WorldWideScience

Sample records for volatile fuel prices

  1. 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.

  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. Option Pricing using Realized Volatility

    DEFF Research Database (Denmark)

    Stentoft, Lars Peter

    In the present paper we suggest to model Realized Volatility, an estimate of daily volatility based on high frequency data, as an Inverse Gaussian distributed variable with time varying mean, and we examine the joint properties of Realized Volatility and asset returns. We derive the appropriate...... benchmark model estimated on return data alone. Hence the paper provides evidence on the value of using high frequency data for option pricing purposes....

  4. Option Pricing using Realized Volatility

    DEFF Research Database (Denmark)

    Stentoft, Lars Peter

    In the present paper we suggest to model Realized Volatility, an estimate of daily volatility based on high frequency data, as an Inverse Gaussian distributed variable with time varying mean, and we examine the joint properties of Realized Volatility and asset returns. We derive the appropriate d...... benchmark model estimated on return data alone. Hence the paper provides evidence on the value of using high frequency data for option pricing purposes....

  5. Volatile behaviour of enrichment uranium in the total nuclear fuel price; Volatilidad de los mercados de Uranio enriquecido. Impactos sobre el coste de combustible

    Energy Technology Data Exchange (ETDEWEB)

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

    2004-07-01

    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.

  6. RICE PRICE VOLATILITY IN EAST JAVA

    Directory of Open Access Journals (Sweden)

    Wati R.Y.E.

    2017-09-01

    Full Text Available The purpose of the research is analyzing the volatility and volatility spillover of monthly price of paddy at the level of farmers and consumers in 2010-2016. ARCH/GARCH used to analyze volatility and GARCH BEKK-model is used to analyze the volatility spillover. The results of the analysis show that price volatility at the farmer level is very high (extremely high volatility, price volatility at the consumer level is low (low volatility, and volatility spillover does not occur between the farmers and the consumers market. The need to guarantee an effective floor price as well as information disclosure related to the market commodity prices so that the pattern of prices transmission among interrelated markets can be symmetrical.

  7. Are Fuel Price Hikes Justifiable?

    Institute of Scientific and Technical Information of China (English)

    2009-01-01

    China saw its third fuel price hike this year when the National Development and Reform Commission, China’s top price regulator, hiked gasoline and diesel retail prices up by 9 percent, effective on June 30. It is the second rally in a month after the country initiated a new fuel pricing scheme in May.

  8. 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 genera......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...... 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....... The main contribution of this paper is to quantify volatility patterns of electricity price, as penetration level of wind power increases. Results explain a direct relationship between wind penetration and electricity price volatility in a quantitative manner....

  9. Modeling the Volatility in 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 estimate the volatility in global fertilizer prices. The endogenous structural breakpoint unit root test and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model, Exponential GARCH (EGARC

  10. Reducing Fuel Volatility - An Additional Benefit From Blending Bio-fuels?

    NARCIS (Netherlands)

    Bailis, R.E.; Koeb, B.S.; Sanders, M.W.J.L.

    2011-01-01

    Oil price volatility harms economic growth. Diversifying into different fuel types can mitigate this effect by reducing volatility in fuel prices. Producing bio-fuels may thus have additional benefits in terms of avoided damage to macro-economic growth. In this study we investigate trends and patter

  11. 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...

  12. Fuel Price Effects on Readiness

    Science.gov (United States)

    2014-05-01

    31 B. Measuring the Response to Changes in Fuel Prices across Budget Years: Long- term Price Elasticity ...Changes in Fuel Prices across Budget Years: Long-term Price Elasticity In order to determine the responsiveness of inter-year OPTEMPO to inter-year... elasticity of OPTEMPO (our readiness measure) with respect to price . 0 1,000 2,000 3,000 4,000 33 1. Army Analysis In order to avoid overlooking

  13. Higher fuel and food prices

    DEFF Research Database (Denmark)

    Arndt, Channing; Benfica, Rui; Maximiano, Nelson

    2008-01-01

    Rising world prices for fuel and food represent a negative terms-of-trade shock for Mozambique. The impacts of these price rises are analyzed using various approaches. Detailed price data show that the world price increases are being transmitted to domestic prices. Short-run net benefit ratio...... of Mozambique indicates that the fuel price shock dominates rising food prices from both macroeconomic and poverty perspectives. Again, negative impacts are larger in urban areas. The importance of agricultural production response in general and export response in particular is highlighted. Policy analysis...

  14. Milk Price Volatility and its Determinants

    OpenAIRE

    Dong, Fengxia; Du, Xiaodong; Gould, Brian W.

    2011-01-01

    The classified pricing of fluid milk under the Federal Milk Marketing Orders (FMMO) system combined with the cash settlement feature of Class IIII milk futures contracts generate a unique volatility pattern of these futures markets in the sense that the volatility gradually decreases as the USDA price announcement dates approaching in the month. Focusing on the evolution of volatility in Class III milk futures market, this study quantifies the relative importance of a set of factors driving m...

  15. 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...... 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...... 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....

  16. 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.

  17. 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.......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...... 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...

  18. Higher fuel and food prices

    DEFF Research Database (Denmark)

    Arndt, Channing; Benfica, Rui; Maximiano, Nelson;

    2008-01-01

    Rising world prices for fuel and food represent a negative terms-of-trade shock for Mozambique. The impacts of these price rises are analyzed using various approaches. Detailed price data show that the world price increases are being transmitted to domestic prices. