship between the futures price and the spot price. The notion of convenience yields is used to adjust our model as well. Based on an empirical study of a Chinese copper mine concession, we verify that our model is easy to use and better than the model with constant volatility when considering the changing annualized volatility of the price of the mineral product.

  14. The relative price of healthy and less healthy foods available in Australian school canteens.

    Science.gov (United States)

    Billich, Natassja; Adderley, Marijke; Ford, Laura; Keeton, Isabel; Palermo, Claire; Peeters, Anna; Woods, Julie; Backholer, Kathryn

    2018-04-12

    School canteens have an important role in modelling a healthy food environment. Price is a strong predictor of food and beverage choice. This study compared the relative price of healthy and less healthy lunch and snack items sold within Australian school canteens. A convenience sample of online canteen menus from five Australian states were selected (100 primary and 100 secondary schools). State-specific canteen guidelines were used to classify menu items into 'green' (eat most), 'amber' (select carefully) and 'red' (not recommended in schools). The price of the cheapest 'healthy' lunch (vegetable-based 'green') and snack ('green' fruit) item was compared to the cheapest 'less healthy' ('amber/red') lunch and snack item, respectively, using an un-paired t-test. The relative price of the 'healthy' items and the 'less healthy' items was calculated to determine the proportion of schools that sold the 'less healthy' item cheaper. The mean cost of the 'healthy' lunch items was greater than the 'less healthy' lunch items for both primary (AUD $0.70 greater) and secondary schools ($0.50 greater; p snack was cheaper than the 'healthy' snack. These proportions were greatest for primary schools located in more, compared to less, disadvantaged areas. The relative price of foods sold within Australian school canteens appears to favour less healthy foods. School canteen healthy food policies should consider the price of foods sold.

  15. Tannin profile of different Monastrell wines and its relation to projected market prices.

    Science.gov (United States)

    Gómez-Plaza, Encarna; Olmos, Oscar; Bautista-Ortín, Ana Belén

    2016-08-01

    This study focuses on the differences or similarities in tannin composition and concentration in Monastrell wines from different wineries from the same geographic area and, within each winery, from wines elaborated based on different projected market prices, to determine whether there is any relationship between the wine tannin composition and the projected price. The tannin composition of the different wines, all of them analyzed at the same point during winemaking, indicated that those elaborated as premium wines presented higher phenol and tannin contents. The mean degree of polymerization of these wines was also positively related with the projected price, which agreed with the results obtained by size exclusion chromatography, that showed that wines with high projected prices had a higher proportion of polymeric tannins, suggesting that techniques favoring the extraction of skin tannins were mostly used in those wines projected as premium wines, probably looking for greater mouthfeel complexity. Copyright © 2016 Elsevier Ltd. All rights reserved.

  16. Dependence of Oak-Related Volatile Compounds on the Physicochemical Characteristics of Barrel-Aged Wines

    Directory of Open Access Journals (Sweden)

    Pedro Rodríguez-Rodríguez

    2012-01-01

    Full Text Available This paper focuses on the effect of some of the physicochemical characteristics of wines such as volatile acidity, titratable acidity, pH, free SO2 and alcohol content on the accumulation of oak-related volatile compounds in barrel-aged wines, in order to give more light on the contradictory results found by other authors in this respect. For this, three different single variety wines were aged for twelve months in barrels with the same characteristics (same cooperage, wood origin, toasting level and volume, repeating the experiment in two consecutive years. Our results show that the percentage of wine alcohol and its titratable acidity positively correlated with the final concentration of vanillin and guaiacyl compounds in the oak-matured wines and negatively with the cis- and trans-β-methyl-γ-octalactone concentration. Therefore, when studying the effect of oak barrel variables (oak origin and seasoning, size of the barrel, number of uses, etc. on the concentration of oak-related volatile compounds in wine, the effect of the physicochemical variables of the wine, especially titratable acidity and alcohol content, should also be taken into account since the final wine aroma composition will also depend on these characteristics.

  17. Causal Relationship Between Relative Price Variability and Inflation in Turkey: Evidence from Panel Data

    Directory of Open Access Journals (Sweden)

    Nebiye Yamak

    2016-06-01

    Full Text Available This study investigates the causal relationship between inflation and relative price variability in Turkey for the period of January 2003-January 2014, by using panel data. In the study, a Granger (1969 non-causality test in heterogeneous panel data models developed by Dumitrescu and Hurlin (2012 is utilized to determine the causal relations between inflation rate relative price variability. The panel data consists of 4123 observations: 133 time observations and 31 cross-section observations. The results of panel causality test indicate that there is a bidirectional causality between inflation rate and relative price variability by not supporting the imperfection information model of Lucas and the menu cost model of Ball and Mankiw.

  18. Relationships between Microbial Activities and Subduction-related Outgassing and Volatile Flux at Aleutian Arc Volcanoes

    Science.gov (United States)

    Miller, H.; Lopez, T. M.; Fischer, T. P.; Schrenk, M. O.

    2016-12-01

    Subduction-related processes, including the movement and alteration of carbon compounds, are an important component of global geochemical cycles. Actively degassing volcanoes of the Aleutian Island arc offer interesting opportunities to not only characterize the composition and abundance of volatiles, but also to identify the origin of the discharging gases (e.g. mantle, organic matter, or carbonates). Taking this approach a step further, microbial activities in and around volcanic fumarole areas may impact the composition and flux of reduced volcanic gases, either through their modification or their assimilation into fixed biomass. Microbiological studies of these systems can be used to develop predictive models to complement those based upon geochemical data while providing greater understanding of the causal relationships between microbial populations and their environment, and ultimately refine estimates of volcanic outgassing. Coupled fumarole soil and gas samples were collected from several Aleutian Island volcanoes in 2015 (Gareloi, Kanaga, Kiska, Little Sitkin) and 2016 (Okmok, Resheschnoi). DNA was extracted from the soil and used to describe microbial community composition, while gas samples were analyzed through chromatography and mass spectrometry. Preliminary data suggests a relationship between the abundance of specific groups of prokaryotes known to metabolize reduced gases, such as sulfur-oxidizers and methanotrophs, and the abundances of the degassing volatiles, including sulfur dioxide and methane. Ongoing studies aimed at investigating the relationship between the genomic composition of the fumarolic microbial community and the physical and chemical properties of the soil (i.e. mineralogy, bulk geochemistry, nutrient concentration, gas flux, and environmental measurements) are underway. These data will be used to evaluate the potential for microbial communities to remove volcanic carbon and store it as biomass, or to modify the volatile carbon

  19. The impact of relative energy prices on industrial energy consumption in China: a consideration of inflation costs.

    Science.gov (United States)

    He, Lingyun; Ding, Zhihua; Yin, Fang; Wu, Meng

    2016-01-01

    Significant effort has been exerted on the study of economic variables such as absolute energy prices to understand energy consumption and economic growth. However, this approach ignores general inflation effects, whereby the prices of baskets of goods may rise or fall at different rates from those of energy prices. Thus, it may be the relative energy price, not the absolute energy price, that has most important effects on energy consumption. To test this hypothesis, we introduce a new explanatory variable, the domestic relative energy price, which we define as "the ratio of domestic energy prices to the general price level of an economy," and we test the explanatory power of this new variable. Thus, this paper explores the relationship between relative energy prices and energy consumption in China from the perspective of inflation costs over the period from 1988 to 2012. The direct, regulatory and time-varying effects are captured using methods such as ridge regression and the state-space model. The direct impacts of relative energy prices on total energy consumption and intensity are -0.337 and -0.250, respectively; the effects of comprehensive regulation on energy consumption through the economic structure and the energy structure are -0.144 and -0.148, respectively; and the depressing and upward effects of rising and falling energy prices on energy consumption are 0.3520 and 0.3564, respectively. When economic growth and the energy price level were stable, inflation persisted; thus, rising energy prices benefitted both the economy and the environment. Our analysis is important for policy makers to establish effective energy-pricing policies that ensure both energy conservation and the stability of the pricing system.

  20. An Extrapolative Model of House Price Dynamics

    OpenAIRE

    Edward L. Glaeser; Charles G. Nathanson

    2015-01-01

    A modest approximation by homebuyers leads house prices to display three features that are present in the data but usually missing from perfectly rational models: momentum at one-year horizons, mean reversion at five-year horizons, and excess longer-term volatility relative to fundamentals. Valuing a house involves forecasting the current and future demand to live in the surrounding area. Buyers forecast using past transaction prices. Approximating buyers do not adjust for the expectations of...

  1. Game auction prices are not related to biodiversity contributions of southern African ungulates and large carnivores

    Science.gov (United States)

    Dalerum, Fredrik; Miranda, Maria

    2016-02-01

    There is an urgent need for human societies to become environmentally sustainable. Because public policy is largely driven by economic processes, quantifications of the relationship between market prices and environmental values can provide important information for developing strategies towards sustainability. Wildlife in southern Africa is often privately owned and traded at game auctions to be utilized for commercial purposes mostly related to tourism. This market offers an interesting opportunity to evaluate how market prices relate to biologically meaningful species characteristics. In this market, prices were not correlated with species contributions to either phylogenetic or functional diversity, and species contributions to phylogenetic or functional diversity did not influence the trends in prices over time for the past 20 years. Since this economic market did not seem to appreciate evolutionary or ecologically relevant characteristics, we question if the game tourism market may contribute towards biodiversity conservation in southern Africa. We suggest that market prices in general may have limited values as guides for directing conservation and environmental management. We further suggest that there is a need to evaluate what humans value in biological organisms, and how potentially necessary shifts in such values can be instigated.

  2. Identification of Systemic Acquired Resistance–Related Volatile Organic Compounds and their Role in Plant Immunity

    OpenAIRE

    Bichlmeier, Marlies

    2017-01-01

    Systemic acquired resistance (SAR) is an inducible immune response that depends on ENHANCED DISEASE SUSCEPTIBILITY1 (EDS1), which is essential for SAR signalling. In contrast to SAR, local resistance remains intact in Arabidopsis (Arabidopsis thaliana) eds1-2 mutant plants in response to Pseudomonas syringae delivering the effector protein AvrRpm1. I utilized the SAR-specific phenotype of the eds1-2 mutant to identify volatile organic compounds (VOCs) related to SAR. To this end, SAR was indu...

  3. Observability of market daily volatility

    Science.gov (United States)

    Petroni, Filippo; Serva, Maurizio

    2016-02-01

    We study the price dynamics of 65 stocks from the Dow Jones Composite Average from 1973 to 2014. We show that it is possible to define a Daily Market Volatility σ(t) which is directly observable from data. This quantity is usually indirectly defined by r(t) = σ(t) ω(t) where the r(t) are the daily returns of the market index and the ω(t) are i.i.d. random variables with vanishing average and unitary variance. The relation r(t) = σ(t) ω(t) alone is unable to give an operative definition of the index volatility, which remains unobservable. On the contrary, we show that using the whole information available in the market, the index volatility can be operatively defined and detected.

  4. Rise of energy price, rise of agricultural prices: what medium- and long-term relations and implications?

    International Nuclear Information System (INIS)

    Voituriez, T.

    2009-01-01

    We review in this study the different factors which have been presented by the scientific community as possible explanations of the sudden upsurge in commodity prices between 2006 and 2008. We examine whether scientific evidence validates any causal relationship, and particularly emphasize the role of explanatory variables underpinning the co-movement of energy and food price rises. Our aim is to provide an up-to-date understanding of food and energy market relationships, so as to better anticipate the possible changes in the evolution of prices in the coming years. (author)

  5. Historic, economic and geographic approach to the relations between economic growth and oil prices

    International Nuclear Information System (INIS)

    Girard, C.

    1992-01-01

    This paper attempts to analyze the complex relations between energy prices and economic growth. In part 1, the history of the last 30 years is used to analyze the consequences of energy price variations on world economic growth. In part 2, two interpretation schemes are described successively. One has to do with the international oil market, and the other concerns the impact of oil shocks on national economies. In part 3, an approach by type of country leads to conclusions respectively for the industrialized countries, for the developing countries and for the newly industrialized countries. 1 fig

  6. 26 CFR 48.4216(a)-3 - Other items relating to tax on sale price.

    Science.gov (United States)

    2010-04-01

    ... 26 Internal Revenue 16 2010-04-01 2010-04-01 true Other items relating to tax on sale price. 48.4216(a)-3 Section 48.4216(a)-3 Internal Revenue INTERNAL REVENUE SERVICE, DEPARTMENT OF THE TREASURY... reason of the failure of the article under a warranty as to its quality or service, and a new article is...

  7. Sustainable Development and the Relative Prices of Fossil and Non-fossil Energy

    DEFF Research Database (Denmark)

    Larsen, Torben

    2007-01-01

    direction of the market forces relevant to a sustainable supply of physical energy for a globalized HiTec-culture taking into account the redoubling of the price of crude oil during the last years.      Changes in the supply pattern of physical energy is supposed to be ruled by the relative unit costs...

  8. Public attitudes towards pricing policies to change health-related behaviours: a UK focus group study.

    Science.gov (United States)

    Somerville, Claire; Marteau, Theresa M; Kinmonth, Ann Louise; Cohn, Simon

    2015-12-01

    Evidence supports the use of pricing interventions in achieving healthier behaviour at population level. The public acceptability of this strategy continues to be debated throughout Europe, Australasia and USA. We examined public attitudes towards, and beliefs about the acceptability of pricing policies to change health-related behaviours in the UK. The study explores what underlies ideas of acceptability, and in particular those values and beliefs that potentially compete with the evidence presented by policy-makers. Twelve focus group discussions were held in the London area using a common protocol with visual and textual stimuli. Over 300,000 words of verbatim transcript were inductively coded and analyzed, and themes extracted using a constant comparative method. Attitudes towards pricing policies to change three behaviours (smoking, and excessive consumption of alcohol and food) to improve health outcomes, were unfavourable and acceptability was low. Three sets of beliefs appeared to underpin these attitudes: (i) pricing makes no difference to behaviour; (ii) government raises prices to generate income, not to achieve healthier behaviour and (iii) government is not trustworthy. These beliefs were evident in discussions of all types of health-related behaviour. The low acceptability of pricing interventions to achieve healthier behaviours in populations was linked among these responders to a set of beliefs indicating low trust in government. Acceptability might be increased if evidence regarding effectiveness came from trusted sources seen as independent of government and was supported by public involvement and hypothecated taxation. © The Author 2015. Published by Oxford University Press on behalf of the European Public Health Association.

  9. Microbial communities related to volatile organic compound emission in automobile air conditioning units.

    Science.gov (United States)

    Diekmann, Nina; Burghartz, Melanie; Remus, Lars; Kaufholz, Anna-Lena; Nawrath, Thorben; Rohde, Manfred; Schulz, Stefan; Roselius, Louisa; Schaper, Jörg; Mamber, Oliver; Jahn, Dieter; Jahn, Martina

    2013-10-01

    During operation of mobile air conditioning (MAC) systems in automobiles, malodours can occur. We studied the microbial communities found on contaminated heat exchanger fins of 45 evaporators from car MAC systems which were operated in seven different regions of the world and identified corresponding volatile organic compounds. Collected biofilms were examined by scanning electron microscopy and fluorescent in situ hybridization. The detected bacteria were loosely attached to the metal surface. Further analyses of the bacteria using PCR-based single-strand conformation polymorphism and sequencing of isolated 16S rRNA gene fragments identified highly divergent microbial communities with multiple members of the Alphaproteobacteriales, Methylobacteria were the prevalent bacteria. In addition, Sphingomonadales, Burkholderiales, Bacillales, Alcanivorax spp. and Stenotrophomonas spp. were found among many others depending on the location the evaporators were operated. Interestingly, typical pathogenic bacteria related to air conditioning systems including Legionella spp. were not found. In order to determine the nature of the chemical compounds produced by the bacteria, the volatile organic compounds were examined by closed loop stripping analysis and identified by combined gas chromatography/mass spectrometry. Sulphur compounds, i.e. di-, tri- and multiple sulphides, acetylthiazole, aromatic compounds and diverse substituted pyrazines were detected. Mathematical clustering of the determined microbial community structures against their origin identified a European/American/Arabic cluster versus two mainly tropical Asian clusters. Interestingly, clustering of the determined volatiles against the origin of the corresponding MAC revealed a highly similar pattern. A close relationship of microbial community structure and resulting malodours to the climate and air quality at the location of MAC operation was concluded.

  10. Modeling spot markets for electricity and pricing electricity derivatives

    Science.gov (United States)

    Ning, Yumei

    Spot prices for electricity have been very volatile with dramatic price spikes occurring in restructured market. The task of forecasting electricity prices and managing price risk presents a new challenge for market players. The objectives of this dissertation are: (1) to develop a stochastic model of price behavior and predict price spikes; (2) to examine the effect of weather forecasts on forecasted prices; (3) to price electricity options and value generation capacity. The volatile behavior of prices can be represented by a stochastic regime-switching model. In the model, the means of the high-price and low-price regimes and the probabilities of switching from one regime to the other are specified as functions of daily peak load. The probability of switching to the high-price regime is positively related to load, but is still not high enough at the highest loads to predict price spikes accurately. An application of this model shows how the structure of the Pennsylvania-New Jersey-Maryland market changed when market-based offers were allowed, resulting in higher price spikes. An ARIMA model including temperature, seasonal, and weekly effects is estimated to forecast daily peak load. Forecasts of load under different assumptions about weather patterns are used to predict changes of price behavior given the regime-switching model of prices. Results show that the range of temperature forecasts from a normal summer to an extremely warm summer cause relatively small increases in temperature (+1.5%) and load (+3.0%). In contrast, the increases in prices are large (+20%). The conclusion is that the seasonal outlook forecasts provided by NOAA are potentially valuable for predicting prices in electricity markets. The traditional option models, based on Geometric Brownian Motion are not appropriate for electricity prices. An option model using the regime-switching framework is developed to value a European call option. The model includes volatility risk and allows changes

  11. Comparative analysis of juice volatiles in selected mandarins, mandarin relatives and other citrus genotypes.

    Science.gov (United States)

    Yu, Yuan; Bai, Jinhe; Chen, Chunxian; Plotto, Anne; Baldwin, Elizabeth A; Gmitter, Frederick G

    2018-02-01

    Citrus fruit flavor is an important attribute prioritized in variety improvement. The present study compared juice volatiles compositions from 13 selected citrus genotypes, including six mandarins (Citrus reticulata), three sour oranges (Citrus aurantium), one blood orange (Citrus sinensis), one lime (Citrus limonia), one Clementine (Citrus clementina) and one satsuma (Citrus unshiu). Large differences were observed with respect to volatile compositions among the citrus genotypes. 'Goutou' sour orange contained the greatest number of volatile compounds and the largest volatile production level. 'Ponkan' mandarin had the smallest number of volatiles and 'Owari' satsuma yielded the lowest volatile production level. 'Goutou' sour orange and 'Moro' blood orange were clearly distinguished from other citrus genotypes based on the analysis of volatile compositions, even though they were assigned into one single group with two other sour oranges by the molecular marker profiles. The clustering analysis based on the aroma volatile compositions was able to differentiate mandarin varieties and natural sub-groups, and was also supported by the molecular marker study. The gas chromatography-mass spectrometry analysis of citrus juice aroma volatiles can be used as a tool to distinguish citrus genotypes and assist in the assessment of future citrus breeding programs. The aroma volatile profiles of the different citrus genotypes and inter-relationships detected among volatile compounds and among citrus genotypes will provide fundamental information on the development of marker-assisted selection in citrus breeding. © 2017 Society of Chemical Industry. © 2017 Society of Chemical Industry.

  12. Varant Yatırımcısının Volatilite Algısına Etki Eden Faktörler: BIST’de Ampirik Bir Uygulama(Factors Affecting the Volatility Perception of Warrant Investors: An Empirical Research on BIST

    Directory of Open Access Journals (Sweden)

    İsrafil ZOR

    2013-12-01

    Full Text Available The aim of the study is to determine the factors that affect the volatility perception of warrant investors. By using 3.187 daily data of 61 call warrants whose underlying asset is BIST-30 Index and traded on BIST in 2012, firstly efficient option pricing model for the related market is confirmed and then volatilities that equalizes the efficient model prices to market prices are calculated and regression analysis is applied to determine factors that affect the volatility. The results of the analysis are revealed that if the closing price of the underlying asset, the days to maturity of the warrant and Turkish Lira Interbank rate increase, the volatility perceived by investors will decrease. Also, there is positive relationship between the closing price of warrants and the perceived volatility. In addition perceived volatility is higher on Monday and first decrease in inflation after 4 months increase reduces the perceived volatility.

  13. A reaction-diffusion model for market fluctuations - A relation between price change and traded volumes

    Science.gov (United States)

    Yuvan, Steven; Bier, Martin

    2018-02-01

    Two decades ago Bak et al. (1997) [3] proposed a reaction-diffusion model to describe market fluctuations. In the model buyers and sellers diffuse from opposite ends of a 1D interval that represents a price range. Trades occur when buyers and sellers meet. We show analytically and numerically that the model well reproduces the square-root relation between traded volumes and price changes that is observed in real-life markets. The result is remarkable as this relation has commonly been explained in terms of more elaborate trader strategies. We furthermore explain why the square-root relation is robust under model modifications and we show how real-life bond market data exhibit the square-root relation.

  14. A Non-linear "Inflation-Relative Prices Variability" Relationship: Evidence from Latin America

    OpenAIRE

    Mª Ángeles Caraballo Pou; Carlos Dabús; Diego Caramuta

    2006-01-01

    This paper presents evidence on a non-linear "inflation-relative prices variability" relationship in three Latin American countries with very high inflation experiences: Argentina, Brazil and Peru. More precisely, and in contrast to results found in previous literature for similar countries, we find a non-concave relation at higher inflation regimes, i.e. when inflation rate surpasses certain threshold. This non-concavity is mainly explained by the unexpected component of inflation, which sug...

  15. Application of Markov Model in Crude Oil Price Forecasting

    Directory of Open Access Journals (Sweden)

    Nuhu Isah

    2017-08-01

    Full Text Available Crude oil is an important energy commodity to mankind. Several causes have made crude oil prices to be volatile. The fluctuation of crude oil prices has affected many related sectors and stock market indices. Hence, forecasting the crude oil prices is essential to avoid the future prices of the non-renewable natural resources to rise. In this study, daily crude oil prices data was obtained from WTI dated 2 January to 29 May 2015. We used Markov Model (MM approach in forecasting the crude oil prices. In this study, the analyses were done using EViews and Maple software where the potential of this software in forecasting daily crude oil prices time series data was explored. Based on the study, we concluded that MM model is able to produce accurate forecast based on a description of history patterns in crude oil prices.

  16. Electricity prices, large-scale renewable integration, and policy implications

    International Nuclear Information System (INIS)

    Kyritsis, Evangelos; Andersson, Jonas; Serletis, Apostolos

    2017-01-01

    This paper investigates the effects of intermittent solar and wind power generation on electricity price formation in Germany. We use daily data from 2010 to 2015, a period with profound modifications in the German electricity market, the most notable being the rapid integration of photovoltaic and wind power sources, as well as the phasing out of nuclear energy. In the context of a GARCH-in-Mean model, we show that both solar and wind power Granger cause electricity prices, that solar power generation reduces the volatility of electricity prices by scaling down the use of peak-load power plants, and that wind power generation increases the volatility of electricity prices by challenging electricity market flexibility. - Highlights: • We model the impact of solar and wind power generation on day-ahead electricity prices. • We discuss the different nature of renewables in relation to market design. • We explore the impact of renewables on the distributional properties of electricity prices. • Solar and wind reduce electricity prices but affect price volatility in the opposite way. • Solar decreases the probability of electricity price spikes, while wind increases it.

  17. Modeling the Effect of Oil Price on Global Fertilizer Prices

    NARCIS (Netherlands)

    P-Y. Chen (Ping-Yu); C-L. Chang (Chia-Lin); C-C. Chen (Chi-Chung); M.J. McAleer (Michael)

    2010-01-01

    textabstractThe main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, the autoregressive distributed lag (ARDL) model, and alternative volatility models, including the

  18. Using Wavelets in Economics. An Application on the Analysis of Wage-Price Relation

    Directory of Open Access Journals (Sweden)

    Vasile-Aurel Caus

    2017-03-01

    Full Text Available In the last decades, more and more approaches of economic issues have used mathematical tools, and among the most recent ones, spectral and wavelet methods are to be distinguished. If in the case of spectral analysis the approaches and results are sufficiently clear, while the use of wavelet decomposition, especially in the analysis of time series, is not fully valorized. The purpose of this paper is to emphasize how these methods are useful for time series analysis. After theoretical considerations on Fourier transforms versus wavelet transforms, we have presented the methodology we have used and the results obtained by using wavelets in the analysis of wage-price relation, based on some empirical data. The data we have used is concerning the Romanian economy - the inflation and the average nominal wage denominated in US dollars, between January 1991 and May 2016, highlighting that the relation between nominal salary and prices can be revealed more accurately by use of wavelets.

  19. The effects of recent volatility in international petroleum markets on Canadian wholesale and retail gasoline prices : a report prepared for the Competition Bureau

    International Nuclear Information System (INIS)

    Roseman, F.

    2005-03-01

    This report addresses concern over high retail prices of gasoline and the low margins earned on gasoline sales in the Greater Toronto Area and in Ottawa, Ontario. The focus of this report was to understand reasons behind fluctuating prices, and to ascertain whether or not escalations in price were in fact anti-competitive acts that the Competition Bureau would have authority to take action over. Information requests were made by the author to all principal petroleum companies and to importers and marketers of gasoline. Detailed information on pricing was provided. Issues of supply and demand were responsible for spikes in prices. Information on petroleum refining and retailing of gasoline was reviewed, as well as information provided from dialogue and shareholder reports. Average refinery and retail margins in Ontario were discussed. It was concluded that fluctuating prices are the result of the petroleum industry's struggle to meet high demand. Any unscheduled maintenance or unanticipated increases in demand resulted in temporary shortfalls in supply, which led to higher prices. Exports were not a factor in increases in retail prices. In addition, domestic supply and the high cost of meeting environmental regulations with regard to sulphur levels in gasoline and diesel may have also played a role. It was also suggested that prices in Canada reflect overall pricing trends in the United States. tabs., figs

  20. Option pricing: Stock price, stock velocity and the acceleration Lagrangian

    Science.gov (United States)

    Baaquie, Belal E.; Du, Xin; Bhanap, Jitendra

    2014-12-01

    The industry standard Black-Scholes option pricing formula is based on the current value of the underlying security and other fixed parameters of the model. The Black-Scholes formula, with a fixed volatility, cannot match the market's option price; instead, it has come to be used as a formula for generating the option price, once the so called implied volatility of the option is provided as additional input. The implied volatility not only is an entire surface, depending on the strike price and maturity of the option, but also depends on calendar time, changing from day to day. The point of view adopted in this paper is that the instantaneous rate of return of the security carries part of the information that is provided by implied volatility, and with a few (time-independent) parameters required for a complete pricing formula. An option pricing formula is developed that is based on knowing the value of both the current price and rate of return of the underlying security which in physics is called velocity. Using an acceleration Lagrangian model based on the formalism of quantum mathematics, we derive the pricing formula for European call options. The implied volatility of the market can be generated by our pricing formula. Our option price is applied to foreign exchange rates and equities and the accuracy is compared with Black-Scholes pricing formula and with the market price.

  1. Exchange Rate – Relative Price Nonlinear Cointegration Relationship in Malaysia

    OpenAIRE

    Venus Khim-Sen Liew; Chee-Keong Choong; Evan Lau; Kian-Ping Lim

    2005-01-01

    The finding of exchange rate–relative price nonlinear cointegration relationship in Malaysia, among others, suggests that nonlinear Purchasing Power Parity (PPP) equilibrium may be regarded as reference point in judging the short run misalignment of the Ringgit currency and thereby deducing effective policy actions. Moreover, economists who wish to extend the simple PPP exchange rate model into the more complicated monetary exchange models may do so comfortably, at least in the text of Mala...

  2. Consumer behaviour towards price-reduced suboptimal foods in the supermarket and the relation to food waste in households.

    Science.gov (United States)

    Aschemann-Witzel, Jessica; Jensen, Jacob Haagen; Jensen, Mette Hyldetoft; Kulikovskaja, Viktorija

    2017-09-01

    To combat food waste, supermarkets offer food items at a reduced price in-store when they are close to the expiration date or perceived as suboptimal. It is yet unknown, however, which considerations consumers engage in when deciding about the offer, and whether focusing particularly on the price during food purchase might be related to greater food waste at home. Knowledge about both the consumers' food purchase process for these price-reduced foods and the potential wastage of price-focused consumers can contribute to the assessment of whether or not offering suboptimal food at reduced prices in-store actually reduces food waste across the supply chain. We explore these questions in a mixed-method study including 16 qualitative accompanied shopping interviews and a quantitative online experimental survey with 848 consumers in Denmark. The interviews reveal that the consumers interviewed assess their ability to consume the price-reduced suboptimal food at home already while in the store. Consumers consider the relation between product-related factors of package unit, expiration date, and product quality, in interaction with household-related factors of freezing/storing, household size/demand, and possible meal/cooking. The survey shows that consumers who are more price-focused report lower food waste levels and lower tendency to choose the optimal food item first at home, than those who are not emphasizing the price-quality relation or do not search for price offers to the same extent. Higher age and high education also played a role, and the price-focus is lower in high-income groups and among single households. The findings allow deriving recommendations for retailers and policy makers to support both the marketability and the subsequent actual consumption of price-reduced suboptimal food, but they also raise questions for further research of this underexplored area. Copyright © 2017 Elsevier Ltd. All rights reserved.

  3. Volatile-mediated suppression of plant pathogens is related to soil properties and microbial community composition

    NARCIS (Netherlands)

    Van Agtmaal, M.; Straathof, A.L.; Termorshuizen, Aad J; Lievens, Bart; Hoffland, Ellis; De Boer, W.

    2018-01-01

    There is increasing evidence that the soil microbial community produces a suite of volatile organic compounds that suppress plant pathogens. However, it remains unknown which soil properties and management practices influence volatile-mediated pathogen suppression. The aim of this study was to

  4. Volatile-mediated suppression of plant pathogens is related to soil properties and microbial community composition

    NARCIS (Netherlands)

    Agtmaal, van Maaike; Straathof, Angela L.; Termorshuizen, Aad; Lievens, Bart; Hoffland, Ellis; Boer, de Wietse

    2018-01-01

    There is increasing evidence that the soil microbial community produces a suite of volatile organic compounds that suppress plant pathogens. However, it remains unknown which soil properties and management practices influence volatile-mediated pathogen suppression. The aim of this study was to

  5. Time-related variation of volatile contents of Western Ghats volcanic formations, Deccan, India

    Science.gov (United States)

    Marzoli, Andrea; Callegaro, Sara; Baker, Don R.; De Min, Angelo; Renne, Paul R.

    2016-04-01

    Deccan volcanism in India covered more than 1 million square km and reached a maximum thickness of about 3 km, as presently preserved in the Western Ghats volcanic lava piles. Volcanic activity started at about 66.4 Ma (Jawhar formation) and ended at about 65.5 Ma (Mahabaleshwar unit; Renne et al., 2015). Deccan volcanism straddled the Cretaceous-Paleogene boundary (ca. 66.0 Ma) and possibly contributed to the end-Cretaceous mass extinction event through emission of gases such as SO2, CO2, Cl, F that may have triggered global climate changes. Severe pollution by volcanic gases is supported by the high S and Cl contents (up to 1400 and up to 900 ppm, respectively; Self et al., 2008) measured in a few olivine- and plagioclase-hosted melt inclusions from the Jawhar, Neral, and Thakurvadi Formations (early lava flows, ca. 66.3-66.4 ± 0.1 Ma; Renne et al., 2015) and by magmatic S contents (up to 1800 ppm; Callegaro et al., 2014) calculated from S measurements in clinopyroxenes from the Mahabaleshwar unit (ca. 65.5 ± 0.1; Schoene et al., 2015). Here, we present new analyses of S, Cl, and F, obtained by ion-probe and synchrotron light micro-fluorescence analyses on clinopyroxenes and plagioclase phenocrysts from ?al? lava flow units of the Western Ghats. The volatile contents of the host magmas have been calculated from recently published clinopyroxene/basalt partition coefficients. These new data will describe the time-related variation of volatile elements hosted and eventually emitted by Deccan lavas and shed light on their environmental impact. References: Callegaro S. et al. (2014). Geology 42, 895-898. Renne P.R. et al. (2015). Science 350, 76-78. Schoene B. et al. (2015). Science 347, 192-184. Self S. et al. (2008). Science 319, 1654-1657.

  6. Oil Price Shocks and Stock Markets in BRICs

    Directory of Open Access Journals (Sweden)

    Ono, Shigeki

    2011-06-01

    Full Text Available This paper examines the impact of oil prices on real stock returns for Brazil, China, India and Russia over 1999:1-2009:9 using VAR models. The results suggest that whereas real stock returns positively respond to some of the oil price indicators with statistical significance for China, India and Russia, those of Brazil do not show any significant responses. In addition, statistically significant asymmetric effects of oil price increases and decreases are observed in India. The analysis of variance decomposition shows that the contribution of oil price shocks to volatility in real stock returns is relatively large and statistically significant for China and Russia.

  7. Measurement of trifluralin volatilization in the field: Relation to soil residue and effect of soil incorporation

    International Nuclear Information System (INIS)

    Bedos, C.; Rousseau-Djabri, M.F.; Gabrielle, B.; Flura, D.; Durand, B.; Barriuso, E.; Cellier, P.

    2006-01-01

    Volatilization may represent a major dissipation pathway for pesticides applied to soils or crops. A field experiment (September, 2002), consisted in volatilization fluxes measurements during 6 days, covering the periods before and after soil incorporation carried out 24 h after trifluralin spraying on bare soil. Evolution of concentration in soil was measured during 101 days, together with soil physical and meteorological variables. Volatilization fluxes were very high immediately after application (1900 ng m -2 s -1 ), decreased down to 100 ng m -2 s -1 in the following 24 h. Soil incorporation strongly abated trifluralin concentration in the air. 99% of the total volatilization losses recorded over the 6 days following application occurred before incorporation. Volatilization fluxes evidenced a diurnal cycle driven by environmental conditions. Soil trifluralin residues could still be quantified 101 days after application. Our results highlight the caution required when using soil degradation half-life values in the field for volatile compounds. - Losses by volatilization contribute significantly to soil dissipation of the herbicide trifluralin before its soil incorporation

  8. Determinants of the Sensory Quality of Półgęsek in Relation to Volatile Compounds and Chemical Composition

    Directory of Open Access Journals (Sweden)

    Nowicka Katarzyna

    2017-12-01

    Full Text Available The objective of this study was to determine the sensory quality of a specific Polish traditional product made from cured and then smoked goose meat (półgęsek in relation to its volatile compounds and chemical composition. In general, the examined samples contained 66.2% water, 12.2% fat, 17.9% protein, 1.8% connective tissue, and 2.3% NaCl. Moreover, 47 volatile compounds were identified and quantified. The typical decomposition products derived from lipid oxidation, amino acid degradation, carbohydrate fermentation and microbial esterification were the main volatiles detected in all the samples. The volatiles generated by the smoking process and the ones originating from spices were also observed. The results of the sensory evaluation indicated that all the samples of the analyzed products were characterized by a high overall quality. Results of the Principal Component Analysis (PCA showed, however, that specific groups of products have their own unique sensory profile. Additionally, the sensory analysis confirmed the significant role of the chemical composition and volatile compounds in the development of the overall quality of półgęsek.

  9. Response of corn markets to climate volatility under alternative energy futures.

    Science.gov (United States)

    Diffenbaugh, Noah S; Hertel, Thomas W; Scherer, Martin; Verma, Monika

    2012-07-01

    Recent price spikes(1,2) have raised concern that climate change could increase food insecurity by reducing grain yields in the coming decades(3,4). However, commodity price volatility is also influenced by other factors(5,6), which may either exacerbate or buffer the effects of climate change. Here we show that US corn price volatility exhibits higher sensitivity to near-term climate change than to energy policy influences or agriculture-energy market integration, and that the presence of a biofuels mandate enhances the sensitivity to climate change by more than 50%. The climate change impact is driven primarily by intensification of severe hot conditions in the primary corn-growing region of the US, which causes US corn price volatility to increase sharply in response to global warming projected over the next three decades. Closer integration of agriculture and energy markets moderates the effects of climate change, unless the biofuels mandate becomes binding, in which case corn price volatility is instead exacerbated. However, in spite of the substantial impact on US corn price volatility, we find relatively small impact on food prices. Our findings highlight the critical importance of interactions between energy policies, energy-agriculture linkages, and climate change.

  10. PRICE AND PRICING STRATEGIES

    OpenAIRE

    SUCIU Titus

    2013-01-01

    In individual companies, price is one significant factor in achieving marketing success. In many purchase situations, price can be of great importance to customers. Marketers must establish pricing strategies that are compatible with the rest of the marketing mix. Management should decide whether to charge the same price to all similar buyers of identical quantities of a product (a one-price strategy) or to set different prices (a flexible price strategy). Many organizations, especially retai...

  11. IMPACT OF AGRICULTURAL POLICY ON RELATIVE PRICE VARIABILITY OF FOOD CROPS AND INFLATION IN NIGERIA

    Directory of Open Access Journals (Sweden)

    Ifeoluwa Akin Babalola

    2016-08-01

    Full Text Available Prices of food crops in Nigeria tend to exhibit similar trend with inflation. The study therefore established quantitatively relationships among agricultural policy, relative price variability (RPV of food crops and inflation in Nigeria. Data for the study includes annual producer prices (nominal and output of food crops and annual inflation rate obtained from the publications of the Central Bank of Nigeria, Nigerian Bureau of Statistics, Food and Agricultural Organisation and Nigerian Institute of Social and Economic Research covering the period of 1970-2009. Analytical tools used were RPV index and Error Correction Method (ECM. The results showed that the variables are stationary at their levels. As inflation increases, RPV of food crops also increases both in short run (0.0002 and the long run (0.0310. Civilian Post-Structural Adjustment Period Policies (CPSAP caused a significant reduction in inflation and consequently reduced the   RPV of food crops in the long run. There is a need for policies that will buffer the food crop sub-sector from the effects of inflation. Policies that reduce the rate of inflation and minimise RPV among food crops are needed. Effective management of inefficiencies and misallocation of resources in the sub-sector should be explored.

  12. Risk management and portfolio optimization in volatile energy markets

    International Nuclear Information System (INIS)

    El-Ramly, Z.

    2002-01-01

    Characteristics of competitive markets, especially as they relate to the deregulated electricity market, are explained in terms of pricing, contracting, operation, the types of physical and financial products and services, and procurement decisions. The importance of market monitoring, organization monitoring and analysis, the understanding of market dynamics and the impacts of market data, price volatility and risk, and how they affect and are used in decision making are reviewed in some detail. A variety of proprietary task-specific power tools such as the ZE Data Manager, ZE XML Importer, ZE Market Analyzer, ZE Forward Price Models, ZE Trade Manager, and ZE Credit Risk Manager are described, and their application demonstrated. The inter-relatedness of price volatility and risk is discussed, along with the need to understand, monitor, quantify and deal with it on a continuous basis

  13. Prices and Price Setting

    NARCIS (Netherlands)

    R.P. Faber (Riemer)

    2010-01-01

    textabstractThis thesis studies price data and tries to unravel the underlying economic processes of why firms have chosen these prices. It focuses on three aspects of price setting. First, it studies whether the existence of a suggested price has a coordinating effect on the prices of firms.

  14. Natural gas and CO2 price variation: impact on the relative cost-efficiency of LNG and pipelines.

    Science.gov (United States)

    Ulvestad, Marte; Overland, Indra

    2012-06-01

    THIS ARTICLE DEVELOPS A FORMAL MODEL FOR COMPARING THE COST STRUCTURE OF THE TWO MAIN TRANSPORT OPTIONS FOR NATURAL GAS: liquefied natural gas (LNG) and pipelines. In particular, it evaluates how variations in the prices of natural gas and greenhouse gas emissions affect the relative cost-efficiency of these two options. Natural gas is often promoted as the most environmentally friendly of all fossil fuels, and LNG as a modern and efficient way of transporting it. Some research has been carried out into the local environmental impact of LNG facilities, but almost none into aspects related to climate change. This paper concludes that at current price levels for natural gas and CO 2 emissions the distance from field to consumer and the volume of natural gas transported are the main determinants of transport costs. The pricing of natural gas and greenhouse emissions influence the relative cost-efficiency of LNG and pipeline transport, but only to a limited degree at current price levels. Because more energy is required for the LNG process (especially for fuelling the liquefaction process) than for pipelines at distances below 9100 km, LNG is more exposed to variability in the price of natural gas and greenhouse gas emissions up to this distance. If the prices of natural gas and/or greenhouse gas emission rise dramatically in the future, this will affect the choice between pipelines and LNG. Such a price increase will be favourable for pipelines relative to LNG.

  15. Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn

    NARCIS (Netherlands)

    C-L. Chang (Chia-Lin); M.J. McAleer (Michael); Y-A. Wang (Yu-Ann)

    2016-01-01

    textabstractThe recent and rapidly growing interest in biofuel as a green energy source has raised concerns about its impact on the prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural commodities and biofuel helps commodity suppliers

  16. Crude oil price dynamics: A study on effects of market expectation and strategic supply on price movements

    Science.gov (United States)

    Jin, Xin

    Recent years have seen dramatic fluctuations in crude oil prices. This dissertation attempts to better understand price behavior. The first chapter studies the behavior of crude oil spot and futures prices. Oil prices, particularly spot and short-term futures prices, appear to have switched from I(0) to I(1) in early 2000s. To better understand this apparent change in persistence, a factor model of oil prices is proposed, where the prices are decomposed into long-term and short-term components. The change in the persistence behavior can be explained by changes in the relative volatility of the underlying components. Fitting the model to weekly data on WTI prices, the volatility of the persistent shocks increased substantially relative to other shocks. In addition, the risk premiums in futures prices have changed their signs and become more volatile. The estimated net marginal convenience yield using the model also shows changes in its behavior. These observations suggest that a dramatic fundamental change occurred in the period from 2002 to 2004 in the dynamics of the crude oil market. The second chapter explores the short-run price-inventory dynamics in the presence of different shocks. Classical competitive storage model states that inventory decision considers both current and future market condition, and thus interacts with spot and expected future spot prices. We study competitive storage holding in an equilibrium framework, focusing on the dynamic response of price and inventory to different shocks. We show that news shock generates response profile different from traditional contemporaneous shocks in price and inventory. The model is applied to world crude oil market, where the market expectation is estimated to experience a sharp change in early 2000s, together with a persisting constrained supply relative to demand. The expectation change has limited effect on crude oil spot price though. The world oil market structure has been studied extensively but no

  17. Factor Structure in Commodity Futures Return and Volatility

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Lunde, Asger; Olesen, Kasper Vinther

    Using data on more than 750 million futures trades during 2004-2013, we analyze eight stylized facts of commodity price and volatility dynamics in the post financialization period. We pay particular attention to the factor structure in returns and volatility and to commodity market integration...... with the equity market. We find evidence of a factor structure in daily commodity futures returns. However, the factor structure in daily commodity futures volatility is even stronger than in returns. When computing model-free realized commodity betas with the stock market we find that they were high during 2008......-2010 but have since returned to the pre-crisis level close to zero. The common factor in commodity volatility is nevertheless clearly related to stock market volatility. We conclude that, while commodity markets appear to again be segmented from the equity market when only returns are considered, commodity...

  18. News impact for Turkish food prices

    Directory of Open Access Journals (Sweden)

    Meltem Chadwick

    2017-06-01

    Full Text Available Asymmetric volatility is a widely encountered concept particularly in financial series. It refers to the case that “bad news” generates more volatility than “good news” of equal magnitude. In an inflationary environment “bad news” is disclosed as increasing inflation that is expected to generate higher volatility. The present article examines whether unexpected price changes affect the volatility of prices asymmetrically for 90 retail food items of the Turkish consumer price index. These 90 food items have a weight of approximately 20 percent in headline consumer price index (CPI. We employ exponential generalized autoregressive conditional heteroscedastic (EGARCH model to extract asymmetric volatility, using monthly data between January 2003 and January 2017. Our results reveal that volatility of food prices respond asymmetrically to unexpected price shocks for 62 percent of the retail food items.

  19. Trends and affordability of cigarette prices: ample room for tax increases and related health gains.

    Science.gov (United States)

    Guindon, G E; Tobin, S; Yach, D

    2002-03-01

    Increasing the price of tobacco products is arguably the most effective method of curbing the prevalence and consumption of tobacco products. Price increases would reduce the global burden of disease brought about by tobacco consumption. To compare cigarette price data from more than 80 countries using varying methods, examine trends in prices and affordability during the 1990s, and explore various policy implications pertaining to tobacco prices. March 2001 cigarette price data from the Economist Intelligence Unit are used to compare cigarette prices across countries. To facilitate comparison and to assess affordability, prices are presented in US dollars, purchasing power parity (PPP) units using the Big Mac index as an indicator of PPP and in terms of minutes of labour required to purchase a pack of cigarettes. Annual real percentage changes in cigarette prices between 1990 and 2000 and annual changes in the minutes of labour required to buy cigarettes between 1991 and 2000 are also calculated to examine trends. Cigarette prices tend to be higher in wealthier countries and in countries that have strong tobacco control programmes. On the other hand, minutes of labour required to purchase cigarettes vary vastly between countries. Trends between 1990 and 2000 in real prices and minutes of labour indicate, with some exceptions, that cigarettes have become more expensive in most developed countries but more affordable in many developing countries. However, in the UK, despite recent increases in price, cigarettes are still more affordable than they were in the 1960s. The results suggest that there is ample room to increase tobacco prices through taxation. In too many countries, cigarette prices have failed to keep up with increases in the general price level of goods and services, rendering them more affordable in 2000 than they were at the beginning of the decade. Opportunities to increase government revenue and improve health through reduced consumption brought

  20. The relation of monthly spot to futures prices for natural gas

    International Nuclear Information System (INIS)

    Herbert, J.H.

    1993-01-01

    The relationship between the spot price for natural gas for a delivery month and the futures contract price for the same delivery month is examined. The estimated regression equation provides a good summary of the relationship between spot and futures prices for the time period and can also be used to obtain accurate forecasts of spot prices. It appears that the natural gas futures market is inefficient. (author)

  1. Customer response to day-ahead market hourly pricing: Choices and performance

    International Nuclear Information System (INIS)

    Hopper, Nicole; Goldman, Charles; Bharvirkar, Ranjit; Neenan, Bernie

    2006-01-01

    Real-time pricing (RTP) has been advocated to address extreme price volatility and market power in electricity markets. This study of Niagara Mohawk Power Corporation's largest customers analyzes their choices and performance in response to day-ahead, default-service RTP. Overall price response is modest: 119 customers are estimated to reduce their peak demand by about 10% at high prices. Manufacturing customers are most responsive with a price elasticity of 0.16, followed by government/education customers (0.11), while commercial/retail, healthcare and public works customers are, at present, relatively unresponsive. Within market segments, individual customer response varies significantly. (author)

  2. Stochastic volatility models and Kelvin waves

    Energy Technology Data Exchange (ETDEWEB)

    Lipton, Alex [Merrill Lynch, Mlfc Main, 2 King Edward Street, London EC1A 1HQ (United Kingdom); Sepp, Artur [Merrill Lynch, 4 World Financial Center, New York, NY 10080 (United States)], E-mail: Alex_Lipton@ml.com, E-mail: Artur_Sepp@ml.com

    2008-08-29

    We use stochastic volatility models to describe the evolution of an asset price, its instantaneous volatility and its realized volatility. In particular, we concentrate on the Stein and Stein model (SSM) (1991) for the stochastic asset volatility and the Heston model (HM) (1993) for the stochastic asset variance. By construction, the volatility is not sign definite in SSM and is non-negative in HM. It is well known that both models produce closed-form expressions for the prices of vanilla option via the Lewis-Lipton formula. However, the numerical pricing of exotic options by means of the finite difference and Monte Carlo methods is much more complex for HM than for SSM. Until now, this complexity was considered to be an acceptable price to pay for ensuring that the asset volatility is non-negative. We argue that having negative stochastic volatility is a psychological rather than financial or mathematical problem, and advocate using SSM rather than HM in most applications. We extend SSM by adding volatility jumps and obtain a closed-form expression for the density of the asset price and its realized volatility. We also show that the current method of choice for solving pricing problems with stochastic volatility (via the affine ansatz for the Fourier-transformed density function) can be traced back to the Kelvin method designed in the 19th century for studying wave motion problems arising in fluid dynamics.

  3. Stochastic volatility models and Kelvin waves

    Science.gov (United States)

    Lipton, Alex; Sepp, Artur

    2008-08-01

    We use stochastic volatility models to describe the evolution of an asset price, its instantaneous volatility and its realized volatility. In particular, we concentrate on the Stein and Stein model (SSM) (1991) for the stochastic asset volatility and the Heston model (HM) (1993) for the stochastic asset variance. By construction, the volatility is not sign definite in SSM and is non-negative in HM. It is well known that both models produce closed-form expressions for the prices of vanilla option via the Lewis-Lipton formula. However, the numerical pricing of exotic options by means of the finite difference and Monte Carlo methods is much more complex for HM than for SSM. Until now, this complexity was considered to be an acceptable price to pay for ensuring that the asset volatility is non-negative. We argue that having negative stochastic volatility is a psychological rather than financial or mathematical problem, and advocate using SSM rather than HM in most applications. We extend SSM by adding volatility jumps and obtain a closed-form expression for the density of the asset price and its realized volatility. We also show that the current method of choice for solving pricing problems with stochastic volatility (via the affine ansatz for the Fourier-transformed density function) can be traced back to the Kelvin method designed in the 19th century for studying wave motion problems arising in fluid dynamics.

  4. Stochastic volatility models and Kelvin waves

    International Nuclear Information System (INIS)

    Lipton, Alex; Sepp, Artur

    2008-01-01

    We use stochastic volatility models to describe the evolution of an asset price, its instantaneous volatility and its realized volatility. In particular, we concentrate on the Stein and Stein model (SSM) (1991) for the stochastic asset volatility and the Heston model (HM) (1993) for the stochastic asset variance. By construction, the volatility is not sign definite in SSM and is non-negative in HM. It is well known that both models produce closed-form expressions for the prices of vanilla option via the Lewis-Lipton formula. However, the numerical pricing of exotic options by means of the finite difference and Monte Carlo methods is much more complex for HM than for SSM. Until now, this complexity was considered to be an acceptable price to pay for ensuring that the asset volatility is non-negative. We argue that having negative stochastic volatility is a psychological rather than financial or mathematical problem, and advocate using SSM rather than HM in most applications. We extend SSM by adding volatility jumps and obtain a closed-form expression for the density of the asset price and its realized volatility. We also show that the current method of choice for solving pricing problems with stochastic volatility (via the affine ansatz for the Fourier-transformed density function) can be traced back to the Kelvin method designed in the 19th century for studying wave motion problems arising in fluid dynamics

  5. Pharmaceutical strategic purchasing requirements in Iran: Price interventions and the related effective factors.

    Science.gov (United States)

    Bastani, Peivand; Dinarvand, Rasoul; SamadBeik, Mahnaz; Pourmohammadi, Kimia

    2016-01-01

    Pharmaceutical access for the poor is an essential factor in developing countries that can be improved through strategic purchasing. This study was conducted to identify the elements affecting price in order to enable insurance organizations to put strategic purchasing into practice. This was a qualitative study conducted through content analysis with an inductive approach applying a five-stage framework analysis (familiarization, identifying a thematic framework, indexing, mapping, and interpretation). Data analysis was started right after transcribing each interview applying ATLAS.ti. Data were saturated after 32 semi-structured interviews by experts. These key informants were selected purposefully and through snowball sampling. Findings showed that there are four main themes as Pharmaceutical Strategic Purchasing Requirements in Iran as follows essential and structural factors, international factors, economical factors, and legal factors. Moreover, totally 14 related sub-themes were extracted in this area as the main effective variables. It seems that paying adequate attention to the four present themes and 14 sub-themes affecting price can enable health system policy-makers of developing countries like Iran to make the best decisions through strategic purchasing of drugs by the main insurers in order to improve access and health in the country.

  6. Pharmaceutical strategic purchasing requirements in Iran: Price interventions and the related effective factors

    Science.gov (United States)

    Bastani, Peivand; Dinarvand, Rasoul; SamadBeik, Mahnaz; Pourmohammadi, Kimia

    2016-01-01

    Objective: Pharmaceutical access for the poor is an essential factor in developing countries that can be improved through strategic purchasing. This study was conducted to identify the elements affecting price in order to enable insurance organizations to put strategic purchasing into practice. Methods: This was a qualitative study conducted through content analysis with an inductive approach applying a five-stage framework analysis (familiarization, identifying a thematic framework, indexing, mapping, and interpretation). Data analysis was started right after transcribing each interview applying ATLAS.ti. Data were saturated after 32 semi-structured interviews by experts. These key informants were selected purposefully and through snowball sampling. Findings: Findings showed that there are four main themes as Pharmaceutical Strategic Purchasing Requirements in Iran as follows essential and structural factors, international factors, economical factors, and legal factors. Moreover, totally 14 related sub-themes were extracted in this area as the main effective variables. Conclusion: It seems that paying adequate attention to the four present themes and 14 sub-themes affecting price can enable health system policy-makers of developing countries like Iran to make the best decisions through strategic purchasing of drugs by the main insurers in order to improve access and health in the country. PMID:26985434

  7. [Burden of smoking-related disease and potential impact of cigarette price increase in Peru].

    Science.gov (United States)

    Bardach, Ariel E; Caporale, Joaquín E; Alcaraz, Andrea; Augustovski, Federico; Huayanay-Falconí, Leandro; Loza-Munarriz, Cesar; Hernández-Vásquez, Akram; Pichon-Riviere, Andrés

    2016-01-01

    . To calculate the burden of smoking-related disease and evaluate the potential economic and health impact of tax-induced cigarette price increase in Peru. A microsimulation model was used to estimate smoking-attributable impact on mortality, quality of life, and costs associated with heart and cerebrovascular disease, chronic obstructive pulmonary disease, pneumonia, lung cancer, and another nine cancers. Three scenarios, involving increased taxes, were evaluated. . A yearly total of 16,719 deaths, 6,926 cancer diagnoses, 7,936 strokes, and 7,548 hospital admissions due to cardiovascular disease can be attributed to smoking in Peru. Similarly, 396,069 years of life are lost each year from premature death and disability, and the cost of treating smoking-attributable health issues rises to 2,500 million soles (PEN 2015). Currently, taxes on tobacco cover only 9.1% of this expense. If cigarette prices were to increase by 50% over the next 10 years, 13,391 deaths, 6,210 cardiovascular events, and 5,361 new cancers could be prevented, representing an economic benefit of 3,145 million (PEN) in savings in health costs and increases in tax revenues. . Smoking-attributable burden of disease and costs to the health system are very high in Peru. Higher cigarette taxes could have substantial health and economic benefits for the country.

  8. Estimation of Relative Economic Weights of Hanwoo Carcass Traits Based on Carcass Market Price

    Science.gov (United States)

    Choy, Yun Ho; Park, Byoung Ho; Choi, Tae Jung; Choi, Jae Gwan; Cho, Kwang Hyun; Lee, Seung Soo; Choi, You Lim; Koh, Kyung Chul; Kim, Hyo Sun

    2012-01-01

    The objective of this study was to estimate economic weights of Hanwoo carcass traits that can be used to build economic selection indexes for selection of seedstocks. Data from carcass measures for determining beef yield and quality grades were collected and provided by the Korean Institute for Animal Products Quality Evaluation (KAPE). Out of 1,556,971 records, 476,430 records collected from 13 abattoirs from 2008 to 2010 after deletion of outlying observations were used to estimate relative economic weights of bid price per kg carcass weight on cold carcass weight (CW), eye muscle area (EMA), backfat thickness (BF) and marbling score (MS) and the phenotypic relationships among component traits. Price of carcass tended to increase linearly as yield grades or quality grades, in marginal or in combination, increased. Partial regression coefficients for MS, EMA, BF, and for CW in original scales were +948.5 won/score, +27.3 won/cm2, −95.2 won/mm and +7.3 won/kg when all three sex categories were taken into account. Among four grade determining traits, relative economic weight of MS was the greatest. Variations in partial regression coefficients by sex categories were great but the trends in relative weights for each carcass measures were similar. Relative economic weights of four traits in integer values when standardized measures were fit into covariance model were +4:+1:−1:+1 for MS:EMA:BF:CW. Further research is required to account for the cost of production per unit carcass weight or per unit production under different economic situations. PMID:25049531

  9. The Price and Volatility Dynamics in the Swedish-Norwegian Renewable Electricity Certificate MarketA Study of Spillover Effects and Regulatory changes

    OpenAIRE

    Finell, Philip; Hiller, Maria

    2016-01-01

    The market for renewable electricity certificates (REC) is the primary support system for renewable energy in Sweden and Norway. Regulatory uncertainty and equity markets have previously been proven to impact the volatility of the REC spot contract. As policy makers, renewable electricity investors and other stakeholders aim for profitability and efficient regulation, additional insights of the dynamics in the  REC market is needed. This study examines regulatory uncertainty on both REC spot ...

  10. Dynamic Factor Models for the Volatility Surface

    DEFF Research Database (Denmark)

    van der Wel, Michel; Ozturk, Sait R.; Dijk, Dick van

    The implied volatility surface is the collection of volatilities implied by option contracts for different strike prices and time-to-maturity. We study factor models to capture the dynamics of this three-dimensional implied volatility surface. Three model types are considered to examine desirable...

  11. Risk preference, option pricing and portfolio hedging with proportional transaction costs

    International Nuclear Information System (INIS)

    Wang, Xiao-Tian; Li, Zhe; Zhuang, Le

    2017-01-01

    Highlights: • Scaling is a key factor in option pricing. • The model is theoretically analyzed and the results are new. • Some numerical examples are performed. • The implied-volatility-frown is affected by the risk preference and scaling. - Abstract: This paper is concerned in the option pricing and portfolio hedging in a discrete time case with the proportional transaction costs. Through the Monte Carlo simulations it has been shown that the fractal scaling and risk preference of traders have an important influence on the hedging performances in both option pricing and portfolio hedging in a discrete time case. In addition, the relation between preference of traders and implied volatility frown is discussed. We conclude that the risk preferences of traders play an important role in determining the shape of the implied-volatility-frown and the different options having the different hedging frequencies is another reason for the implied volatility frown.

  12. Heterogeneity and option pricing

    NARCIS (Netherlands)

    Benninga, Simon; Mayshar, Joram

    2000-01-01

    An economy with agents having constant yet heterogeneous degrees of relative risk aversion prices assets as though there were a single decreasing relative risk aversion pricing representative agent. The pricing kernel has fat tails and option prices do not conform to the Black-Scholes formula.

  13. Precificação de Opções com Volatilidade EstocásticaOption pricing with stochastic volatilityPrecificación de Opciones con Volatilidad Estocástica

    Directory of Open Access Journals (Sweden)

    MARTIN, Diógenes Manoel Leiva

    2004-01-01

    Full Text Available RESUMOEntre as suposições subjacentes do modelo Black-Scholes-Merton, as maiores polarizações empíricas são causadas por aquelas com uma volatilidade fixa do recurso subjacente. Este artigo discute as aproximações principais deste modelo.ABSTRACTAmong the underlying assumptions of the Black-Scholes option pricing model, the largest empirical biases are caused by those with a fixed volatility of the underlying asset. This article discusses the main approaches of this issue.RESUMENEntre las suposiciones subyacentes al modelo Black-Scholes-Merton, las mayores polarizaciones empíricas las provocan las que poseen una volatilidad fija del recurso adyacente.Este artículo trata de las principales aproximaciones a este modelo.

  14. CORN PRODUCERS´ RESPONSE TO THE 2001 NITROGEN FERTILIZER PRICE INCREASE

    OpenAIRE

    Daberkow, Stan G.; McBride, William D.

    2004-01-01

    During the past few years, nitrogen fertilizer prices and price volatility have increased. Producers of nitrogen-intensive crops, such as corn, who are faced with increased nitrogen prices or price volatility, can adopt either cost-reducing or price variability-reducing strategies. Using a behavioral model in the logit specification and data from a 2001 national survey of U.S. corn producers, we found that the probability of forward pricing nitrogen fertilizer and the probability of using nit...

  15. Multistability and complex basins in a nonlinear duopoly with price competition and relative profit delegation.

    Science.gov (United States)

    Fanti, Luciano; Gori, Luca; Mammana, Cristiana; Michetti, Elisabetta

    2016-09-01

    In this article, we investigate the local and global dynamics of a nonlinear duopoly model with price-setting firms and managerial delegation contracts (relative profits). Our study aims at clarifying the effects of the interaction between the degree of product differentiation and the weight of manager's bonus on long-term outcomes in two different states: managers behave more aggressively with the rival (competition) under product complementarity and less aggressively with the rival (cooperation) under product substitutability. We combine analytical tools and numerical techniques to reach interesting results such as synchronisation and on-off intermittency of the state variables (in the case of homogeneous attitude of managers) and the existence of chaotic attractors, complex basins of attraction, and multistability (in the case of heterogeneous attitudes of managers). We also give policy insights.

  16. Multistability and complex basins in a nonlinear duopoly with price competition and relative profit delegation

    Science.gov (United States)

    Fanti, Luciano; Gori, Luca; Mammana, Cristiana; Michetti, Elisabetta

    2016-09-01

    In this article, we investigate the local and global dynamics of a nonlinear duopoly model with price-setting firms and managerial delegation contracts (relative profits). Our study aims at clarifying the effects of the interaction between the degree of product differentiation and the weight of manager's bonus on long-term outcomes in two different states: managers behave more aggressively with the rival (competition) under product complementarity and less aggressively with the rival (cooperation) under product substitutability. We combine analytical tools and numerical techniques to reach interesting results such as synchronisation and on-off intermittency of the state variables (in the case of homogeneous attitude of managers) and the existence of chaotic attractors, complex basins of attraction, and multistability (in the case of heterogeneous attitudes of managers). We also give policy insights.

  17. Modeling volatility using state space models.

    Science.gov (United States)

    Timmer, J; Weigend, A S

    1997-08-01

    In time series problems, noise can be divided into two categories: dynamic noise which drives the process, and observational noise which is added in the measurement process, but does not influence future values of the system. In this framework, we show that empirical volatilities (the squared relative returns of prices) exhibit a significant amount of observational noise. To model and predict their time evolution adequately, we estimate state space models that explicitly include observational noise. We obtain relaxation times for shocks in the logarithm of volatility ranging from three weeks (for foreign exchange) to three to five months (for stock indices). In most cases, a two-dimensional hidden state is required to yield residuals that are consistent with white noise. We compare these results with ordinary autoregressive models (without a hidden state) and find that autoregressive models underestimate the relaxation times by about two orders of magnitude since they do not distinguish between observational and dynamic noise. This new interpretation of the dynamics of volatility in terms of relaxators in a state space model carries over to stochastic volatility models and to GARCH models, and is useful for several problems in finance, including risk management and the pricing of derivative securities. Data sets used: Olsen & Associates high frequency DEM/USD foreign exchange rates (8 years). Nikkei 225 index (40 years). Dow Jones Industrial Average (25 years).

  18. Hollows on Mercury: MESSENGER evidence for geologically recent volatile-related activity.

    Science.gov (United States)

    Blewett, David T; Chabot, Nancy L; Denevi, Brett W; Ernst, Carolyn M; Head, James W; Izenberg, Noam R; Murchie, Scott L; Solomon, Sean C; Nittler, Larry R; McCoy, Timothy J; Xiao, Zhiyong; Baker, David M H; Fassett, Caleb I; Braden, Sarah E; Oberst, Jürgen; Scholten, Frank; Preusker, Frank; Hurwitz, Debra M

    2011-09-30

    High-resolution images of Mercury's surface from orbit reveal that many bright deposits within impact craters exhibit fresh-appearing, irregular, shallow, rimless depressions. The depressions, or hollows, range from tens of meters to a few kilometers across, and many have high-reflectance interiors and halos. The host rocks, which are associated with crater central peaks, peak rings, floors, and walls, are interpreted to have been excavated from depth by the crater-forming process. The most likely formation mechanisms for the hollows involve recent loss of volatiles through some combination of sublimation, space weathering, outgassing, or pyroclastic volcanism. These features support the inference that Mercury's interior contains higher abundances of volatile materials than predicted by most scenarios for the formation of the solar system's innermost planet.

  19. Symptoms of mothers and infants related to total volatile organic compounds in household products

    OpenAIRE

    Farrow, A; Taylor, H; Northstone, K; Golding, J

    2003-01-01

    The authors sought to determine whether reported symptoms of mothers and infants were associated significantly with the use of household products that raised indoor levels of total volatile organic compounds (TVOCs). Data collected from 170 homes within the Avon Longitudinal Study of Parents and Children (ALSPAC: a large birth cohort of more than 10,000) had determined which household products were associated with the highest levels of TVOCs. The latter data were collected over a period that ...

  20. Price changes in the gasoline market: Are Midwestern gasoline prices downward sticky?

    International Nuclear Information System (INIS)

    1999-03-01

    This report examines a recurring question about gasoline markets: why, especially in times of high price volatility, do retail gasoline prices seem to rise quickly but fall back more slowly? Do gasoline prices actually rise faster than they fall, or does this just appear to be the case because people tend to pay more attention to prices when they're rising? This question is more complex than it might appear to be initially, and it has been addressed by numerous analysts in government, academia and industry. The question is very important, because perceived problems with retail gasoline pricing have been used in arguments for government regulation of prices. The phenomenon of prices at different market levels tending to move differently relative to each other depending on direction is known as price asymmetry. This report summarizes the previous work on gasoline price asymmetry and provides a method for testing for asymmetry in a wide variety of situations. The major finding of this paper is that there is some amount of asymmetry and pattern asymmetry, especially at the retail level, in the Midwestern states that are the focus of the analysis. Nevertheless, both the amount asymmetry and pattern asymmetry are relatively small. In addition, much of the pattern asymmetry detected in this and previous studies could be a statistical artifact caused by the time lags between price changes at different points in the gasoline distribution system. In other words, retail gasoline prices do sometimes rise faster than they fall, but this is largely a lagged market response to an upward shock in the underlying wholesale gasoline or crude oil prices, followed by a return toward the previous baseline. After consistent time lags are factored out, most apparent asymmetry disappears

  1. Fluctuation behaviors of financial return volatility duration

    Science.gov (United States)

    Niu, Hongli; Wang, Jun; Lu, Yunfan

    2016-04-01

    It is of significantly crucial to understand the return volatility of financial markets because it helps to quantify the investment risk, optimize the portfolio, and provide a key input of option pricing models. The characteristics of isolated high volatility events above certain threshold in price fluctuations and the distributions of return intervals between these events arouse great interest in financial research. In the present work, we introduce a new concept of daily return volatility duration, which is defined as the shortest passage time when the future volatility intensity is above or below the current volatility intensity (without predefining a threshold). The statistical properties of the daily return volatility durations for seven representative stock indices from the world financial markets are investigated. Some useful and interesting empirical results of these volatility duration series about the probability distributions, memory effects and multifractal properties are obtained. These results also show that the proposed stock volatility series analysis is a meaningful and beneficial trial.

  2. Did the price-related reforms in Ghana's cocoa sector favour farmers?

    NARCIS (Netherlands)

    Quarmine, W.; Haagsma, R.; Huis, van A.; Sakyi-Dawson, O.; Obeng-Ofori, D.; Asante, F.

    2014-01-01

    It is generally hypothesized in the innovation systems literature that institutions can create production incentives for farmers. This paper examines whether the introduction in 1984 of the Producer Price Review Committee (PPRC) in Ghana's cocoa sector has improved the transmission of world prices

  3. How is perceived inflation related to actual price changes in the European Union?

    NARCIS (Netherlands)

    Antonides, G.

    2008-01-01

    We analyze for which types of consumer expenditures the rate of price change influences consumer perception of inflation. We use both harmonized consumer price indices (HCPI) and series of perceived inflation from Eurostat in the 1996¿2006 time period for 13 European countries. After removing

  4. The effect of the downturn in oil prices on the relative efficiency of government expenditure in the GCC countries

    International Nuclear Information System (INIS)

    Metwally, M.M.; Perera, N.

    1995-01-01

    This paper tests a control model to discover the effect of the decline in oil prices on the relative efficiency of government expenditure in the member states of the Gulf Cooperation Council. The econometric analysis shows that as a consequence of the decline in oil prices, the GCC countries need a relatively higher proportional rate of growth in their government expenditure to maintain a given percentage of income growth in the long run. This may, however, prove difficult, which necessitates greater reliance on other means of control. (author)

  5. Phosphate rock costs, prices and resources interaction.

    Science.gov (United States)

    Mew, M C

    2016-01-15

    This article gives the author's views and opinions as someone who has spent his working life analyzing the international phosphate sector as an independent consultant. His career spanned two price hike events in the mid-1970's and in 2008, both of which sparked considerable popular and academic interest concerning adequacy of phosphate rock resources, the impact of rising mining costs and the ability of mankind to feed future populations. An analysis of phosphate rock production costs derived from two major industry studies performed in 1983 and 2013 shows that in nominal terms, global average cash production costs increased by 27% to $38 per tonne fob mine in the 30 year period. In real terms, the global average cost of production has fallen. Despite the lack of upward pressure from increasing costs, phosphate rock market prices have shown two major spikes in the 30 years to 2013, with periods of less volatility in between. These price spike events can be seen to be related to the escalating investment cost required by new mine capacity, and as such can be expected to be repeated in future. As such, phosphate rock price volatility is likely to have more impact on food prices than rising phosphate rock production costs. However, as mining costs rise, recycling of P will also become increasingly driven by economics rather than legislation. Copyright © 2015 Elsevier B.V. All rights reserved.

  6. Occurrence and removal of volatile organic compounds (VOC) relative to water treatment plants in Malaysia

    International Nuclear Information System (INIS)

    Soh Shiau Chian

    2005-01-01

    A solid phase micro extraction technique with determination analysis by gas chromatography and mass spectrometry detector (SPME-GC-MSD) to determine 54 volatile organic compounds (VOC) in drinking water was successfully developed. The optimal conditions lead to mean recoveries of 85 % with the relative standard deviation below 13 %. Limit of detection was ranged from 0.005 μg/ l to 1.121 μg/ l for all VOC. Upon consideration of the complete procedure from sample preparation to instrumental determination, the expanded uncertainty for all VOC under study was in the range of 1.056 to 2.952 μg/ l. The optimised SPME-GC-MSD method was used to determine distributions and occurence of VOC in drinking water for Peninsular Malaysia for one year and a specific study carried out in Semenyih Catchment and Semenyih River Water Treatment Plant. Results from the monitoring programme showed that concentration of VOC ranged from undetectable to 190.9 μg/ l. Chloroform has the highest concentration and was detected in all drinking water samples. Apart from trihalomethanes (THM), other abundant compounds detected were 1,2-dibromoethane, cis and trans-1,3-dichloropropene, 1,2,3-trichloropropane and benzene. This indicated the presence of VOC in drinking water and thus is required to be frequently monitored in order to ensure and maintain drinking water quality. Based on exposure risks assessment, results from this study showed that total cancer risks was the greatest for benzene, followed by 1,2-dibromo-3-chloropropane, 1,2-dibromomethane, chloroform and dichlorobromomethane. Nevertheless, after considering the frequency of detection factor and alteration of cancer risks that has been done, chloroform contributed the highest cancer risks among other VOC compounds. On a specific study in Semenyih Catchment, the declination of water quality in Semenyih River between 1990 and 2004 to a perturbing stage was due to urbanisation process and industrial growth. Apart from raw water

  7. Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China

    Science.gov (United States)

    Borjigin, Sumuya; Yang, Yating; Yang, Xiaoguang; Sun, Leilei

    2018-03-01

    Many researchers have realized that there is a strong correlation between stock prices and macroeconomy. In order to make this relationship clear, a lot of studies have been done. However, the causal relationship between stock prices and macroeconomy has still not been well explained. A key point is that, most of the existing research adopts linear and stable models to investigate the correlation of stock prices and macroeconomy, while the real causality of that may be nonlinear and dynamic. To fill this research gap, we investigate the nonlinear and dynamic causal relationships between stock prices and macroeconomy. Based on the case of China's stock prices and acroeconomy measures from January 1992 to March 2017, we compare the linear Granger causality test models with nonlinear ones. Results demonstrate that the nonlinear dynamic Granger causality is much stronger than linear Granger causality. From the perspective of nonlinear dynamic Granger causality, China's stock prices can be viewed as "national economic barometer". On the one hand, this study will encourage researchers to take nonlinearity and dynamics into account when they investigate the correlation of stock prices and macroeconomy; on the other hand, our research can guide regulators and investors to make better decisions.

  8. Do daily retail gasoline prices adjust asymmetrically?

    NARCIS (Netherlands)

    Bettendorf, L.; van der Geest, S. A.; Kuper, G. H.

    2009-01-01

    This paper analyses adjustments in the Dutch retail gasoline prices. We estimate an error correction model on changes in the daily retail price for gasoline (taxes excluded) for the period 1996-2004, taking care of volatility clustering by estimating an EGARCH model. It turns out that the volatility

  9. Issues related to volatilization, phase alteration, and presence of unreacted feed in the borosilicate glass wasteform

    International Nuclear Information System (INIS)

    Jain, V.

    1994-01-01

    The U.S. Department of Energy's Office of Civilian Radioactive Waste Management has outlined the requirements in the Waste Acceptance Product Specifications (WAPS) that must be met before they will accept West Valley canistered vitrified waste forms for shipment to a federal depository. In this study the glass volatilization was studied using a thermogravimetric analyzer (TGA) to evaluate the absence of free gases, free liquids, explosives, pyrophorics, combustibles, and organics in the waste form. The total carbon in the samples was analyzed using a carbon determinator, phase alteration by heat-treating samples for extended periods of time (45-day) at T g -10 degrees C and T g +10 degrees C (where T g is the glass transition temperature), and the presence of unreacted feed in glass by comparing x-ray diffraction (XRD) patterns for glass and dried feed. The results of this study indicate that the West Valley vitrification process completely transforms the feed into glass. Also the TGA, XRD, and scanning transmission electron microscopy data indicates that there is no significant volatilization, redox reactions, and phase alterations in the waste form up to more than 200 degrees C above the T g . 7 refs., 1 fig., 4 tabs

  10. 国际能源价格波动与中国碳税政策的协同模拟分析%Collaborative simulation analysis on international energy price volatility and China's carbon tax policy

    Institute of Scientific and Technical Information of China (English)

    钟帅; 沈镭; 赵建安; 孙艳芝; 武娜

    2017-01-01

    国际能源价格波动和碳税政策都会对能源成本产生直接作用,从而对能源安全状况和减排效果产生影响.现有研究往往基于外部条件不变的假设分别探讨两者的影响效应.然而,国际能源价格波动在现实中已成为常态,实施碳税可能无法实现预期减排效果,也可能影响能源安全.因此,评估国际能源价格波动与碳税政策的交互影响效应,有助于协调能源安全与碳减排的冲突问题.本研究构建了中国“产业-能源-碳排放”CGE模型,探讨了国际化石能源价格波动和碳税政策对实现2030年碳减排60%~65%目标的交互影响效应,研究结果显示:无论国际化石能源价格上升还是下降,碳税政策都能实现减排60%以上的目标;而当国际化石能源价格下降,碳税政策无法缓解能源对外依存度的提高,能源安全存在隐患.%Energy security and carbon emission mitigation play critical roles in guaranteeing sustainable development.International energy price volatility (IEPV)and carbon tax policy (CTP) have direct impacts on energy costs,and then create effects on energy security and carbon reduction.Previous studies have mostly focused on IEPV or CTP,respectively,based on the assumption that external conditions are invariable.In fact,however,IEPV has become a normal state,which may cause the result that CTP may not achieve emission reduction goals.Therefore,evaluating interactive effects between IEPV and CTP contributes insights to deal with conflict between energy security and carbon reduction.Here,we constructed a China CGE model with industry-energy-carbon emission modules applied to explore interactive effects on the 2030 target of carbon reduction 60%~65% (called the 2030 target),which were created by international fossil energy price volatility and CTP.We found that under the condition without any changes it was predicted that China's energy security would be improved,while carbon

  11. Determinants of contractor pricing strategy

    OpenAIRE

    Moses, O. Douglas

    1988-01-01

    This paper investigates pricing strategies used by major defense contractors. Two pricing strategies are identified and discussed: penetration, which calls for a relatively low initial price followed by little reduction in price over time, and skimming, which calls for a relatively high initial price coupled with greater reduction in price over time. It is argued that contractor pricing strategy will depend on features of the defense program under consideration and featur...

  12. The evolution of electricity prices in an uncertain world. Contracting and managing the price risk

    International Nuclear Information System (INIS)

    Vassilopoulos, Ph.; Rapin, D.

    2004-01-01

    With the liberalization of the electricity market, the large industrial consumers saw their electric bill changing nature. Before, this price reflected a long term negotiation with the monopoly, now it is established in a free way via wholesale markets. This evolution marks a transfer of the management of price risk from the producer towards the consumer. This change is not in itself a problem if the hedging instruments are adapted. We note a contamination of the price of the derivative products by the spot while at the same time the traditional relation between cash and term is not always valid for electricity because of its non storability. When well even the price of the derivative products would be formed in an autonomous way, it poses a second problem: that of their indexing on price references like Platt's whose result is assimilated more to a survey of large producers than a true confrontation of supply and demand. This article proposes to examine this change of nature and behaviour of electricity prices. After having explained the intrinsically volatile characteristic of spot prices, we will recall that the products in the long term are not always optimal solutions to decrease this price risk. Lastly, we will highlight a solution of skirting at the risks mentioned above: contracting between producers and consumers. (authors)

  13. The Determinants of Real Exchange Rate Volatility in Nigeria

    African Journals Online (AJOL)

    Rahel

    magnitude of exchange rate volatility while the federal government exercises control of ... objectives in the area of price stability and economic growth. Volatile real ..... Exchange rate shocks and instability is a common feature of emerging.

  14. Is the price effect on fuel consumption symmetric? some evidence from an empirical study

    International Nuclear Information System (INIS)

    Sentenac Chemin, E.

    2009-04-01

    We generally consider that the price elasticity of the energy demand is quite small. But it appears that strong increases in gasoline price lead to modifications in consumer behaviours. The high volatility of petroleum prices and thus gasoline prices and the strong increases since the beginning of 2000 justify an analysis of price effects on gasoline consumption. Thus, in this paper, we estimate the effects of price variations on gasoline consumption, in the short and the long-term, in two countries: the United States and India. We use a co-integration modelling to test for long-run relationship between gasoline consumption, income, price and vehicle ownership in the two countries. We use an error correction model to test for short-run prices effects and more precisely for asymmetric effects on demand of increases and decreases in gasoline prices. The main conclusions are the following. - The United States: (1) The long-term price elasticity is relatively high for an industrialised country because gasoline taxes are low (2) Households are more sensitive to a price increase than a price decrease. - India: (1) Price elasticity in the long-run is quite high but is quite small in the short run. It is not surprising for an emergent country (2) It seems that there is no asymmetric effect of price variations on gasoline consumption. (author)

  15. Volatility in Equilibrium

    DEFF Research Database (Denmark)

    Bollerslev, Tim; Sizova, Natalia; Tauchen, George

    Stock market volatility clusters in time, carries a risk premium, is fractionally inte- grated, and exhibits asymmetric leverage effects relative to returns. This paper develops a first internally consistent equilibrium based explanation for these longstanding empirical facts. The model is cast i......, and the dynamic cross-correlations of the volatility measures with the returns calculated from actual high-frequency intra-day data on the S&P 500 aggregate market and VIX volatility indexes....

  16. Nuclear power-related facilities and neighboring land price: a case study on the Mutsu-Ogawara region, Japan.

    Science.gov (United States)

    Yamane, Fumihiro; Ohgaki, Hideaki; Asano, Kota

    2011-12-01

    From the perspective of risk, nuclear-power-related facilities (NPRFs) are often regarded as locally undesirable land use. However, construction of NPRFs contributes to social infrastructural improvement and job creation in the host communities. This raises a question: How large are these positive and negative effects? To approach this question from an economic viewpoint, we estimated the hedonic land price function for the Mutsu-Ogawara region of Japan from 1976 to 2004 and analyzed year-by-year fluctuations in land prices around the NPRFs located there. Land prices increased gradually in the neighborhood of the nuclear fuel cycle facilities (NFCFs) in Rokkasho Village, except for some falling (i) from 1982 to 1983 (the first official announcement of the project of construction came in 1983), (ii) from 1987 to 1988 (in 1988, the construction began and opposition movements against the project reached their peak), and (iii) from 1998 to 1999 (the pilot carry-in of spent fuels into the reprocessing plant began in 1998). Land prices around the Higashidori Nuclear Power Plant decreased during the period 1981-1982, when the Tohoku Electric Power Corp. and Tokyo Electric Power Corp. announced their joint construction plan. On the other hand, we obtained some results, even though not significant, indicating that land prices around Ohminato and Sekinehama harbors changed with the arrival and departure of the nuclear ship Mutsu, which suffered a radiation leak in 1974. © 2011 Society for Risk Analysis.

  17. Imports, exports, and Alberta's transmission system impact on price fluctuation

    International Nuclear Information System (INIS)

    Johnson, K.

    2002-01-01

    The roles, responsibilities and objectives of ESBI, a private for-profit company, appointed by the Alberta Government to be the Independent Transmission Administrator in the province, is sketched, prior to a discussion of price volatility in electricity, Alberta interconnections, intertie issues, the economic theory and the reality impact on prices. Given that imports and exports constitute a relatively small proportion of total generation or load in Alberta, price volatility is considered to have been only minimally affected by imports/exports. In contrast, transmission constraints, i.e. the limits on physical capacity of the existing transmission system to accommodate all desired transactions, have significant impact on imports/exports. Factors underlying constraints and price volatility such as uncertainty of generation dispatch, leading to reduced interest to invest, which in turn leads to scarce capacity for imports/exports, and the actions required to reduce uncertainty and address other issues such as congestion management, tariff design and the creation of regional transmission organizations, are also discussed to provide further clarification of the issues. It is suggested that these and other related issues need to be resolved to provide the clarity around transmission access and the tools required to manage price fluctuations

  18. The impact of energy price shocks on the UK economy

    International Nuclear Information System (INIS)

    2007-01-01

    This report describes the results of six scenarios considering the impact of energy price shocks on the UK economy. The six scenarios considered are: UK aggregate energy price scenario; pan-Europe aggregate energy price; global aggregate energy price; UK temporary gas price; UK permanent gas price; crude (Brent) oil price. As expected, shocks to aggregate energy prices cause the largest macroeconomic and energy demand effects (in terms of growth rate volatility). Shocks to gas prices produce a greater growth volatility for macroeconomic and energy demand than shocks to oil prices. In general terms, shocks specific to the UK market tend to produce more growth rate volatility than wider ranging price shocks (global or pan-European). All of the price shocks considered have a recursive effect on the main indicators, which tend to stabilise around the baseline level in the long run. The report summarises the results obtained in the different scenarios

  19. Market versus agriculture in Poland – macroeconomic relations of incomes, prices and productivity in terms of the sustainable development paradigm

    OpenAIRE

    CZYŻEWSKI, Bazyli; MAJCHRZAK, Adam

    2017-01-01

    In the article macroeconomic relations of prices, productivity and incomes in Polish agriculture in the context of changes in the EU Common Agricultural Policy were studied. The authors have developed a macroeconomic model which explains these relations and confirms the occurrence of market failures in agriculture in Poland. The developed model proves the existence of a puzzling exchangeable relation between the real productivity of production factors in agriculture, and agricultural incomes,...

  20. Can increases in the cigarette tax rate be linked to cigarette retail prices? Solving mysteries related to the cigarette pricing mechanism in China.

    Science.gov (United States)

    Gao, Song; Zheng, Rong; Hu, Teh-wei

    2012-11-01

    To explain China's cigarette pricing mechanism and the role of the Chinese State Tobacco Monopoly Administration (STMA) on cigarette pricing and taxation. Published government tobacco tax documentation and statistics published by the Chinese STMA are used to analyse the interrelations among industry profits, taxes and retail price of cigarettes in China. The 2009 excise tax increase on cigarettes in China has not translated into higher retail prices because the Chinese STMA used its policy authority to ensure that retail cigarette prices did not change. The government tax increase is being collected at both the producer and wholesale levels. As a result, the 2009 excise tax increase in China has resulted in higher tax revenue for the government and lower profits for the tobacco industry, with no increase in the retail price of cigarettes for consumers. Numerous studies have found that taxation is one of the most effective policy instruments for tobacco control. However, these findings come from countries that have market economies where market forces determine prices and influence how cigarette taxes are passed to the consumers in retail prices. China's tobacco industry is not a market economy; therefore, non-market forces and the current Chinese tobacco monopoly system determine cigarette prices. The result is that tax increases do not necessarily get passed on to the retail price.

  1. Regime jumps in electricity prices

    NARCIS (Netherlands)

    R. Huisman (Ronald); R.J. Mahieu (Ronald)

    2003-01-01

    textabstractMany countries are liberalizing their energy markets. Participants in these markets are exposed to market risk due to the characteristics of electricity price dynamics. Electricity prices are known to be mean-reverting very volatile and subject to frequent spikes. Models that describe

  2. The effect of the volatility of the oil price in the actual world economy (1998 until 02/2008); A influencia da volatilidade dos precos do petroleo na atual economia mundial

    Energy Technology Data Exchange (ETDEWEB)

    Plaster, Vinicius Almeida [Universidade Vila-Velha, ES (Brazil). Relacoes Internacionais

    2008-07-01

    In the elapse of the X X century the world experienced different cycles of prices in the world's oil production. From the principle of the century until the years 70's there were times of relative stability, in the 70's nevertheless a little variation in the price took the world's economy into a huge recession. Since then the consume of oil, that were increasing, has suffered a shock and started to decrease. The stability just will return in the 90's , but it will not last for a long time, and not with the same level of prices of the time before crisis, but as sad before it do not last long, as we can see nowadays the quotation break new records every day , but one factor distinguish this new shock of prices, of the shock of the 70's. Distinct of that time, the global economy in the beginning of the X XI century live a period of economical stability that was not seen for a long time in history, with controlled inflation and decrease of the interests rates, therefore this article concludes that happened a maturation of global economy, and that due the previous shocks happened a diversification in relation of the previous excessive dependence of oil. (author)

  3. An empirical examination of restructured electricity prices

    International Nuclear Information System (INIS)

    Knittel, C.R.; Roberts, M.R.

    2005-01-01

    We present an empirical analysis of restructured electricity prices. We study the distributional and temporal properties of the price process in a non-parametric framework, after which we parametrically model the price process using several common asset price specifications from the asset-pricing literature, as well as several less conventional models motivated by the peculiarities of electricity prices. The findings reveal several characteristics unique to electricity prices including several deterministic components of the price series at different frequencies. An 'inverse leverage effect' is also found, where positive shocks to the price series result in larger increases in volatility than negative shocks. We find that forecasting performance in dramatically improved when we incorporate features of electricity prices not commonly modelled in other asset prices. Our findings have implications for how empiricists model electricity prices, as well as how theorists specify models of energy pricing. (author)

  4. Molecular recognition of floral volatile with two olfactory related proteins in the Eastern honeybee (Apis cerana).

    Science.gov (United States)

    Li, Hongliang; Zhang, Linya; Ni, Cuixia; Shang, Hanwu; Zhuang, Shulin; Li, Jianke

    2013-05-01

    The honeybee relies on its sensitive olfaction to perform the foraging activities in the field. In the antennal chemoreception system of honeybee, odorant-binding proteins (OBPs) and chemosensory protein (CSPs) are major two protein families capable of binding with some plant volatiles and chemical ligands. However, the chemical binding interaction of plant odors with OBPs and CSPs in the honeybee olfactory system is still not clear yet. Hence, complex fluorescent spectra, ultraviolet absorption spectra, circular dichroism spectra and molecular docking were used to investigate the binding property of AcerASP2 (an OBP of Apis cerana) and AcerASP3 (a CSP of Apis cerana) with β-ionone, one of ordinary floral volatiles in botanical flower. As a result, β-ionone had a strong capability to quench the fluorescence that the two proteins produced, and their interaction was a dynamic process that was mainly driven by a hydrophobic force. AcerASP2 had a larger hydrophobic cavity than that of AcerASP3 and the conformation of AcerASP2 was changed less than AcerASP3 when binding with β-ionone. Our data suggests that OBPs like AcerASP2 might make a large contribution toward assisting the honeybee in sensing and foraging flowers, and A. cerana has evolved a good circadian rhythm to perceive a flower's odor following the fluctuation of temperature in the olfactory system. This significantly extends our knowledge on how to strengthen the honeybees' pollination service via manipulation of target proteins in the olfactory system. Copyright © 2013 Elsevier B.V. All rights reserved.

  5. Market Power in Power Markets: Evidence from Forward Prices of Electricity

    DEFF Research Database (Denmark)

    Christensen, Bent Jesper; Jensen, Thomas Elgaard; Mølgaard, Rune

    We examine the forward market for electricity for indications of misuse of market power, using a unique data set on OTC price indications posted by Elsam A/S, the dominant producer in Western Denmark, which is one of the price areas under the Nordic power exchange Nord Pool. The Danish Competition...... Council (the regulatory government agency) has ruled that Elsam has used its dominant position to obtain excessive spot prices over a period from July 2003 through December 2006. We show that significant forward premia exist, and that they are related both to spot market volatility and misuse of market...... are consistent across forward premium regressions and structural forward pricing models....

  6. Forecasting volatility of crude oil markets

    International Nuclear Information System (INIS)

    Kang, Sang Hoon; Kang, Sang-Mok; Yoon, Seong-Min

    2009-01-01

    This article investigates the efficacy of a volatility model for three crude oil markets - Brent, Dubai, and West Texas Intermediate (WTI) - with regard to its ability to forecast and identify volatility stylized facts, in particular volatility persistence or long memory. In this context, we assess persistence in the volatility of the three crude oil prices using conditional volatility models. The CGARCH and FIGARCH models are better equipped to capture persistence than are the GARCH and IGARCH models. The CGARCH and FIGARCH models also provide superior performance in out-of-sample volatility forecasts. We conclude that the CGARCH and FIGARCH models are useful for modeling and forecasting persistence in the volatility of crude oil prices. (author)

  7. Forecasting volatility of crude oil markets

    Energy Technology Data Exchange (ETDEWEB)

    Kang, Sang Hoon [Department of Business Administration, Gyeongsang National University, Jinju, 660-701 (Korea); Kang, Sang-Mok; Yoon, Seong-Min [Department of Economics, Pusan National University, Busan, 609-735 (Korea)

    2009-01-15

    This article investigates the efficacy of a volatility model for three crude oil markets - Brent, Dubai, and West Texas Intermediate (WTI) - with regard to its ability to forecast and identify volatility stylized facts, in particular volatility persistence or long memory. In this context, we assess persistence in the volatility of the three crude oil prices using conditional volatility models. The CGARCH and FIGARCH models are better equipped to capture persistence than are the GARCH and IGARCH models. The CGARCH and FIGARCH models also provide superior performance in out-of-sample volatility forecasts. We conclude that the CGARCH and FIGARCH models are useful for modeling and forecasting persistence in the volatility of crude oil prices. (author)

  8. Influence of environmental conditions on production of volatiles by Trichoderma atroviride in relation with the sick building syndrome

    Energy Technology Data Exchange (ETDEWEB)

    Polizzi, Viviana [Ghent University, Faculty of Bioscience Engineering, Department of Sustainable Organic Chemistry and Technology, Coupure links 653, B-9000 Ghent (Belgium); Ghent University, Faculty of Pharmaceutical Sciences, Laboratory of Food Analysis, Harelbekestraat 72, B-9000 Ghent (Belgium); Adams, An; De Kimpe, Norbert [Ghent University, Faculty of Bioscience Engineering, Department of Sustainable Organic Chemistry and Technology, Coupure links 653, B-9000 Ghent (Belgium); Picco, Anna Maria [Pavia University, Faculty of Sciences, Department of Territorial Ecology and Environment, via S. Epifanio 14, 27100 Pavia (Italy); Adriaens, Els; Lenoir, Joke [Ghent University, Faculty of Pharmaceutical Sciences, Laboratory of Pharmaceutical Technology, Harelbekestraat 72, B-9000 Ghent (Belgium); Van Peteghem, Carlos; De Saeger, Sarah [Ghent University, Faculty of Pharmaceutical Sciences, Laboratory of Food Analysis, Harelbekestraat 72, B-9000 Ghent (Belgium)

    2011-04-15

    A Trichoderma atroviride strain was isolated from a water-damaged office and the production of microbial volatile organic compounds (MVOCs) was investigated by means of headspace solid phase microextraction GC-MS. Different growth conditions (substrate, temperature, relative humidity) were selected, resembling indoor parameters, to elucidate a possible relationship between MVOCs, produced by Trichoderma atroviride, and the Sick Building Syndrome. In general, the range of MVOCs and the emitted quantities were larger on malt extract agar (MEA) than on wallpaper and plasterboard. Particular attention was dedicated to the volatile marker 6-pentyl-2-pyrone, a compound produced in high quantities on MEA, and its mucosal irritation potency was shown in a slug mucosal irritation assay. Some compounds characteristic for growth on specific building materials were detected, e.g. 2-ethylcyclopentanone, menthone, iso-menthone and trans-p-menth-2-en-7-ol on plasterboard and 4-heptanone and 1-octen-3-ol on wallpaper. Relative humidity and substrate had a more important effect on MVOC production than temperature. (author)

  9. Is the price effect on fuel consumption symmetric? Some evidence from an empirical study

    International Nuclear Information System (INIS)

    Sentenac-Chemin, Elodie

    2012-01-01

    We generally consider that the price elasticity of the energy demand is quite small. But it appears that strong increases in gasoline price lead to modifications in consumer behaviors. The high volatility of petroleum prices and the strong increases since the beginning of 2000 justify an analysis of price effects on gasoline consumption. We estimate the effects of price variations on gasoline consumption, in the United States and India. We use a co-integration modelling to test for long-run relationship between gasoline consumption, income, price and vehicle ownership in the two countries. We use an error correction model to test for short-run prices effects and more precisely for asymmetric effects on demand of increases and decreases in gasoline prices. The main conclusions are the following. Concerning the United States, the long-term price elasticity is relatively high for an industrialised country because gasoline taxes are low, but we show that households are more sensitive to a price increase than a price decrease. About India, price elasticity in the long-run is quite high but is quite small in the short-run. It is not surprising for an emergent country. It seems that there is no asymmetric effect of price variations on gasoline consumption.

  10. Consumer preferences relative to the price and network capability of small urban vehicles

    Energy Technology Data Exchange (ETDEWEB)

    Burns, L.D.

    1979-09-01

    Preferences of consumers for small urban vehicle concepts differing only with respect to their hypothetical purchase prices and network capabilities (i.e., whether they are capable of operating on expressways, major arterials, or local streets) are analyzed using statistical techniques based on psychological scaling theories. Results from these analyses indicate that a vast majority of consumers are not readily willing to give up the accessibility provided by conventional automobiles. More specifically, over the range of hypothetical prices considered here, network capability dominates as a determinant of preferences for vehicle concepts. Also, the ability to operate vehicles on expressways is of utmost importance to consumers.

  11. Symptoms of mothers and infants related to total volatile organic compounds in household products.

    Science.gov (United States)

    Farrow, Alexandra; Taylor, Hazel; Northstone, Kate; Golding, Jean

    2003-10-01

    The authors sought to determine whether reported symptoms of mothers and infants were associated significantly with the use of household products that raised indoor levels of total volatile organic compounds (TVOCs). Data collected from 170 homes within the Avon Longitudinal Study of Parents and Children (ALSPAC: a large birth cohort of more than 10,000) had determined which household products were associated with the highest levels of TVOCs. The latter data were collected over a period that approximated 6 mo of pregnancy and the infants' first 6 mo of life. This paper presents (a) the mothers' self-reports of the use of these products in their homes and (b) self-reported medical symptoms of mothers and infants postnatally. Higher TVOC levels were associated with air freshener and aerosol use. Infant diarrhea and earache were statistically significantly associated with air freshener use, and diarrhea and vomiting were significantly associated with aerosol use. Headache experienced by mothers 8 mo after birth was significantly associated with the use of air fresheners and aerosols; maternal depression was significantly associated with the use of air fresheners. The results of the study suggest a link between the use of products that raise indoor levels of TVOCs and an increased risk of certain symptoms among infants and their mothers.

  12. The non-random walk of stock prices: the long-term correlation between signs and sizes

    Science.gov (United States)

    La Spada, G.; Farmer, J. D.; Lillo, F.

    2008-08-01

    We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this benchmark model is unable to reproduce the diffusion properties of real prices. Specifically, we find that for one hour intervals this model consistently over-predicts the volatility of real price series by about 70%, and that this effect becomes stronger as the length of the intervals increases. By selectively shuffling some components of the data while preserving others we are able to show that this discrepancy is caused by a subtle but long-range non-contemporaneous correlation between the signs and sizes of individual returns. We conjecture that this is related to the long-memory of transaction signs and the need to enforce market efficiency.

  13. Report of the Select Committee on Petroleum Product Pricing

    International Nuclear Information System (INIS)

    Dooks, B.

    2004-01-01

    An all-party Committee of the House of Legislative Assembly of Nova Scotia was established to investigate the pricing of petroleum products such as gasoline and home heating fuel. The Committee conducted public hearings in Halifax, Yarmouth, Bridgewater, Sydney, and Truro, in order to seek input from consumers, producers, suppliers and operators. The mandate of the Select Committee on Petroleum Product Pricing was to investigate the supply and pricing of fuels, including gasoline and home heating oil and to determine whether current prices are justified and fair. This investigation included an examination of the reasons for the current level of product prices; product supply; reasons for volatility in product prices; the rationale for differences in prices across different regions of the province; factors that affect the viability of low volume outlets in the rural and urban marketplace; factors that affect the viability of independent retail operators in the province; and, any evidence of predatory pricing practices at the wholesale and retail levels of the market. The Select Committee also made recommendations related to fair and reasonable product prices at the consumer level, retail and wholesale margins, as well as other actions that may be required to correct imbalances in the distribution and sales of these products to consumers in the province. 8 appendices

  14. Dairy farmer use of price risk management tools.

    Science.gov (United States)

    Wolf, C A

    2012-07-01

    Volatility in milk and feed prices can adversely affect dairy farm profitability. Many risk management tools are available for use by US dairy farmers. This research uses surveys of Michigan dairy farmers to examine the extent to which price risk management tools have been used, the farm and operator characteristics that explain the use of these tools, and reasons farmers have not used these tools. A 1999 survey was used to benchmark the degree to which dairy producers had used milk and feed price risk management instruments to compare with 2011 use rates. The surveys collected information about the farm characteristics such as herd size, farmland operated, business organization, and solvency position. Farm operator characteristics collected include age, education, and experience. Dairy farmer use of both milk and feed price risk management tools increased between 1999 and 2011. In 2011, herd size was positively related to the use of milk price risk management tools, whereas farms organized as a sole proprietorship were less likely to use them. Also in 2011, herd size and land operated were positively related to feed price risk management tools, whereas operator age was negatively related. Reasons why farmers had not used price risk management tools included basis risk, cost, lack of management time, cooperative membership, and lack of understanding. Conclusions include the need for educational programming on price risk management tools and a broader exploration of dairy farm risk management programs. Copyright © 2012 American Dairy Science Association. Published by Elsevier Inc. All rights reserved.

  15. Arbitrage hedging strategy and one more explanation of the volatility smile

    OpenAIRE

    Mikhail Martynov; Olga Rozanova

    2011-01-01

    We present an explicit hedging strategy, which enables to prove arbitrageness of market incorporating at least two assets depending on the same random factor. The implied Black-Scholes volatility, computed taking into account the form of the graph of the option price, related to our strategy, demonstrates the "skewness" inherent to the observational data.

  16. Volatility smile as relativistic effect

    Science.gov (United States)

    Kakushadze, Zura

    2017-06-01

    We give an explicit formula for the probability distribution based on a relativistic extension of Brownian motion. The distribution (1) is properly normalized and (2) obeys the tower law (semigroup property), so we can construct martingales and self-financing hedging strategies and price claims (options). This model is a 1-constant-parameter extension of the Black-Scholes-Merton model. The new parameter is the analog of the speed of light in Special Relativity. However, in the financial context there is no ;speed limit; and the new parameter has the meaning of a characteristic diffusion speed at which relativistic effects become important and lead to a much softer asymptotic behavior, i.e., fat tails, giving rise to volatility smiles. We argue that a nonlocal stochastic description of such (Lévy) processes is inadequate and discuss a local description from physics. The presentation is intended to be pedagogical.

  17. Exporter Price Premia?

    DEFF Research Database (Denmark)

    Jäkel, Ina Charlotte; Sørensen, Allan

    This paper provides new evidence on manufacturing firms' output prices: in Denmark, on average, exported varieties are sold at a lower price (i.e. a negative exporter price premium) relative to only domestically sold varieties. This finding stands in sharp contrast to previous studies, which have...... found positive exporter price premia. We also document that the exporter price premium varies substantially across products (both in terms of sign and magnitude). We show that in a standard heterogeneous firms model with heterogeneity in quality as well as production efficiency there is indeed no clear......-cut prediction on the sign of the exporter price premium. However, the model unambiguously predicts a negative exporter price premium in terms of quality-adjusted prices, i.e. prices per unit of quality. This prediction is broadly borne out in the Danish data: while the magnitude of the premium varies across...

  18. Natural Gas and CO2 Price Variation: Impact on the Relative Cost-Efficiency of LNG and Pipelines

    OpenAIRE

    Øverland, Indra; Ulvestad, Marte

    2012-01-01

    This article develops a formal model for comparing the cost structure of the two main transport options for natural gas: liquefied natural gas (LNG) and pipelines. In particular, it evaluates how variations in the prices of natural gas and greenhouse gas emissions affect the relative cost-efficiency of these two options. Natural gas is often promoted as the most environmentally friendly of all fossil fuels, and LNG as a modern and efficient way of transporting it. Some research has been carri...

  19. Forecasting volatility for options valuation

    International Nuclear Information System (INIS)

    Belaifa, M.; Morimune, K.

    2006-01-01

    The petroleum sector plays a neuralgic role in the basement of world economies, and market actors (producers, intermediates, as well as consumers) are continuously subjected to the dynamics of unstable oil market. Huge amounts are being invested along the production chain to make one barrel of crude oil available to the end user. Adding to that are the effect of geopolitical dynamics as well as geological risks as expressed in terms of low chances of successful discoveries. In addition, fiscal regimes and regulations, technology and environmental concerns are also among some of the major factors that contribute to the substantial risk in the oil industry and render the market structure vulnerable to crises. The management of these vulnerabilities require modern tools to reduce risk to a certain level, which unfortunately is a non-zero value. The aim of this paper is, therefore, to provide a modern technique to capture the oil price stochastic volatility that can be implemented to value the exposure of an investor, a company, a corporate or a Government. The paper first analyses the regional dependence on oil prices, through a historical perspective and then looks at the evolution of pricing environment since the large price jumps of the 1970s. The main causes of oil prices volatility are treated in the third part of the paper. The rest of the article deals with volatility models and forecasts used in risk management, with an implication for pricing derivatives. (author)

  20. The relation between Acid Volatile Sulfides (AVS) and metal accumulation in aquatic invertebrates: implications of feeding behavior and ecology.

    Science.gov (United States)

    De Jonge, Maarten; Blust, Ronny; Bervoets, Lieven

    2010-05-01

    The present study evaluates the relationship between Acid Volatile Sulfides (AVS) and metal accumulation in invertebrates with different feeding behavior and ecological preferences. Natural sediments, pore water and surface water, together with benthic and epibenthic invertebrates were sampled at 28 Flemish lowland rivers. Different metals as well as metal binding sediment characteristics including AVS were measured and multiple regression was used to study their relationship with accumulated metals in the invertebrates taxa. Bioaccumulation in the benthic taxa was primarily influenced by total metal concentrations in the sediment. Regarding the epibenthic taxa metal accumulation was mostly explained by the more bioavailable metal fractions in both the sediment and the water. AVS concentrations were generally better correlated with metal accumulation in the epibenthic invertebrates, rather than with the benthic taxa. Our results indicated that the relation between AVS and metal accumulation in aquatic invertebrates is highly dependent on feeding behavior and ecology. Copyright 2010 Elsevier Ltd. All rights reserved.

  1. Virtual volatility

    Science.gov (United States)

    Silva, A. Christian; Prange, Richard E.

    2007-03-01

    We introduce the concept of virtual volatility. This simple but new measure shows how to quantify the uncertainty in the forecast of the drift component of a random walk. The virtual volatility also is a useful tool in understanding the stochastic process for a given portfolio. In particular, and as an example, we were able to identify mean reversion effect in our portfolio. Finally, we briefly discuss the potential practical effect of the virtual volatility on an investor asset allocation strategy.

  2. Quantitative Structure-Relative Volatility Relationship Model for Extractive Distillation of Ethylbenzene/p-Xylene Mixtures: Application to Binary and Ternary Mixtures as Extractive Agents

    International Nuclear Information System (INIS)

    Kang, Young-Mook; Oh, Kyunghwan; You, Hwan; No, Kyoung Tai; Jeon, Yukwon; Shul, Yong-Gun; Hwang, Sung Bo; Shin, Hyun Kil; Kim, Min Sung; Kim, Namseok; Son, Hyoungjun; Chu, Young Hwan; Cho, Kwang-Hwi

    2016-01-01

    Ethylbenzene (EB) and p-xylene (PX) are important chemicals for the production of industrial materials; accordingly, their efficient separation is desired, even though the difference in their boiling points is very small. This paper describes the efforts toward the identification of high-performance extractive agents for EB and PX separation by distillation. Most high-performance extractive agents contain halogen atoms, which present health hazards and are corrosive to distillation plates. To avoid this disadvantage of extractive agents, we developed a quantitative structure-relative volatility relationship (QSRVR) model for designing safe extractive agents. We have previously developed and reported QSRVR models for single extractive agents. In this study, we introduce extended QSRVR models for binary and ternary extractive agents. The QSRVR models accurately predict the relative volatilities of binary and ternary extractive agents. The service to predict the relative volatility for binary and ternary extractive agents is freely available from the Internet at http://qsrvr.o pengsi.org/.

  3. Quantitative Structure-Relative Volatility Relationship Model for Extractive Distillation of Ethylbenzene/p-Xylene Mixtures: Application to Binary and Ternary Mixtures as Extractive Agents

    Energy Technology Data Exchange (ETDEWEB)

    Kang, Young-Mook; Oh, Kyunghwan; You, Hwan; No, Kyoung Tai [Bioinformatics and Molecular Design Research Center, Seoul (Korea, Republic of); Jeon, Yukwon; Shul, Yong-Gun; Hwang, Sung Bo; Shin, Hyun Kil; Kim, Min Sung; Kim, Namseok; Son, Hyoungjun [Yonsei University, Seoul (Korea, Republic of); Chu, Young Hwan [Sangji University, Wonju (Korea, Republic of); Cho, Kwang-Hwi [Soongsil University, Seoul (Korea, Republic of)

    2016-04-15

    Ethylbenzene (EB) and p-xylene (PX) are important chemicals for the production of industrial materials; accordingly, their efficient separation is desired, even though the difference in their boiling points is very small. This paper describes the efforts toward the identification of high-performance extractive agents for EB and PX separation by distillation. Most high-performance extractive agents contain halogen atoms, which present health hazards and are corrosive to distillation plates. To avoid this disadvantage of extractive agents, we developed a quantitative structure-relative volatility relationship (QSRVR) model for designing safe extractive agents. We have previously developed and reported QSRVR models for single extractive agents. In this study, we introduce extended QSRVR models for binary and ternary extractive agents. The QSRVR models accurately predict the relative volatilities of binary and ternary extractive agents. The service to predict the relative volatility for binary and ternary extractive agents is freely available from the Internet at http://qsrvr.o pengsi.org/.

  4. Linepack storage valuation under price uncertainty

    International Nuclear Information System (INIS)

    Arvesen, Ø.; Medbø, V.; Fleten, S.-E.; Tomasgard, A.; Westgaard, S.

    2013-01-01

    Natural gas flows in pipelines as a consequence of the pressure difference at the inlet and outlet. Adjusting these pressures makes it possible to inject natural gas at one rate and withdraw at a different rate, hence using the pipeline as storage as well as transport. We study the value of using the so called pipeline linepack as a short-term gas storage and how this functionality may offset the discrepancy between the low flexibility in take-or-pay contracts and the high inherent flexibility of a gas-fired power plant. To value the storage option, we consider a cycling power plant facing volatile power prices while purchasing gas on a take-or-pay contract. We estimate a Markov regime-switching model for power prices and a mean reverting jump diffusion model for gas prices. Applying Least Squares Monte Carlo simulation to the operation of the linepack storage, we find that the storage option indeed has significant value for the plant, enabling it to better exploit the sometimes extreme price fluctuations. Finally, we show how power price volatility and jump frequency are the main value drivers, and that the size of the storage increases the value up to a point where no additional flexibility is used. - Highlights: ► Linepack, i.e., storage of natural gas en route in long pipelines, is valued for the first time. ► We find significant storage value for a North Sea case and a German gas-fired power plant. ► Power and natural gas prices are modelled realistically, as related stochastic processes with mean reversion and spikes. ► Storage operation is valued under uncertainty yielding close to exact values, without heuristics

  5. Do stock prices drive people crazy?

    Science.gov (United States)

    Lin, Chung-Liang; Chen, Chin-Shyan; Liu, Tsai-Ching

    2015-03-01

    This is the first research to examine a potential relation between stock market volatility and mental disorders. Using data on daily incidences of mental disorders in Taiwan over 4000 days from 1998 through 2009 to assess the time-series relation between stock price movements and mental disorders, we observe that stock price fluctuation clearly affects the hospitalization of mental disorders. We find that during a 12-year follow-up period, a low stock price index, a daily fall in the stock price index and consecutive daily falls in the stock price index are all associated with greater of mental disorders hospitalizations. A 1000-point fall in the TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) increases the number of daily mental disorders hospitalizations by 4.71%. A 1% fall in the TAIEX in one single day increases daily hospitalizations for mental disorders by 0.36%. When the stock price index falls one consecutive day, it causes a daily increase of approximately 0.32% hospitalizations due to mental disorders on that day. Stock price index is found to be significant for both gender and all age groups. In addition, daily change is significant for both gender and middle-age groups, whereas accumulated change is significant for males and people aged 45-64. Stockholdings can help people accumulate wealth, but they can also increase mental disorders hospitalizations. In other words, stock price fluctuations do drive people crazy. Published by Oxford University Press in association with The London School of Hygiene and Tropical Medicine © The Author 2014; all rights reserved.

  6. 棕榈油供给冲击与国内植物油价格波动的动态关系分析%Dynamic relationship analysis between palm oil supply shocks and domestic vegetable oil prices volatility

    Institute of Scientific and Technical Information of China (English)

    刘锐金; 王成丽

    2017-01-01

    [Objective]In this paper, the interaction between palm oil supply and prices of major domestic vegetable oils was analyzed, and supply reaction of palm oil under positive and negative shocks of prices was studied, as as to provide theoretical references for palm oil import management. [Method]The interaction between supply and price was assessed un-der the framework of co-integration-GARCH and error correction-GARCH models using monthly palm oil imports , spot prices of palm oil, soybean oil and rapeseed oil, and spot price of Malaysian palm oil. Linear and nonlinear Granger test was conducted for robustness check. [Result]Chinese palm oil processing manufacturers and traders preferred to rely on variance information accumulated in the past long period (ARCH effect), rather than a prediction variance (GARCH ef-fect). Compared to rapeseed oil, soybean oil had much stronger adjusting force on palm oil. The shock of palm oil supply weakly affected the prices. The signal of price changes with two lags had asymmetric impact on supply of palm oil. There existed no Granger causal relation between supply and price of palm oil. [Suggestion]Palm oil import management, marketing building and inventory monitor should be enhance, and researches on international pricing mechanism of palm oil need to be deepened.%[目的]分析棕榈油供给量与国内主要植物油价格的互动关系,以及对于来自价格正、负向冲击下棕榈油的供给反应,为棕榈油进口管理提供理论依据.[方法]利用我国棕榈油月度进口量、棕榈油、豆油、菜籽油现货价格及马来西亚毛棕榈油现货价格数据,在协整-GARCH、误差修正-GARCH框架下进行估计分析,研究供给量与价格间的互动关系,并用线性和非线性Granger因果检验进行稳健性检验.[结果]我国棕榈油的加工厂商和贸易商重视过去较长一段时间积累的方差信息(ARCH效应),而不是上一期的预测方差(GARCH效应);相比于菜籽油,

  7. Iodine volatility

    International Nuclear Information System (INIS)

    Beahm, E.C.; Shockley, W.E.

    1984-01-01

    The ultimate aim of this program is to couple experimental aqueous iodine volatilities to a fission product release model. Iodine partition coefficients, for inorganic iodine, have been measured during hydrolysis and radiolysis. The hydrolysis experiments have illustrated the importance of reaction time on iodine volatility. However, radiolysis effects can override hydrolysis in determining iodine volatility. In addition, silver metal in radiolysis samples can react to form silver iodide accompanied by a decrease in iodine volatility. Experimental data are now being coupled to an iodine transport and release model that was developed in the Federal Republic of Germany

  8. Policy issues related to substitution of the US dollar in oil pricing

    International Nuclear Information System (INIS)

    Essayyad, Musa; Algahtani, Ibrahim

    2005-01-01

    This policy paper attempts to evaluate the viability of switching from the US dollar to the euro in international oil pricing. If materialised, the switch would not impact only OPEC nations but would also have ramifications for other oil exporting as well as importing nations. It would also have considerable effect on US economy and international financial system. This paper recommends that in deciding which currency to use in oil pricing, OPEC member countries should not allow their positive or negative political rapport with the US Government to distort their rational choice. Switching to euro or any other currency will not eliminate loss of revenue, as the newly adopted currency will not be immune either from the exchange rate gyrations. In fact, there is no guarantee that the euro, yen, sterling pound, or any other major currency will be immune from fluctuations. As a way out, this paper recommends three alternatives. (Author)

  9. Short-term electricity price forecast based on the improved hybrid model

    International Nuclear Information System (INIS)

    Dong Yao; Wang Jianzhou; Jiang He; Wu Jie

    2011-01-01

    Highlights: → The proposed models can detach high volatility and daily seasonality of electricity price. → The improved hybrid forecast models can make full use of the advantages of individual models. → The proposed models create commendable improvements that are relatively satisfactorily for current research. → The proposed models do not require making complicated decisions about the explicit form. - Abstract: Half-hourly electricity price in power system are volatile, electricity price forecast is significant information which can help market managers and participants involved in electricity market to prepare their corresponding bidding strategies to maximize their benefits and utilities. However, the fluctuation of electricity price depends on the common effect of many factors and there is a very complicated random in its evolution process. Therefore, it is difficult to forecast half-hourly prices with traditional only one model for different behaviors of half-hourly prices. This paper proposes the improved forecasting model that detaches high volatility and daily seasonality for electricity price of New South Wales in Australia based on Empirical Mode Decomposition, Seasonal Adjustment and Autoregressive Integrated Moving Average. The prediction errors are analyzed and compared with the ones obtained from the traditional Seasonal Autoregressive Integrated Moving Average model. The comparisons demonstrate that the proposed model can improve the prediction accuracy noticeably.

  10. Short-term electricity price forecast based on the improved hybrid model

    Energy Technology Data Exchange (ETDEWEB)

    Dong Yao, E-mail: dongyao20051987@yahoo.cn [School of Mathematics and Statistics, Lanzhou University, Lanzhou 730000 (China); Wang Jianzhou, E-mail: wjz@lzu.edu.cn [School of Mathematics and Statistics, Lanzhou University, Lanzhou 730000 (China); Jiang He; Wu Jie [School of Mathematics and Statistics, Lanzhou University, Lanzhou 730000 (China)

    2011-08-15

    Highlights: {yields} The proposed models can detach high volatility and daily seasonality of electricity price. {yields} The improved hybrid forecast models can make full use of the advantages of individual models. {yields} The proposed models create commendable improvements that are relatively satisfactorily for current research. {yields} The proposed models do not require making complicated decisions about the explicit form. - Abstract: Half-hourly electricity price in power system are volatile, electricity price forecast is significant information which can help market managers and participants involved in electricity market to prepare their corresponding bidding strategies to maximize their benefits and utilities. However, the fluctuation of electricity price depends on the common effect of many factors and there is a very complicated random in its evolution process. Therefore, it is difficult to forecast half-hourly prices with traditional only one model for different behaviors of half-hourly prices. This paper proposes the improved forecasting model that detaches high volatility and daily seasonality for electricity price of New South Wales in Australia based on Empirical Mode Decomposition, Seasonal Adjustment and Autoregressive Integrated Moving Average. The prediction errors are analyzed and compared with the ones obtained from the traditional Seasonal Autoregressive Integrated Moving Average model. The comparisons demonstrate that the proposed model can improve the prediction accuracy noticeably.

  11. Using the market to regulate health care price: why heart hospitals will have a competitive advantage in the world of post-diagnostic related group pricing.

    Science.gov (United States)

    McLean, Thomas R

    2004-01-01

    For the past 20 years, the federal government has reimbursed hospital services by administrating pricing. Simply put, under such a system the government dictated the prices of medical services. Not only has administrative pricing failed to control medical inflation, but such failure could have been predicted from a review of basic economics. Accordingly, to eliminate the deleterious effects of administrative pricing, it is not surprising that the government is gathering information on hospital quality and cost in anticipation of a return to a system in which the price for hospital services is determined by the market. For some hospitals, this will be good news because they will be able to negotiate a more favorable rate of reimbursement. Unfortunately, for some hospitals a market system will be bad news because the government is not going to negotiate a provider contract with every hospital. In short, when the government returns to a market system for pricing of hospital services, competition among hospitals is going to become even more competitive.

  12. Some recent developments in stochastic volatility modelling

    DEFF Research Database (Denmark)

    Barndorff-Nielsen, Ole Eiler; Nicolato, Elisa; Shephard, N.

    2002-01-01

    This paper reviews and puts in context some of our recent work on stochastic volatility (SV) modelling for financial economics. Here our main focus is on: (i) the relationship between subordination and SV, (ii) OU based volatility models, (iii) exact option pricing, (iv) realized power variation...

  13. Order flow and volatility: An empirical investigation

    NARCIS (Netherlands)

    Opschoor, A.; Taylor, N.; van der Wel, M.; van Dijk, D.

    2014-01-01

    We study the relationship between order flow and volatility. To this end we develop a comprehensive framework that simultaneously controls for the effects of macro announcements and order flow on prices and the effect of macro announcements on volatility. Using high-frequency 30-year U.S. Treasury

  14. Essays on Derivatives Pricing

    DEFF Research Database (Denmark)

    Kokholm, Thomas

    . With the existence of a liquid market for derivatives with variance as underlying, such as VIX options, VIX futures and a well-developed over-the-counter market for options on variance swaps, it is important to consider models that are able to fit these markets while consistently pricing vanilla options...... financial models, and most importantly, to be aware of their limitations. Following that belief, this thesis consists of three independent and self-contained papers, all dealing with topics in derivatives pricing. The first paper considers the pricing of traffic light options, which are appropriate...... the market for multivariate credit instruments, we take a step back and focus on single-name default modeling and introduce two new model classes for modeling of the default time of a company. Finally, in the third paper we propose a consistent pricing model for index and volatility derivatives...

  15. Inflation impact of food prices: Case of Serbia

    Directory of Open Access Journals (Sweden)

    Šoškić Dejan

    2015-01-01

    Full Text Available Food prices traditionally have an impact on inflation around the world. Movements in these prices are coming more from the supply side, then from the demand side. If treated as a supply shock, monetary policy should not react. However, food prices are part of headline inflation that is an official target for most central banks. Serbia conducts Inflation targeting and faces serious challenges with food price volatility. Food price volatility in Serbia hampers inflation forecasting, and may have a negative influence on inflationary expectations and public confidence in (i.e. credibility of the Central bank, all of crucial importance for success of Inflation targeting. There are several important possible improvements that may decrease volatility of food prices but also limit negative impact of food price volatility on Consumer Price Index (CPI as a measure of inflation. These improvements are very important for success of Inflation targeting in Serbia.

  16. Variation in the Volatile Profiles of Black and Manchurian Ash in Relation to Emerald Ash Borer Oviposition Preferences.

    Science.gov (United States)

    Rigsby, Chad M; McCartney, Nathaniel B; Herms, Daniel A; Tumlinson, James H; Cipollini, Don

    2017-08-01

    Emerald ash borer (EAB; Agrilus planipennis) is a devastating pest of ash (Fraxinus spp.) in its invaded range in North America. Its coevolved Asian hosts are more resistant and less preferred for oviposition than susceptible North American species. We compared EAB oviposition preferences and bark and canopy volatile organic compound (VOC) emissions of resistant Manchurian ash and susceptible black ash, and examined relationships between VOC profiles and oviposition. In the field, black ash was highly preferred for oviposition while no eggs were laid on Manchurian ash, and we found clear differences in the VOC profiles of Manchurian and black ash. We detected 78 compounds emitted from these species, including 16 compounds that elicited EAB antennal activity in prior studies. Four compounds were unique to black and 11 to Manchurian ash. Emission rates of 14 canopy and 19 bark volatiles varied among the two species, including four previously reported as antennally active. Specifically, 7-epi-sesquithujene (bark) emissions were greater from black ash, while β-caryophyllene (canopy), linalool (bark), and α-cubebene (bark) were emitted at higher rates by Manchurian ash. No relationships were found between the emission rate of any single compound or group of compounds (e.g. monoterpenes) suggesting that preference may be based on complex profile combinations. This is the first study to directly compare VOCs of black and Manchurian ash as well as the first to examine bark- and canopy-specific VOCs. The unique bark and canopy VOC profiles of these two species implicates potentially important variation in VOCs between a closely related resistant and susceptible species that provides a foundation for future studies of host preferences of EAB.

  17. Quantitative evaluation of volatile hydrocarbons in post-mortem blood in forensic autopsy cases of fire-related deaths.

    Science.gov (United States)

    Yonemitsu, Kosei; Sasao, Ako; Oshima, Toru; Mimasaka, Sohtaro; Ohtsu, Yuki; Nishitani, Yoko

    2012-04-10

    Volatile hydrocarbons in post-mortem blood from victims of fires were analyzed quantitatively by headspace gas chromatography mass spectrometry. The benzene and styrene concentrations in the blood were positively correlated with the carboxyhemoglobin (CO-Hb) concentration, which is evidence that the deceased inhaled the hydrocarbons and carbon monoxide simultaneously. By contrast, the concentrations of toluene and CO-Hb in the blood were not significantly correlated. This lack of correlation could be explained by two different sources of toluene, with low blood concentrations of toluene arising when the deceased inhaled smoke and high blood concentrations of toluene arising when the deceased inhaled petroleum vapor or other unknown vapors. The quantity of soot deposited in the respiratory tract was classified into four grades (-, 1+, 2+, 3+). The mean CO-Hb concentration in the 1+ soot group was significantly lower than those in the 2+ (ptypes of smoke produced by different materials. For example, petroleum combustion with a limited supply of oxygen, like in a compartment fire, may produce a large volume of dense black smoke that contains a large quantity of soot. Soot deposits in the airways and the blood CO-Hb concentration are basic and essential autopsy findings that are used to investigate fire-related deaths. The quantitative GC-MS analysis of blood volatile hydrocarbons can provide additional useful information on the cause of the fire and the circumstances surrounding the death. In combination, these three findings are useful for the reconstruction of cases. Copyright © 2011 Elsevier Ireland Ltd. All rights reserved.

  18. Oil prices and the stock prices of alternative energy companies

    International Nuclear Information System (INIS)

    Henriques, Irene; Sadorsky, Perry

    2008-01-01

    Energy security issues coupled with increased concern over the natural environment are driving factors behind oil price movements. While it is widely accepted that rising oil prices are good for the financial performance of alternative energy companies, there has been relatively little statistical work done to measure just how sensitive the financial performance of alternative energy companies are to changes in oil prices. In this paper, a four variable vector autoregression model is developed and estimated in order to investigate the empirical relationship between alternative energy stock prices, technology stock prices, oil prices, and interest rates. Our results show technology stock prices and oil prices each individually Granger cause the stock prices of alternative energy companies. Simulation results show that a shock to technology stock prices has a larger impact on alternative energy stock prices than does a shock to oil prices. These results should be of use to investors, managers and policy makers. (author)

  19. Oil price stability and free markets

    International Nuclear Information System (INIS)

    Yamani, A.Z.

    1992-01-01

    The oil industry, like any capital-intensive industry with long supply lead times, is prone to price instability. Free markets in oil reflect this inherent instability, for prices are efficient signallers of imbalances between supply and demand. Free markets are desirable in principle, but entirely free oil markets are unstable. Volatile oil prices are undesirable. This article advocates trading some market freedom for more price stability, since such a trade off will be beneficial to the world as a whole. (author)

  20. A multiscale extension of the Margrabe formula under stochastic volatility

    International Nuclear Information System (INIS)

    Kim, Jeong-Hoon; Park, Chang-Rae

    2017-01-01

    Highlights: • Fast-mean-reverting stochastic volatility model is chosen to extend the classical Margrabe formula. • The resultant formula is explicitly given by the greeks of Margrabe price itself. • We show how the stochastic volatility corrects the Margrabe price behavior. - Abstract: The pricing of financial derivatives based on stochastic volatility models has been a popular subject in computational finance. Although exact or approximate closed form formulas of the prices of many options under stochastic volatility have been obtained so that the option prices can be easily computed, such formulas for exchange options leave much to be desired. In this paper, we consider two different risky assets with two different scales of mean-reversion rate of volatility and use asymptotic analysis to extend the classical Margrabe formula, which corresponds to a geometric Brownian motion model, and obtain a pricing formula under a stochastic volatility. The resultant formula can be computed easily, simply by taking derivatives of the Margrabe price itself. Based on the formula, we show how the stochastic volatility corrects the Margrabe price behavior depending on the moneyness and the correlation coefficient between the two asset prices.

  1. Capturing Option Anomalies with a Variance-Dependent Pricing Kernel

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Heston, Steven; Jacobs, Kris

    2013-01-01

    We develop a GARCH option model with a new pricing kernel allowing for a variance premium. While the pricing kernel is monotonic in the stock return and in variance, its projection onto the stock return is nonmonotonic. A negative variance premium makes it U shaped. We present new semiparametric...... evidence to confirm this U-shaped relationship between the risk-neutral and physical probability densities. The new pricing kernel substantially improves our ability to reconcile the time-series properties of stock returns with the cross-section of option prices. It provides a unified explanation...... for the implied volatility puzzle, the overreaction of long-term options to changes in short-term variance, and the fat tails of the risk-neutral return distribution relative to the physical distribution....

  2. House price risk and the hedging benefits of home Ownership

    NARCIS (Netherlands)

    Dröes, M.I.; Hassink, W.H.J.

    2013-01-01

    Using a repeat-sales methodology, this paper finds that estimates of house price risk based on aggregate house price indices substantially underestimate the true size of house price risk. This is the result of the fact that aggregate house price indices average away the idiosyncratic volatility in

  3. Near-term oil prices

    International Nuclear Information System (INIS)

    Lynch, M.C.

    2001-01-01

    This PowerPoint presentation included 36 slides that described the state of oil prices and how to predict them. Prices are random, stochastic, chaotic, mean-reverting and driven by speculators, oil companies and OPEC. The many factors that enable price forecasting are economic growth, weather, industry behaviour, speculators, OPEC policy choices, Mexico/Russia production policy, non-OPEC supply and the interpretation of the above factors by OPEC, speculators, traders and the petroleum industry. Several graphs were included depicting such things as WTI price forecasts, differentials, oil market change in 2001, inventory levels, and WTI backwardation. The presentation provided some explanations for price uncertainties, price surges and collapses. U.S. GDP growth and the volatility of Iraq's production was also depicted. The author predicted that economic growth will occur and that oil demand will go up. Oil prices will fluctuate as the Middle East will be politically unstable and weather will be a major factor that will influence oil prices. The prices are likely to be more volatile than in the 1986 to 1995 period. 2 tabs., 22 figs

  4. The relation between Acid Volatile Sulfides (AVS) and metal accumulation in aquatic invertebrates: Implications of feeding behavior and ecology

    International Nuclear Information System (INIS)

    De Jonge, Maarten; Blust, Ronny; Bervoets, Lieven

    2010-01-01

    The present study evaluates the relationship between Acid Volatile Sulfides (AVS) and metal accumulation in invertebrates with different feeding behavior and ecological preferences. Natural sediments, pore water and surface water, together with benthic and epibenthic invertebrates were sampled at 28 Flemish lowland rivers. Different metals as well as metal binding sediment characteristics including AVS were measured and multiple regression was used to study their relationship with accumulated metals in the invertebrates taxa. Bioaccumulation in the benthic taxa was primarily influenced by total metal concentrations in the sediment. Regarding the epibenthic taxa metal accumulation was mostly explained by the more bioavailable metal fractions in both the sediment and the water. AVS concentrations were generally better correlated with metal accumulation in the epibenthic invertebrates, rather than with the benthic taxa. Our results indicated that the relation between AVS and metal accumulation in aquatic invertebrates is highly dependent on feeding behavior and ecology. - The relation between AVS and metal accumulation in aquatic invertebrates is highly dependent on feeding behavior and ecology.

  5. Unstable volatility

    DEFF Research Database (Denmark)

    Casas, Isabel; Gijbels, Irène

    2012-01-01

    The objective of this paper is to introduce the break-preserving local linear (BPLL) estimator for the estimation of unstable volatility functions for independent and asymptotically independent processes. Breaks in the structure of the conditional mean and/or the volatility functions are common...... in Finance. Nonparametric estimators are well suited for these events due to the flexibility of their functional form and their good asymptotic properties. However, the local polynomial kernel estimators are not consistent at points where the volatility function has a break. The estimator presented...

  6. Stock price prediction using geometric Brownian motion

    Science.gov (United States)

    Farida Agustini, W.; Restu Affianti, Ika; Putri, Endah RM

    2018-03-01

    Geometric Brownian motion is a mathematical model for predicting the future price of stock. The phase that done before stock price prediction is determine stock expected price formulation and determine the confidence level of 95%. On stock price prediction using geometric Brownian Motion model, the algorithm starts from calculating the value of return, followed by estimating value of volatility and drift, obtain the stock price forecast, calculating the forecast MAPE, calculating the stock expected price and calculating the confidence level of 95%. Based on the research, the output analysis shows that geometric Brownian motion model is the prediction technique with high rate of accuracy. It is proven with forecast MAPE value ≤ 20%.

  7. Increasing household debts and its relation to GDP, interest rate and house price: Malaysia’s perspective

    OpenAIRE

    Rahman, Sharezan; Masih, Mansur

    2014-01-01

    The increase in household debts in Malaysia which has escalated to about 86% of total GDP is deemed to be at worrying stage as it may in turn trigger another financial crisis. Thus, the aim of this study is to examine the increase in household debts and its relation to GDP, interest rate and house price via time series techniques. Data collected from Datastream and monthly statistical bulletin span from 1999 to 2014 on quarterly basis. The results show that there is a cointegrating long run r...

  8. Innovation in technology for the least product price and cost - a new minimum cost relation for reductions during technological learning

    International Nuclear Information System (INIS)

    Duffey, R.B.

    2004-01-01

    By analogy with the concepts of human learning, we show and introduce a new method to obtain least product cost and price that includes the effect of innovation and technological learning in manufacturing and production. This key result is a new paradigm instead of the usual economic 'power law' formulation. The new analysis is based on extensive analysis of many technological systems, and is directly related to the presence of learning as experience is accumulated. The results agree with the observed data. By using a consistent basis, the method replaces previous empirical 'power law' descriptions of the technological learning curve with a new 'marginal minimum cost equation' (MCE). (author)

  9. Non-volatile memories

    CERN Document Server

    Lacaze, Pierre-Camille

    2014-01-01

    Written for scientists, researchers, and engineers, Non-volatile Memories describes the recent research and implementations in relation to the design of a new generation of non-volatile electronic memories. The objective is to replace existing memories (DRAM, SRAM, EEPROM, Flash, etc.) with a universal memory model likely to reach better performances than the current types of memory: extremely high commutation speeds, high implantation densities and retention time of information of about ten years.

  10. Measurement of volatile organic compounds in suburban Bangkok, Thailand: characteristics and influence from combustion related activities

    Science.gov (United States)

    Suthawaree, J.; Tajima, Y.; Kato, S.; Khunchornyakong, A.; Sharp, A.; Kajii, Y.

    2009-12-01

    Elucidation of air quality in the suburban area of Bangkok, Thailand is essential in order to achieve effective regulations and mitigation strategies. VOCs plays important role in formation of tropospheric urban ozone. Without overkill NO concentration, transport of O3 precursors into suburban area which add surplus to local O3 formation as well as direct transport of O3 itself results in relatively higher total O3 observed in suburban area rather than urban. Whole air canister sampling was carried out in the suburban Bangkok during 2008, July 2-7. 4 samples per day were collected at 30 min passes 6, 12, 17, 21 hours with sampling time of 1 min. Analysis was achieved by using GC-FID and GC-MS. High concentrations of VOCs detected during the peak periods in the morning and evening are most likely due to vehicular emission. Averaged VOCs concentrations, reveal distinct different between data measured for weekday and weekend which the latter were found with lower concentrations. No difference was found for CFCs which the levels are also comparable to global background level reported by World Meteorological Organization. The most abundance species have found to be propane and toluene with averaged concentration of 3100 and 2891 pptv, respectively. Ratios of benzene over toluene suggest additional concentration owing to industrial emission, of which particularly larger during the weekday. Comparison with C2Cl4 and CH3Cl concentrations obtained for suburban Tokyo reveal relatively higher influence of biomass burning at suburban Bangkok. In order to estimate the role of the different VOCs towards tropospheric ozone formation, ozone formation potential was calculated using maximum incremental reactivity. Toluene was found to contribute the most to O3 production followed by ethylene, m,p-xylene, and propylene.

  11. Stochastic volatility and stochastic leverage

    DEFF Research Database (Denmark)

    Veraart, Almut; Veraart, Luitgard A. M.

    This paper proposes the new concept of stochastic leverage in stochastic volatility models. Stochastic leverage refers to a stochastic process which replaces the classical constant correlation parameter between the asset return and the stochastic volatility process. We provide a systematic...... treatment of stochastic leverage and propose to model the stochastic leverage effect explicitly, e.g. by means of a linear transformation of a Jacobi process. Such models are both analytically tractable and allow for a direct economic interpretation. In particular, we propose two new stochastic volatility...... models which allow for a stochastic leverage effect: the generalised Heston model and the generalised Barndorff-Nielsen & Shephard model. We investigate the impact of a stochastic leverage effect in the risk neutral world by focusing on implied volatilities generated by option prices derived from our new...

  12. Time-Related Changes in Volatile Compounds during Fermentation of Bulk and Fine-Flavor Cocoa (Theobroma cacao Beans

    Directory of Open Access Journals (Sweden)

    Juan Manuel Cevallos-Cevallos

    2018-01-01

    Full Text Available Chocolate is one of the most consumed foods worldwide and cacao fermentation contributes to the unique sensory characteristics of chocolate products. However, comparative changes in volatiles occurring during fermentation of Criollo, Forastero, and Nacional cacao—three of the most representative cultivars worldwide—have not been reported. Beans of each cultivar were fermented for five days and samples were taken every 24 hours. Volatiles from each sample were adsorbed into a solid phase microextraction fiber and analyzed by gas chromatography-mass spectrometry. Aroma potential of each compound was determined using available databases. Multivariate data analyses showed partial clustering of samples according to cultivars at the start of the fermentation but complete clustering was observed at the end of the fermentation. The Criollo cacao produced floral, fruity, and woody aroma volatiles including linalool, epoxylinalool, benzeneethanol, pentanol acetate, germacrene, α-copaene, aromadendrene, 3,6-heptanedione, butanal, 1-phenyl ethenone, 2-nonanone, and 2-pentanone. Nacional cacao produced fruity, green, and woody aroma volatiles including 2-nonanone, 3-octen-1-ol, 2-octanol acetate, 2-undecanone, valencene, and aromadendrene. The Forastero cacao yielded floral and sweet aroma volatiles such as epoxylinalool, pentanoic acid, benzeneacetaldehyde, and benzaldehyde. This is the first report of volatiles produced during fermentation of Criollo, Forastero, and Nacional cacao from the same origin.

  13. Chasing volatility

    DEFF Research Database (Denmark)

    Caporin, Massimiliano; Rossi, Eduardo; Santucci de Magistris, Paolo

    The realized volatility of financial returns is characterized by persistence and occurrence of unpreditable large increments. To capture those features, we introduce the Multiplicative Error Model with jumps (MEM-J). When a jump component is included in the multiplicative specification, the condi......The realized volatility of financial returns is characterized by persistence and occurrence of unpreditable large increments. To capture those features, we introduce the Multiplicative Error Model with jumps (MEM-J). When a jump component is included in the multiplicative specification...... estimate alternative specifications of the model using a set of daily bipower measures for 7 stock indexes and 16 individual NYSE stocks. The estimates of the jump component confirm that the probability of jumps dramatically increases during the financial crisis. Compared to other realized volatility...... models, the introduction of the jump component provides a sensible improvement in the fit, as well as for in-sample and out-of-sample volatility tail forecasts....

  14. Oil price influence on spanish gas prices : fundamentals and volatility

    OpenAIRE

    Cansado Bravo, Pablo

    2017-01-01

    A pesar de la rápida evolución de los mercados organizados nacionales de gas en el mundo, la contratación de gas a largo plazo sigue siendo el proceso principal de determinación de precios de referencia, al menos en Europa continental y Asia Oriental. El caso de España es un ejemplo de mercado local, donde las condiciones de suministro de gas están condicionadas por la existencia de una cantidad sustancial de contratos de largo plazo, que junto con la limitada interconexión gasista con Franci...

  15. Do Daily Retail Gasoline Prices adjust Asymmetrically?

    Energy Technology Data Exchange (ETDEWEB)

    Bettendorf, L. [Tinbergen Instituut, Amsterdam/Rotterdam (Netherlands); Van der Geest, S. [Erasmus Universiteit, Rotterdam (Netherlands); Kuper, G. [University of Groningen, Groningen (Netherlands)

    2005-04-15

    This paper analyzes adjustments in the Dutch retail gasoline prices. We estimate an error correction model on changes in the daily retail price for gasoline (taxes excluded) for the period 1996-2004 taking care of volatility clustering by estimating an EGARCH model. It turns out the volatility process is asymmetrical: an unexpected increase in the producer price has a larger effect on the variance of the producer price than an unexpected decrease. We do not find strong evidence for amount asymmetry. However, there is a faster reaction to upward changes in spot prices than to downward changes in spot prices. This implies timing or pattern asymmetry. This asymmetry starts three days after the change in the spot price and lasts for four days.

  16. Studies on classifying Indian coals. Part II. A new system for grading and pricing

    Energy Technology Data Exchange (ETDEWEB)

    Tumuluri, S.G.; Shrikhande, S.K.; Rao, S.K.; Haque, R.

    1985-07-01

    The new system is self-complete through grading to pricing. It grades non-coking coal by moisture and ash contents. Coking coal is graded by GKLT coke type and ash content. Volatile matter content is used as a supporting indexer, where necessary. Through the grade data, a coal is evaluated into a single numeral which depicts the coaly matter content and its nature or effectiveness. This value, called effective coaly matter, is converted to a relative rupee value or price index/price. Pragmatics and versatility of the system are discussed.

  17. Petroleum price; Prix du petrole

    Energy Technology Data Exchange (ETDEWEB)

    Maurice, J

    2001-07-01

    The oil market is the most volatile of all markets, with the exception of the Nasdaq. It is also the biggest commodity market in the world. Therefore one cannot avoid forecasting oil prices, nor can one expect to avoid the forecasting errors that have been made in the past. In his report, Joel Maurice draws a distinction between the short term and the medium-long term in analysing the outlook for oil prices. (author)

  18. Oil price dynamics and speculation. A multivariate financial approach

    International Nuclear Information System (INIS)

    Cifarelli, Giulio; Paladino, Giovanna

    2010-01-01

    This paper assesses empirically whether speculation affects oil price dynamics. The growing presence of financial operators in the oil markets has led to the diffusion of trading techniques based on extrapolative expectations. Strategies of this kind foster feedback trading that may cause considerable departures of prices from their fundamental values. We investigate this hypothesis using a modified CAPM following Shiller (1984) and Sentana and Wadhwani (1992). First, a univariate GARCH(1,1)-M is estimated assuming the risk premium to be a function of the conditional oil price volatility. The single factor model, however, is outperformed by the multifactor ICAPM (Merton, 1973), which takes into account a larger investment opportunity set. Analysis is then carried out using a trivariate CCC GARCH-M model with complex nonlinear conditional mean equations where oil price dynamics are associated with both stock market and exchange rate behavior. We find strong evidence that oil price shifts are negatively related to stock price and exchange rate changes and that a complex web of time-varying first and second order conditional moment interactions affects both the CAPM and feedback trading components of the model. Despite the difficulties, we identify a significant role played by speculation in the oil market, which is consistent with the observed large daily upward and downward shifts in prices - a clear evidence that it is not a fundamental-driven market. Thus, from a policy point of view - given the impact of volatile oil prices on global inflation and growth - actions that monitor speculative activities on commodity markets more effectively are to be welcomed. (author)

  19. Oil price dynamics and speculation. A multivariate financial approach

    Energy Technology Data Exchange (ETDEWEB)

    Cifarelli, Giulio [University of Florence, Dipartimento di Scienze Economiche, via delle Pandette 9, 50127, Florence (Italy); Paladino, Giovanna [Economics Department, LUISS University (Italy); BIIS International Division (Italy)

    2010-03-15

    This paper assesses empirically whether speculation affects oil price dynamics. The growing presence of financial operators in the oil markets has led to the diffusion of trading techniques based on extrapolative expectations. Strategies of this kind foster feedback trading that may cause considerable departures of prices from their fundamental values. We investigate this hypothesis using a modified CAPM following Shiller (1984) and Sentana and Wadhwani (1992). First, a univariate GARCH(1,1)-M is estimated assuming the risk premium to be a function of the conditional oil price volatility. The single factor model, however, is outperformed by the multifactor ICAPM (Merton, 1973), which takes into account a larger investment opportunity set. Analysis is then carried out using a trivariate CCC GARCH-M model with complex nonlinear conditional mean equations where oil price dynamics are associated with both stock market and exchange rate behavior. We find strong evidence that oil price shifts are negatively related to stock price and exchange rate changes and that a complex web of time-varying first and second order conditional moment interactions affects both the CAPM and feedback trading components of the model. Despite the difficulties, we identify a significant role played by speculation in the oil market, which is consistent with the observed large daily upward and downward shifts in prices - a clear evidence that it is not a fundamental-driven market. Thus, from a policy point of view - given the impact of volatile oil prices on global inflation and growth - actions that monitor speculative activities on commodity markets more effectively are to be welcomed. (author)

  20. The influence of global benchmark oil prices on the regional oil spot market in multi-period evolution

    International Nuclear Information System (INIS)

    Jiang, Meihui; An, Haizhong; Jia, Xiaoliang; Sun, Xiaoqi

    2017-01-01

    Crude benchmark oil prices play a crucial role in energy policy and investment management. Previous research confined itself to studying the static, uncertain, short- or long-term relationship between global benchmark oil prices, ignoring the time-varying, quantitative, dynamic nature of the relationship during various stages of oil price volatility. This paper proposes a novel approach combining grey relation analysis, optimization wavelet analysis, and Bayesian network modeling to explore the multi-period evolution of the dynamic relationship between global benchmark oil prices and regional oil spot price. We analyze the evolution of the most significant decision-making risk periods, as well as the combined strategy-making reference oil prices and the corresponding periods during various stages of volatility. Furthermore, we determine that the network evolution of the quantitative lead/lag relationship between different influences of global benchmark oil prices shows a multi-period evolution phenomenon. For policy makers and market investors, our combined model can provide decision-making periods with the lowest expected risk and decision-making target reference oil prices and corresponding weights for strategy adjustment and market arbitrage. This study provides further information regarding period weights of target reference oil prices, facilitating efforts to perform multi-agent energy policy and intertemporal market arbitrage. - Highlights: • Multi-period evolution of the influence of different oil prices is discovered. • We combined grey relation analysis, optimization wavelet and Bayesian network. • The intensity of volatility, synchronization, and lead/lag effects are analyzed. • The target reference oil prices and corresponding period weights are determined.

  1. Coal prices rise

    International Nuclear Information System (INIS)

    McLean, A.

    2001-01-01

    Coking and semi hard coking coal price agreements had been reached, but, strangely enough, the reaching of common ground on semi soft coking coal, ultra low volatile coal and thermal coal seemed some way off. More of this phenomenon later, but suffice to say that, traditionally, the semi soft and thermal coal prices have fallen into place as soon as the hard, or prime, coking coal prices have been determined. The rise and rise of the popularity of the ultra low volatile coals has seen demand for this type of coal grow almost exponentially. Perhaps one of the most interesting facets of the coking coal settlements announced to date is that the deals appear almost to have been preordained. The extraordinary thing is that the preordination has been at the prescience of the sellers. Traditionally, coking coal price fixing has been the prerogative of the Japanese Steel Mills (JSM) cartel (Nippon, NKK, Kawasaki, Kobe and Sumitomo) who presented a united front to a somewhat disorganised force of predominantly Australian and Canadian sellers. However, by the time JFY 2001 had come round, the rules of the game had changed

  2. Option price and market instability

    Science.gov (United States)

    Baaquie, Belal E.; Yu, Miao

    2017-04-01

    An option pricing formula, for which the price of an option depends on both the value of the underlying security as well as the velocity of the security, has been proposed in Baaquie and Yang (2014). The FX (foreign exchange) options price was empirically studied in Baaquie et al., (2014), and it was found that the model in general provides an excellent fit for all strike prices with a fixed model parameters-unlike the Black-Scholes option price Hull and White (1987) that requires the empirically determined implied volatility surface to fit the option data. The option price proposed in Baaquie and Cao Yang (2014) did not fit the data during the crisis of 2007-2008. We make a hypothesis that the failure of the option price to fit data is an indication of the market's large deviation from its near equilibrium behavior due to the market's instability. Furthermore, our indicator of market's instability is shown to be more accurate than the option's observed volatility. The market prices of the FX option for various currencies are studied in the light of our hypothesis.

  3. Price fairness

    OpenAIRE

    Diller, Hermann

    2013-01-01

    Purpose – The purpose of this article is to integrate the various strands of fair price research into a concise conceptual model. Design/methodology/approach – The proposed price fairness model is based on a review of the fair pricing literature, incorporating research reported in not only English but also German. Findings – The proposed fair price model depicts seven components of a fair price: distributive fairness, consistent behaviour, personal respect and regard for the partner, fair dea...

  4. Compound Option Pricing under Fuzzy Environment

    Directory of Open Access Journals (Sweden)

    Xiandong Wang

    2014-01-01

    Full Text Available Considering the uncertainty of a financial market includes two aspects: risk and vagueness; in this paper, fuzzy sets theory is applied to model the imprecise input parameters (interest rate and volatility. We present the fuzzy price of compound option by fuzzing the interest and volatility in Geske’s compound option pricing formula. For each α, the α-level set of fuzzy prices is obtained according to the fuzzy arithmetics and the definition of fuzzy-valued function. We apply a defuzzification method based on crisp possibilistic mean values of the fuzzy interest rate and fuzzy volatility to obtain the crisp possibilistic mean value of compound option price. Finally, we present a numerical analysis to illustrate the compound option pricing under fuzzy environment.

  5. Does Integration Help Adapt to Climate Change? Case of Increased US Corn Yield Volatility

    Science.gov (United States)

    Verma, M.; Diffenbaugh, N. S.; Hertel, T. W.

    2012-12-01

    In absence of of new crop varieties or significant shifts in the geography of corn production, US national corn yields variation could double by the year 2040 as a result of climate change and without adaptation this could lead the variability in US corn prices to quadruple (Diffenbaugh et al. 2012). In addition to climate induced price changes, analysis of recent commodity price spikes suggests that interventionist trade policies are partly to blame. Assuming we cannot much influence the future climate outcome, what policies can we undertake to adapt better? Can we use markets to blunt this edge? Diffenbaugh et al. find that sale of corn- ethanol for use in liquid fuel, when governed by quotas such as US Renewable Fuel Standard (RFS), could make US corn prices even more variable; in contrast the same food-fuel market link (we refer to it as intersectoral link) may well dampen price volatility when the sale of corn to ethanol industry is driven by higher future oil prices. The latter however comes at the cost of exposing corn prices to the greater volatility in oil markets. Similarly intervention in corn trade can make US corn prices less or more volatile by distorting international corn price transmission. A negative US corn yield shock shows that domestic corn supply falls and domestic prices to go up irrespective of whether or not markets are integrated. How much the prices go up depends on how much demand adjusts to accommodate the supply shock. Based on the forgoing analysis, one should expect that demand would adjust more readily when markets are integrated and therefore reduce the resulting price fluctuation. Simulation results confirm this response of corn markets. In terms of relative comparisons however a policy driven intersectoral integration is least effective and prices rise much more. Similarly, a positive world oil price shock makes the US oil imports expensive and with oil being used to produce gasoline blends, it increases the price of gasoline

  6. Changes in salivary microbiota increase volatile sulfur compounds production in healthy male subjects with academic-related chronic stress.

    Directory of Open Access Journals (Sweden)

    Bruno Dias Nani

    Full Text Available To investigate the associations among salivary bacteria, oral emanations of volatile sulfur compounds, and academic-related chronic stress in healthy male subjects.Seventy-eight healthy male undergraduate dental students were classified as stressed or not by evaluation of burnout, a syndrome attributed to academic-related chronic stress. This evaluation was carried out using the Maslach Burnout Inventory-Student Survey questionnaire. Oral emanations of hydrogen sulfide, methyl mercaptan, and dimethyl sulfide were measured using an Oral Chroma™ portable gas chromatograph. The amounts in saliva of total bacteria and seven bacteria associated with halitosis were quantified by qPCR. The in vitro production of H2S by S. moorei and/or F. nucleatum was also measured with the Oral Chroma™ instrument.The stressed students group showed increased oral emanations of hydrogen sulfide and dimethyl sulfide, together with higher salivary Solobacterium moorei levels (p < 0.05, Mann Whitney test. There were moderate positive correlations between the following pairs of variables: Fusobacterium nucleatum and S. moorei; F. nucleatum and hydrogen sulfide; Tannerella forsythia and F. nucleatum; T. forsythia and S. moorei. These correlations only occurred for the stressed group (p < 0.05, Spearman correlation. The in vitro experiment demonstrated that S. moorei increased H2S production by F. nucleatum (p < 0.05, ANOVA and Tukey's test.The increased amount of S. moorei in saliva, and its coexistence with F. nucleatum and T. forsythia, seemed to be responsible for increased oral hydrogen sulfide in the healthy male stressed subjects.

  7. Refining prices and margins in 1998

    International Nuclear Information System (INIS)

    Favennec, J.P.; Baudoin, C.

    1999-01-01

    Despite a business environment that was globally mediocre due primarily to the Asian crisis and to a mild winter in the northern hemisphere, the signs of improvement noted in the refining activity in 1996 were borne out in 1997. But the situation is not yet satisfactory in this sector: the low return on invested capital and the financing of environmental protection expenditure are giving cause for concern. In 1998, the drop in crude oil prices and the concomitant fall in petroleum product prices was ultimately rather favorable to margins. Two elements tended to put a damper on this relative optimism. First of all, margins continue to be extremely volatile and, secondly, the worsening of the economic and financial crisis observed during the summer made for a sharp decline in margins in all geographic regions, especially Asia

  8. DOES ENERGY CONSUMPTION VOLATILITY AFFECT REAL GDP VOLATILITY? AN EMPIRICAL ANALYSIS FOR THE UK

    Directory of Open Access Journals (Sweden)

    Abdul Rashid

    2013-10-01

    Full Text Available This paper empirically examines the relation between energy consumption volatility and unpredictable variations in real gross domestic product (GDP in the UK. Estimating the Markov switching ARCH model we find a significant regime switching in the behavior of both energy consumption and GDP volatility. The results from the Markov regime-switching model show that the variability of energy consumption has a significant role to play in determining the behavior of GDP volatilities. Moreover, the results suggest that the impacts of unpredictable variations in energy consumption on GDP volatility are asymmetric, depending on the intensity of volatility. In particular, we find that while there is no significant contemporaneous relationship between energy consumption volatility and GDP volatility in the first (low-volatility regime, GDP volatility is significantly positively related to the volatility of energy utilization in the second (high-volatility regime.

  9. Dynamic pricing for demand response considering market price uncertainty

    DEFF Research Database (Denmark)

    Ghazvini, Mohammad Ali Fotouhi; Soares, Joao; Morais, Hugo

    2017-01-01

    Retail energy providers (REPs) can employ different strategies such as offering demand response (DR) programs, participating in bilateral contracts, and employing self-generation distributed generation (DG) units to avoid financial losses in the volatile electricity markets. In this paper......, the problem of setting dynamic retail sales price by a REP is addressed with a robust optimization technique. In the proposed model, the REP offers price-based DR programs while it faces uncertainties in the wholesale market price. The main contribution of this paper is using a robust optimization approach...

  10. Estimating the commodity market price of risk for energy prices

    International Nuclear Information System (INIS)

    Kolos, Sergey P.; Ronn, Ehud I.

    2008-01-01

    The purpose of this paper is to estimate the ''market price of risk'' (MPR) for energy commodities, the ratio of expected return to standard deviation. The MPR sign determines whether energy forward prices are upward- or downward-biased predictors of expected spot prices. We estimate MPRs using spot and futures prices, while accounting for the Samuelson effect. We find long-term MPRs generally positive and short-term negative, consistent with positive energy betas and hedging, respectively. In spot electricity markets, MPRs in Day-Ahead Prices agree with short-dated futures. Our results relate risk premia to informed hedging decisions, and futures prices to forecast/expected prices. (author)

  11. Dynamic Pricing

    DEFF Research Database (Denmark)

    Sharifi, Reza; Anvari-Moghaddam, Amjad; Fathi, S. Hamid

    2017-01-01

    Dynamic pricing scheme, also known as real-time pricing (RTP), can be more efficient and technically beneficial than the other price-based schemes (such as flat-rate or time-of-use (TOU) pricing) for enabling demand response (DR) actions. Over the past few years, advantages of RTP-based schemes h...... of dynamic pricing can lead to increased willingness of consumers to participate in DR programs which in turn improve the operation of liberalized electricity markets.......Dynamic pricing scheme, also known as real-time pricing (RTP), can be more efficient and technically beneficial than the other price-based schemes (such as flat-rate or time-of-use (TOU) pricing) for enabling demand response (DR) actions. Over the past few years, advantages of RTP-based schemes...

  12. Three Papers on the Political Consequences of Oil Prices

    Science.gov (United States)

    Crespo Tenorio, Adriana

    Given the importance of oil in any country's energy needs, it should not be surprising that the increasing volatility of oil prices in the past decades is a challenge for most political systems. While the political and economic impact of natural resource wealth in general is strongly debated, the political consequences of these sudden shifts have gone understudied. This dissertation examines the relationship between politics and oil from a new perspective. First, I implement a Bayesian meta-regression model to assess the state of research on the natural resource curse, finding that the measurement of resources is one of the most important sources of the debate. In the second part of the dissertation, I turn to discussing the impact of fuel prices on politics. I argue that at the domestic level, rational leaders feel pressured to compensate for oil price shocks because they are held accountable for these shifts by their constituents. This hypothesis is tested using Bayesian multilevel models that allow state and time-varying information to be matched to individual survey responses for a sample of voters in nine American states between 2008 and 2009. This chapter shows that fuel prices are related to appraisals of the economy only during electoral periods. The results also provide evidence that the degree to which voters use fuel prices to evaluate the president's performance varies greatly across party lines. At the global level, I posit in the final chapter that cross-country cooperation in other issue areas is pursued to mitigate the economic impact of oil price volatility. By developing a Bayesian bivariate Poisson change-point model and implementing it using MCMC methods, I find that fuel price shifts are related to increased trade networks, especially for oil-exporting countries.

  13. Differentiation of Volatile Profiles from Stockpiled Almonds at Varying Relative Humidity Levels Using Benchtop and Portable GC-MS.

    Science.gov (United States)

    Beck, John J; Willett, Denis S; Gee, Wai S; Mahoney, Noreen E; Higbee, Bradley S

    2016-12-14

    Contamination by aflatoxin, a toxic metabolite produced by Aspergillus fungi ubiquitous in California almond and pistachio orchards, results in millions of dollars of lost product annually. Current detection of aflatoxin relies on destructive, expensive, and time-intensive laboratory-based methods. To explore an alternative method for the detection of general fungal growth, volatile emission profiles of almonds at varying humidities were sampled using both static SPME and dynamic needle-trap SPE followed by benchtop and portable GC-MS analysis. Despite the portable SPE/GC-MS system detecting fewer volatiles than the benchtop system, both systems resolved humidity treatments and identified potential fungal biomarkers at extremely low water activity levels. This ability to resolve humidity levels suggests that volatile profiles from germinating fungal spores could be used to create an early warning, nondestructive, portable detection system of fungal growth.

  14. Quantity precommitment and price matching

    DEFF Research Database (Denmark)

    Tumennasan, Norovsambuu

    We revisit the question of whether price matching is anti-competitive in a capacity constrained duopoly setting. We show that the effect of price matching depends on capacity. Specifically, price matching has no effect when capacity is relatively low, but it benefits the firms when capacity...... is relatively high. Interestingly, when capacity is in an intermediate range, price matching benefits only the small firm but does not affect the large firm in any way. Therefore, one has to consider capacity seriously when evaluating if price matching is anti-competitive. If the firms choose their capacities...... simultaneously before pricing decisions, then the effect of price matching is either pro-competitive or ambiguous. We show that if the cost of capacity is high, then price matching can only (weakly) decrease the market price. On the other hand, if the cost of capacity is low, then the effect of price matching...

  15. Grapevine fatty acid hydroperoxide lyase generates actin-disrupting volatiles and promotes defence-related cell death

    Science.gov (United States)

    Wang, Hao; Claudel, Patricia; Riemann, Michael; Hause, Bettina; Hugueney, Philippe; Nick, Peter

    2018-01-01

    Abstract Fatty acid hydroperoxides can generate short-chained volatile aldehydes that may participate in plant defence. A grapevine hydroperoxide lyase (VvHPL1) clustering to the CYP74B class was functionally characterized with respect to a role in defence. In grapevine leaves, transcripts of this gene accumulated rapidly to high abundance in response to wounding. Cellular functions of VvHPL1 were investigated upon heterologous expression in tobacco BY-2 cells. A C-terminal green fluorescent protein (GFP) fusion of VvHPL1 was located in plastids. The overexpression lines were found to respond to salinity stress or the bacterial elicitor harpin by increasing cell death. This signal-dependent mortality response was mitigated either by addition of exogenous jasmonic acid or by treatment with diphenyleneiodonium (DPI), an inhibitor of NADPH oxidases. By feeding different substrates to recombinantly expressed enzyme, VvHPL1 could also be functionally classified as true 13-HPL. The cognate products generated by this 13-HPL were cis-3-hexenal and trans-2-hexenal. Using a GFP-tagged actin marker line, one of these isomeric products, cis-3-hexenal, was found specifically to elicit a rapid disintegration of actin filaments. This response was not only observed in the heterologous system (tobacco BY-2), but also in a grapevine cell strain expressing this marker, as well as in leaf discs from an actin marker grape used as a homologous system. These results are discussed in the context of a role for VvHPL1 in a lipoxygenase-dependent signalling pathway triggering cell death-related defence that bifurcates from jasmonate-dependent basal immunity. PMID:29659985

  16. Stochastic volatility of volatility in continuous time

    DEFF Research Database (Denmark)

    Barndorff-Nielsen, Ole; Veraart, Almut

    This paper introduces the concept of stochastic volatility of volatility in continuous time and, hence, extends standard stochastic volatility (SV) models to allow for an additional source of randomness associated with greater variability in the data. We discuss how stochastic volatility...... of volatility can be defined both non-parametrically, where we link it to the quadratic variation of the stochastic variance process, and parametrically, where we propose two new SV models which allow for stochastic volatility of volatility. In addition, we show that volatility of volatility can be estimated...

  17. Developments in Global Food Prices

    OpenAIRE

    Vanessa Rayner; Emily Laing; Jamie Hall

    2011-01-01

    Global food prices have increased significantly since the early 2000s, reversing the long-run trend decline in relative food prices over previous decades. A range of supply disruptions in key food-producing countries have contributed to higher food prices, along with strong demand from developing countries as per capita incomes rise and consumption patterns change. Rising commodity prices are leading to higher headline consumer price inflation in many countries though, at this stage, core mea...

  18. Estimation of volatility of selected oil production projects

    International Nuclear Information System (INIS)

    Costa Lima, Gabriel A.; Suslick, Saul B.

    2006-01-01

    In oil project valuation and investment decision-making, volatility is a key parameter, but it is difficult to estimate. From a traditional investment viewpoint, volatility reduces project value because it increases its discount rate via a higher risk premium. Contrarily, according to the real-option pricing theory, volatility may aggregate value to the project, since the downside potential is limited whereas the upside is theoretically unbounded. However, the estimation of project volatility is very complicated since there is not a historical series of project values. In such cases, many analysts assume that oil price volatility is equal to that of project. In order to overcome such problems, in this paper an alternative numerical method based on present value of future cash flows and Monte Carlo simulation is proposed to estimate the volatility of projects. This method is applied to estimate the volatility of 12 deep-water offshore oil projects considering that oil price will evolve according to one of two stochastic processes: Geometric Brownian Motion and Mean-Reverting Motion. Results indicate that the volatility of commodity usually undervalue that of project. For the set of offshore projects analyzed in this paper, project volatility is at least 79% higher than that of oil prices and increases dramatically in those cases of high capital expenditures and low price. (author)

  19. Regime Jumps in Electricity Prices

    NARCIS (Netherlands)

    R. Huisman (Ronald); R.J. Mahieu (Ronald)

    2001-01-01

    textabstractElectricity prices are known to be very volatile and subject to frequent jumps due to system breakdown, demand shocks, and inelastic supply. As many international electricity markets are in some state of deregulation, more and more participants in these markets are exposed to these

  20. Do Daily Retail Gasoline Prices adjust Asymmetrically?

    NARCIS (Netherlands)

    L.J.H. Bettendorf (Leon); S.A. van der Geest (Stéphanie); G. Kuper

    2005-01-01

    textabstractThis paper analyzes adjustments in the Dutch retail gasoline prices. We estimate an error correction model on changes in the daily retail price for gasoline (taxes excluded) for the period 1996-2004 taking care of volatility clustering by estimating an EGARCH model. It turns out the

  1. Pricing and hedging in incomplete financial markets

    NARCIS (Netherlands)

    Wurth, A.M.

    2009-01-01

    In the practical part, Chapter 4 considers numerical methods for indifference pricing in a stochastic volatility model. In Chapter 5, a feasible procedure is developed for calculating the CVaR price in unit-linked insurance products under an additional assumption. This assumption is relaxed in

  2. Commodity derivatives pricing with inventory effects

    DEFF Research Database (Denmark)

    Bach, Christian; Dziubinski, Matt P.

    We introduce tractable models for commodity derivatives pricing with inventory and volatility eects, and illustrate with applications to the oil market. We contribute to the existing literature in several respects. First, whereas the previous literature uses futures data for investigating...... the relationship between inventory and volatility, we use the information available in options traded on futures. Second, performance assessment in the previous literature has primarily evolved around explaining moments of data or forecasting prices of futures. Instead, we asses the performance of our model...... by considering both the ability of explaining prices in-sample and out-of-sample - assessing both the pricing-performance and the hedging-performance of the models. Third, we model the futures surface rather than the spot price process, and from the no-arbitrage relationship between spot and futures prices we...

  3. List prices vs. bargain prices: which solution to estimate consumer price indices?

    OpenAIRE

    Carlo De Gregorio

    2010-01-01

    Alternative approaches to CPI surveys are here evaluated, in markets where final prices are based on some sort of price listing. Three types of surveys are compared: local surveys (LOC), with small samples and a local price collection; list price surveys (LIS), with huge samples and centralised collection; mixed surveys (MXD), in which LOC and LIS are jointly used. Based on a multiplicative pricing model, some conditions are derived to establish the relative efficiency of these approaches. Th...

  4. Transfer Pricing

    DEFF Research Database (Denmark)

    Nielsen, Søren Bo

    2014-01-01

    Against a background of rather mixed evidence about transfer pricing practices in multinational enterprises (MNEs) and varying attitudes on the part of tax authorities, this paper explores how multiple aims in transfer pricing can be pursued across four different transfer pricing regimes. A MNE h...

  5. Gold prices

    OpenAIRE

    Joseph G. Haubrich

    1998-01-01

    The price of gold commands attention because it serves as an indicator of general price stability or inflation. But gold is also a commodity, used in jewelry and by industry, so demand and supply affect its pricing and need to be considered when gold is a factor in monetary policy decisions.

  6. The oil price

    International Nuclear Information System (INIS)

    Alba, P.

    2000-01-01

    Statistical analysis cannot, alone, provide an oil price forecast. So, one needs to understand the fundamental phenomena which control the past trends since the end of world war II After a first period during which oil, thanks to its abundance, was able to increase its market share at the expense of other energies, the first oil shock reflects the rarefaction of oil resource with the tilting of the US production curve from growth to decline. Since then, the new situation is that of a ''cohabitation'' between oil and the other energies with the oil price, extremely volatile, reflecting the trial and error adjustment of the market share left to the other energies. Such a context may explain the recent oil price surge but the analogy between the US oil situation at the time of the first shock and that existing today for the world outside Middle East suggest another possibility, that of a structural change with higher future oil prices. The authors examine these two possibilities, think that the oil price will reflect both as long as one or the other will not become proven, and conclude with a series of political recommendations. (authors)

  7. Solutions for wood-based bio-energy price discovery

    Energy Technology Data Exchange (ETDEWEB)

    Teraes, Timo [FOEX Indexes Ltd., Helsinki (Finland)], e-mail: timo@foex.fi

    2012-11-01

    Energy prices are highly volatile. This volatility can have serious ill-effects on the profitability of companies engaged in the energy business. There are, however, a number of price risk management tools which can be used to reduce the problems caused by price volatility. International trade of wood pellets and wood chips is rapidly growing. A good price transparency helps in developing the trade further. In order to meet the renewable energy targets within the EU, further growth of volumes is needed, at least within Europe and from overseas supply sources to the European markets. Reliable price indices are a central element in price risk management and in general price discovery. Exchanges have provided, in the past, the most widely known price discovery systems. Since 1990's, an increasing number of price risk management tools has been based on cash settlement concept. Cash settlement requires high quality benchmark price indices. These have been developed by the exchanges themselves, by trade press and by independent price benchmark provider companies. The best known of these benchmarks in forest industry and now also in wood-based bioenergy products are the PIX indices, provided by FOEX Indexes Ltd. This presentation discusses the key requirements for a good price index and the different ways of using the indices. Price relationships between wood chip prices and pellet prices are also discussed as will be the outlook for the future volume growth and trade flows in woodchips and pellets mainly from the European perspective.

  8. Pricing objectives in nonprofit hospitals.

    OpenAIRE

    Bauerschmidt, A D; Jacobs, P

    1985-01-01

    This article reports on a survey of 60 financial managers of nonprofit hospitals in the eastern United States relating to the importance of a number of factors which influence their pricing decisions and the pricing objectives which they pursue. Among the results uncovered by the responses: that trustees are the single most important body in the price-setting process (doctors play a relatively unimportant role); that hospital pricing goals are more related to target net revenue than profit ma...

  9. The relation between price and daily consumption of cigarettes and bidis: findings from the Tobacco Control Policy Evaluation Wave 1 Survey.

    Science.gov (United States)

    Pawar, P S; Pednekar, M S; Gupta, P C; Shang, C; Quah, A C K; Fong, G T

    2014-12-01

    In India, 14% of the population use smoked tobacco products. Increasing prices of these products is one of the measures to curb their consumption. This study analyzes "unit price" and "daily consumption" of cigarettes and bidis and investigates their relation with each other. A cross-sectional survey was conducted in four states of India (Bihar, West Bengal, Madhya Pradesh and Maharashtra) as a part of the International Tobacco Control Policy (TCP) Evaluation Project (the TCP India Project) during 2010-2011. Information was collected from adult (aged ≥ 15) daily exclusive smokers of cigarette/bidi regarding (a) last purchase (purchase in pack/loose, brand and price) and (b) daily consumption. Average unit price and daily consumption was calculated for different brands and states. Regression model was used to assess the impact of price on daily consumption. Bidis were much less expensive ([symbol in text]0.39) than cigarettes ([symbol in text]3.1). The daily consumption was higher (14) among bidi smokers than cigarette smokers (8). The prices and daily consumption of bidis ([symbol in text]0.33-0.43; 12-15) and cigarettes ([symbol in text]2.9-3.6; 5-9) varied across the four states. The unit prices of bidis and cigarettes did not influence their daily consumption. Smokers purchasing bidis in packs paid substantially less per unit and purchase of bidis and cigarettes in packs influenced their consumption positively. Cigarettes although more expensive than bidis, seem very cheap if compared internationally. Hence, prices of both cigarettes and bidis do not influence their consumption.

  10. Multiscaling and clustering of volatility

    Science.gov (United States)

    Pasquini, Michele; Serva, Maurizio

    1999-07-01

    The dynamics of prices in stock markets has been studied intensively both experimentally (data analysis) and theoretically (models). Nevertheless, while the distribution of returns of the most important indices is known to be a truncated Lévy, the behaviour of volatility correlations is still poorly understood. What is well known is that absolute returns have memory on a long time range, this phenomenon is known in financial literature as clustering of volatility. In this paper we show that volatility correlations are power laws with a non-unique scaling exponent. This kind of multiscale phenomenology is known to be relevant in fully developed turbulence and in disordered systems and it is pointed out here for the first time for a financial series. In our study we consider the New York Stock Exchange (NYSE) daily index, from January 1966 to June 1998, for a total of 8180 working days.

  11. Relative price changes as a tool to stimulate more healthy food choices

    DEFF Research Database (Denmark)

    Juhl, Hans Jørn; Jensen, Morten Berg

    2014-01-01

    The increased prevalence of lifestyle-related illnesses particularly in western countries calls for public action. A poor diet is a key explanatory factor to this development. Previous research has addressed the problem of unhealthy food consumption behavior by looking at how taxes may function...

  12. Political institutions and economic volatility

    NARCIS (Netherlands)

    Klomp, Jeroen; de Haan, Jakob

    We examine the effect of political 'institutions' on economic growth volatility, using data from more than 100 countries over the period 1960 to 2005, taking into account various control variables as suggested in previous studies. Our indicator of volatility is the relative standard deviation of the

  13. 17 CFR 229.201 - (Item 201) Market price of and dividends on the registrant's common equity and related...

    Science.gov (United States)

    2010-04-01

    ... equity is being traded. Where there is no established public trading market for a class of common equity... source of such information. Such prices shall be stated in the currency in which they are quoted. The registrant may translate such prices into United States currency at the currency exchange rate in effect on...

  14. Gasoline taxes and revenue volatility: An application to California

    International Nuclear Information System (INIS)

    Madowitz, M.; Novan, K.

    2013-01-01

    This paper examines how applying different combinations of excise and sales taxes on motor fuels impact the volatility of retail fuel prices and tax revenues. Two features of gasoline and diesel markets make the choice of tax mechanism a unique problem. First, prices are very volatile. Second, demand for motor fuels is extremely inelastic. As a result, fuel expenditures vary substantially over time. Tying state revenues to these expenditures, as is the case with a sales tax, results in a volatile stream of revenue which imposes real costs on agents in an economy. On July 1, 2010, California enacted Assembly Bill x8-6, the “Gas Tax Swap”, increasing the excise tax and decreasing the sales tax on gasoline purchases. While the initial motivation behind the revenue neutral swap was to provide the state with greater flexibility within its budget, we highlight that this change has two potentially overlooked benefits; it reduces retail fuel price volatility and tax revenue volatility. Simulating the monthly fuel prices and tax revenues under alternative tax policies, we quantify the potential reductions in revenue volatility. The results reveal that greater benefits can be achieved by going beyond the tax swap and eliminating the gasoline sales tax entirely. - Highlights: • We examine how gasoline taxes affect government revenue volatility. • We simulate the impact of California's Gasoline Tax Swap policy. • Sales taxes are shown to magnify price volatility and government revenue volatility. • A pure excise tax policy results in less volatile fuel prices and state revenues. • We argue that reductions in both forms of volatility are welfare enhancing

  15. A nonparametric approach to forecasting realized volatility

    OpenAIRE

    Adam Clements; Ralf Becker

    2009-01-01

    A well developed literature exists in relation to modeling and forecasting asset return volatility. Much of this relate to the development of time series models of volatility. This paper proposes an alternative method for forecasting volatility that does not involve such a model. Under this approach a forecast is a weighted average of historical volatility. The greatest weight is given to periods that exhibit the most similar market conditions to the time at which the forecast is being formed...

  16. On the Pricing of Options in Incomplete Markets

    NARCIS (Netherlands)

    Melenberg, B.; Werker, B.J.M.

    1996-01-01

    In this paper we reconsider the pricing of options in incomplete continuous time markets.We first discuss option pricing with idiosyncratic stochastic volatility.This leads, of course, to an averaged Black-Scholes price formula.Our proof of this result uses a new formalization of idiosyncraticy

  17. 75 FR 81977 - Order Exempting the Trading and Clearing of Certain Products Related to the CBOE Gold ETF...

    Science.gov (United States)

    2010-12-29

    ... Related to the CBOE Gold ETF Volatility Index and Similar Products AGENCY: Commodity Futures Trading... the trading and clearing of certain options (``Options'') on the CBOE Gold ETF Volatility Index (``GVZ... Trust Shares''), an ETF designed to reflect the performance of the price of gold bullion.\\5\\ \\5\\ See...

  18. Rise of energy price, rise of agricultural prices: what medium- and long-term relations and implications?; Hausse du prix de l'energie, hausse des prix agricoles: quelles relations et implications a moyen et long terme?

    Energy Technology Data Exchange (ETDEWEB)

    Voituriez, T.

    2009-07-01

    We review in this study the different factors which have been presented by the scientific community as possible explanations of the sudden upsurge in commodity prices between 2006 and 2008. We examine whether scientific evidence validates any causal relationship, and particularly emphasize the role of explanatory variables underpinning the co-movement of energy and food price rises. Our aim is to provide an up-to-date understanding of food and energy market relationships, so as to better anticipate the possible changes in the evolution of prices in the coming years. (author)

  19. Evidence on the nature and extent of the relationship between oil prices and equity values in the UK

    International Nuclear Information System (INIS)

    El-Sharif, Idris; Brown, Dick; Burton, Bruce; Nixon, Bill; Russell, Alex

    2005-01-01

    A number of recent studies have found a link between movements in crude oil prices and equity values. However, the literature concentrates almost exclusively on North American and Australian data and is primarily conducted at a stock market-wide level. The present study therefore investigates the relationship between the price of crude oil and equity values in the oil and gas sector using data relating to the United Kingdom, the largest oil producer in the European Union. The evidence indicates that the relationship is always positive, often highly significant and reflects the direct impact of volatility in the price of crude oil on share values within the sector. (Author)

  20. Oil Volatility Risk and Expected Stock Returns

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Pan, Xuhui (Nick)

    After the financialization of commodity futures markets in 2004-05 oil volatility has become a strong predictor of returns and volatility of the overall stock market. Furthermore, stocks' exposure to oil volatility risk now drives the cross-section of expected returns. The difference in average...... return between the quintile of stocks with low exposure and high exposure to oil volatility is significant at 0.66% per month, and oil volatility risk carries a significant risk premium of -0.60% per month. In the post-financialization period, oil volatility risk is strongly related with various measures...

  1. Maximum likelihood approach for several stochastic volatility models

    International Nuclear Information System (INIS)

    Camprodon, Jordi; Perelló, Josep

    2012-01-01

    Volatility measures the amplitude of price fluctuations. Despite it being one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method which assumes that price and volatility follow a two-dimensional diffusion process where volatility is the stochastic diffusion coefficient of the log-price dynamics. We apply this method to the simplest versions of the expOU, the OU and the Heston stochastic volatility models and we study their performance in terms of the log-price probability, the volatility probability, and its Mean First-Passage Time. The approach has some predictive power on the future returns amplitude by only knowing the current volatility. The assumed models do not consider long-range volatility autocorrelation and the asymmetric return-volatility cross-correlation but the method still yields very naturally these two important stylized facts. We apply the method to different market indices and with a good performance in all cases. (paper)

  2. Understanding Interest Rate Volatility

    DEFF Research Database (Denmark)

    Volker, Desi

    This thesis is the result of my Ph.D. studies at the Department of Finance of the Copenhagen Business School. It consists of three essays covering topics related to the term structure of interest rates, monetary policy and interest rate volatility. The rst essay, \\Monetary Policy Uncertainty...... and Interest Rates", examines the role of monetary policy uncertainty on the term structure of interest rates. The second essay, \\A Regime-Switching A ne Term Structure Model with Stochastic Volatility" (co-authored with Sebastian Fux), investigates the ability of the class of regime switching models...... with and without stochastic volatility to capture the main stylized features of U.S. interest rates. The third essay, \\Variance Risk Premia in the Interest Rate Swap Market", investigates the time-series and cross-sectional properties of the compensation demanded for holding interest rate variance risk. The essays...

  3. Determinants of prices increase of agricultural commodities in a global context1

    Directory of Open Access Journals (Sweden)

    Borychowski Michał

    2015-12-01

    Full Text Available The main objective of this article is to present the determinants of increase in agricultural commodity prices after 2006. The other specific aim is to show the factors affecting agricultural raw materials and food prices in the global context. This article is a review paper of the determinants of recent commodity and food prices spikes. However, it provides an outlook on these determinants that were the most important for the increases in the last decade. The last part of the article (conclusions to some extent is a synthesis of considerations and includes the authors’ opinions concerning determinants and an attempt to identify which ones were the most important in the growth of agricultural commodity prices. These increases in agricultural commodity prices resulted from many factors and it is very difficult to separate the individual impact of each of them, because they occurred in parallel. However, it is possible to indicate several main reasons for these price increases, which are: adverse changes in supply-demand relations in agricultural markets, increases in oil prices (and increases of the volatility of those prices, development of biofuel production from agricultural commodities (the first generation biofuels, dollar depreciation, an increase in operations of a speculative nature on commodity markets and improper economic policy that created an environment for the growth of prices of agricultural products.

  4. Extraction and formation dynamic of oak-related volatile compounds from different volume barrels to wine and their behavior during bottle storage.

    Science.gov (United States)

    Pérez-Prieto, Luis J; López-Roca, Jose M; Martínez-Cutillas, Adrián; Pardo-Mínguez, Francisco; Gómez-Plaza, Encarna

    2003-08-27

    The extraction rate of furfuryl aldehydes, guaiacol, and 4-methylguaiacol, cis- and trans-oak lactone, and vanillin and the formation rate of furfuryl alcohol and the volatile phenols 4-ethylguaiacol and 4-ethylphenol have been studied in wines matured in different capacity oak barrels (220, 500, and 1000 L). Also, the behavior of these compounds during 1 year of wine bottle storage was followed. The lactones were extracted at a linear rate with large differences that depended on barrel volume. Those compounds related to oak toasting (guaiacol, 4-methylguaiacol, furfuryl aldehydes, and vanillin) seemed to be extracted faster during the first days of oak maturation except for vanillin, which required at least 3 months to accumulate in the wine. The volatile phenols, 4-ethylphenol and 4-ethylguaiacol, were formed in large quantities after the first 90 days of oak maturation, coinciding with the end of spring and beginning of summer. Wines matured in 1000-L oak barrels resulted in the lowest levels of volatile compound accumulation. During bottle storage, some compounds decreased in their concentration (5-methylfurfural, vanillin), others experienced increases in their levels (lactones, furfural, 4-ethylguaiacol, 4-ethylphenol), and the concentration of other compounds hardly changed (guaiacol, furfuryl alcohol).

  5. Idiosyncratic Volatility Puzzle

    DEFF Research Database (Denmark)

    Aslanidis, Nektarios; Christiansen, Charlotte; Lambertides, Neophytos

    from a large pool of macroeconomic and Önancial variables. Cleaning for macro-Önance e§ects reverses the puzzling negative relation between returns and idiosyncratic volatility documented previously. Portfolio analysis shows that the e§ects from macro-Önance factors are economically strong...

  6. Financial instruments help producers hedge gas deals in volatile market

    International Nuclear Information System (INIS)

    Lawnin, J.N.; Kupiec, S.L.

    1993-01-01

    The Natural Gas Policy Act (NGPA) of 1978 and more recently the U.S. Federal Energy Regulatory Commission's Order 636 have changed gas marketing from a totally regulated industry to one that responds to free-market forces. The stable but controlled market in which producers once sold gas has become highly competitive and more efficient. Consequently, prices have become more volatile; they respond more quickly than they did before to changes in supply of and demand for natural gas. Prior to deregulation of the natural gas industry, producers had fewer marketing options than they do today. Under a typical gas sales contract, producers sold gas to the nearest pipeline at regulated prices, which remained relatively stable along the interstate distribution chain. The system, however, failed to generate adequate supply of gas. In an effort to realign supply and demand, Congress initiated the deregulation of natural gas with NGPA, which phased out most wellhead price controls. A series of FERC actions culminating in Order 636 extended the process. Now, independent producers can sell gas directly to end users. Under Order 636, interstate pipelines no longer offer merchant services to gas customers. The paper discusses the change in risk profiles, price protection, futures and options, hedged exposure, setting price floors, off-exchange contracts, risk considerations, types of risks, business controls, back office controls, and credit monitoring

  7. The Feedback-Related Negativity and the P300 Brain Potential Are Sensitive to Price Expectation Violations in a Virtual Shopping Task.

    Science.gov (United States)

    Schaefer, Alexandre; Buratto, Luciano G; Goto, Nobuhiko; Brotherhood, Emilie V

    A large body of evidence shows that buying behaviour is strongly determined by consumers' price expectations and the extent to which real prices violate these expectations. Despite the importance of this phenomenon, little is known regarding its neural mechanisms. Here we show that two patterns of electrical brain activity known to index prediction errors-the Feedback-Related Negativity (FRN) and the feedback-related P300 -were sensitive to price offers that were cheaper than participants' expectations. In addition, we also found that FRN amplitude time-locked to price offers predicted whether a product would be subsequently purchased or not, and further analyses suggest that this result was driven by the sensitivity of the FRN to positive price expectation violations. This finding strongly suggests that ensembles of neurons coding positive prediction errors play a critical role in real-life consumer behaviour. Further, these findings indicate that theoretical models based on the notion of prediction error, such as the Reinforcement Learning Theory, can provide a neurobiologically grounded account of consumer behavior.

  8. The Feedback-Related Negativity and the P300 Brain Potential Are Sensitive to Price Expectation Violations in a Virtual Shopping Task

    Science.gov (United States)

    Schaefer, Alexandre; Buratto, Luciano G.; Goto, Nobuhiko; Brotherhood, Emilie V.

    2016-01-01

    A large body of evidence shows that buying behaviour is strongly determined by consumers’ price expectations and the extent to which real prices violate these expectations. Despite the importance of this phenomenon, little is known regarding its neural mechanisms. Here we show that two patterns of electrical brain activity known to index prediction errors–the Feedback-Related Negativity (FRN) and the feedback-related P300 –were sensitive to price offers that were cheaper than participants’ expectations. In addition, we also found that FRN amplitude time-locked to price offers predicted whether a product would be subsequently purchased or not, and further analyses suggest that this result was driven by the sensitivity of the FRN to positive price expectation violations. This finding strongly suggests that ensembles of neurons coding positive prediction errors play a critical role in real-life consumer behaviour. Further, these findings indicate that theoretical models based on the notion of prediction error, such as the Reinforcement Learning Theory, can provide a neurobiologically grounded account of consumer behavior. PMID:27658301

  9. Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis

    International Nuclear Information System (INIS)

    Du Xiaodong; Yu, Cindy L.; Hayes, Dermot J.

    2011-01-01

    This paper assesses factors that potentially influence the volatility of crude oil prices and the possible linkage between this volatility and agricultural commodity markets. Stochastic volatility models are applied to weekly crude oil, corn, and wheat futures prices from November 1998 to January 2009. Model parameters are estimated using Bayesian Markov Chain Monte Carlo methods. Speculation, scalping, and petroleum inventories are found to be important in explaining the volatility of crude oil prices. Several properties of crude oil price dynamics are established, including mean-reversion, an asymmetry between returns and volatility, volatility clustering, and infrequent compound jumps. We find evidence of volatility spillover among crude oil, corn, and wheat markets after the fall of 2006. This can be largely explained by tightened interdependence between crude oil and these commodity markets induced by ethanol production.

  10. Experimental research on the relation between food price changes and food-purchasing patterns: a targeted review1234

    Science.gov (United States)

    Epstein, Leonard H; Jankowiak, Noelle; Nederkoorn, Chantal; Raynor, Hollie A; French, Simone A; Finkelstein, Eric

    2012-01-01

    One way in which to modify food purchases is to change prices through tax policy, subsidy policy, or both. We reviewed the growing body of experimental research conducted in the laboratory and in the field that investigates the following: the extent to which price changes influence purchases of targeted and nontargeted foods, total energy, or macronutrients purchased; the interaction of price changes with adjunctive interventions; and moderators of sensitivity to price changes. After a brief overview of economic principles and observational research that addresses these issues, we present a targeted review of experimental research. Experimental research suggests that price changes modify purchases of targeted foods, but research on the overall nutritional quality of purchases is mixed because of substitution effects. There is mixed support for combining price changes with adjunctive interventions, and there are no replicated findings on moderators to price sensitivity in experiments. Additional focused research is needed to better inform food policy development with the aim of improving eating behavior and preventing obesity. PMID:22378726

  11. Experimental research on the relation between food price changes and food-purchasing patterns: a targeted review.

    Science.gov (United States)

    Epstein, Leonard H; Jankowiak, Noelle; Nederkoorn, Chantal; Raynor, Hollie A; French, Simone A; Finkelstein, Eric

    2012-04-01

    One way in which to modify food purchases is to change prices through tax policy, subsidy policy, or both. We reviewed the growing body of experimental research conducted in the laboratory and in the field that investigates the following: the extent to which price changes influence purchases of targeted and nontargeted foods, total energy, or macronutrients purchased; the interaction of price changes with adjunctive interventions; and moderators of sensitivity to price changes. After a brief overview of economic principles and observational research that addresses these issues, we present a targeted review of experimental research. Experimental research suggests that price changes modify purchases of targeted foods, but research on the overall nutritional quality of purchases is mixed because of substitution effects. There is mixed support for combining price changes with adjunctive interventions, and there are no replicated findings on moderators to price sensitivity in experiments. Additional focused research is needed to better inform food policy development with the aim of improving eating behavior and preventing obesity.

  12. Energy pricing policy in Iran

    International Nuclear Information System (INIS)

    Davood Manzoor

    1995-01-01

    Low energy prices in Iran do not reflect economic costs. Further distortions exist in the tariff structures of most energy sources and in their relative prices. Price reform is a key policy element for achieving increased energy conservation and economic substitution. Subsidies should be made transparent and explained by the Government, and, when eliminated, they could be compensated by target measures or direct subsidies for low income households. Price reforms are under way, with some caution though, because of possible political and inflationary consequences. In order to better understand the need for price reforms a brief analysis of the current energy pricing policy is provided there. (author)

  13. The effects of a rise in cigarette price on cigarette consumption, tobacco taxation revenues, and of smoking-related deaths in 28 EU countries-- applying threshold regression modelling

    Directory of Open Access Journals (Sweden)

    Chun-Yuan Yeh

    2017-09-01

    Full Text Available Abstract Background European Union public healthcare expenditure on treating smoking and attributable diseases is estimated at over €25bn annually. The reduction of tobacco consumption has thus become one of the major social policies of the EU. This study investigates the effects of price hikes on cigarette consumption, tobacco tax revenues and smoking-caused deaths in 28 EU countries. Methods Employing panel data for the years 2005 to 2014 from Euromonitor International, the World Bank and the World Health Organization, we used income as a threshold variable and applied threshold regression modelling to estimate the elasticity of cigarette prices and to simulate the effect of price fluctuations. Results The results showed that there was an income threshold effect on cigarette prices in the 28 EU countries that had a gross national income (GNI per capita lower than US$5418, with a maximum cigarette price elasticity of −1.227. The results of the simulated analysis showed that a rise of 10% in cigarette price would significantly reduce cigarette consumption as well the total death toll caused by smoking in all the observed countries, but would be most effective in Bulgaria and Romania, followed by Latvia and Poland. Additionally, an increase in the number of MPOWER tobacco control policies at the highest level of achievment would help reduce cigarette consumption. Conclusions It is recommended that all EU countries levy higher tobacco taxes to increase cigarette prices, and thus in effect reduce cigarette consumption. The subsequent increase in tobacco tax revenues would be instrumental in covering expenditures related to tobacco prevention and control programs.

  14. The effects of a rise in cigarette price on cigarette consumption, tobacco taxation revenues, and of smoking-related deaths in 28 EU countries-- applying threshold regression modelling.

    Science.gov (United States)

    Yeh, Chun-Yuan; Schafferer, Christian; Lee, Jie-Min; Ho, Li-Ming; Hsieh, Chi-Jung

    2017-09-21

    European Union public healthcare expenditure on treating smoking and attributable diseases is estimated at over €25bn annually. The reduction of tobacco consumption has thus become one of the major social policies of the EU. This study investigates the effects of price hikes on cigarette consumption, tobacco tax revenues and smoking-caused deaths in 28 EU countries. Employing panel data for the years 2005 to 2014 from Euromonitor International, the World Bank and the World Health Organization, we used income as a threshold variable and applied threshold regression modelling to estimate the elasticity of cigarette prices and to simulate the effect of price fluctuations. The results showed that there was an income threshold effect on cigarette prices in the 28 EU countries that had a gross national income (GNI) per capita lower than US$5418, with a maximum cigarette price elasticity of -1.227. The results of the simulated analysis showed that a rise of 10% in cigarette price would significantly reduce cigarette consumption as well the total death toll caused by smoking in all the observed countries, but would be most effective in Bulgaria and Romania, followed by Latvia and Poland. Additionally, an increase in the number of MPOWER tobacco control policies at the highest level of achievment would help reduce cigarette consumption. It is recommended that all EU countries levy higher tobacco taxes to increase cigarette prices, and thus in effect reduce cigarette consumption. The subsequent increase in tobacco tax revenues would be instrumental in covering expenditures related to tobacco prevention and control programs.

  15. Transfer Pricing

    DEFF Research Database (Denmark)

    Rohde, Carsten; Rossing, Christian Plesner

    trade internally as the units have to decide what prices should be paid for such inter-unit transfers. One important challenge is to uncover the consequences that different transfer prices have on the willingness in the organizational units to coordinate activities and trade internally. At the same time...... the determination of transfer price will affect the size of the profit or loss in the organizational units and thus have an impact on the evaluation of managers‟ performance. In some instances the determination of transfer prices may lead to a disagreement between coordination of the organizational units...

  16. The estimation of risk-premium implicit in oil prices

    International Nuclear Information System (INIS)

    Luis, J.B.

    2001-01-01

    The futures price can be seen as the sum of the expected value of the underlying asset price and a risk-premium. In order to disentangle these two components of the futures price, one can try to model the relationship between spot and futures prices, in order to obtain a closed expression for the risk-premium, or to use information from spot and option prices to estimate risk-aversion functions. Given the high volatility of the ratios between futures and spot prices, we opted for the latter, estimating risk-neutral and subjective probability density functions, respectively, from observed option and spot prices. looking at the prices of Brent and West Texas Intermediate light/sweet crude oil options, the obtained evidence suggests that risk-aversion is typically very low for levels near the futures prices. However, due to price volatility and, consequently, to the tails of distribution, the risk-aversion functions are badly behaved in extreme prices and futures prices do not anticipate sharp movements in oil spot prices. Therefore, futures oil prices seem to be useful in forecasting spot prices only when moderate price changes occur. (author)

  17. Consistent Estimation of Pricing Kernels from Noisy Price Data

    OpenAIRE

    Vladislav Kargin

    2003-01-01

    If pricing kernels are assumed non-negative then the inverse problem of finding the pricing kernel is well-posed. The constrained least squares method provides a consistent estimate of the pricing kernel. When the data are limited, a new method is suggested: relaxed maximization of the relative entropy. This estimator is also consistent. Keywords: $\\epsilon$-entropy, non-parametric estimation, pricing kernel, inverse problems.

  18. Oil Volatility Risk and Expected Stock Returns

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Pan, Xuhui (Nick)

    return between the quintile of stocks with low exposure and high exposure to oil volatility is significant at 0.66% per month, and oil volatility risk carries a significant risk premium of -0.60% per month. In the post-financialization period, oil volatility risk is strongly related with various measures...

  19. Forecasting Volatility of Dhaka Stock Exchange: Linear Vs Non-linear models

    Directory of Open Access Journals (Sweden)

    Masudul Islam

    2012-10-01

    Full Text Available Prior information about a financial market is very essential for investor to invest money on parches share from the stock market which can strengthen the economy. The study examines the relative ability of various models to forecast daily stock indexes future volatility. The forecasting models that employed from simple to relatively complex ARCH-class models. It is found that among linear models of stock indexes volatility, the moving average model ranks first using root mean square error, mean absolute percent error, Theil-U and Linex loss function  criteria. We also examine five nonlinear models. These models are ARCH, GARCH, EGARCH, TGARCH and restricted GARCH models. We find that nonlinear models failed to dominate linear models utilizing different error measurement criteria and moving average model appears to be the best. Then we forecast the next two months future stock index price volatility by the best (moving average model.

  20. An Alternative Estimation of Market Volatility based on Fuzzy Transform

    OpenAIRE

    Troiano, Luigi; Villa, Elena Mejuto; Kriplani, Pravesh

    2017-01-01

    Realization of uncertainty of prices is captured by volatility, that is the tendency of prices to vary along a period of time. This is generally measured as standard deviation of daily returns. In this paper we propose and investigate the application of fuzzy transform and its inverse as an alternative measure of volatility. The measure obtained is compatible with the definition of risk measure given by Luce. A comparison with standard definition is performed by considering the NIFTY 50 stock...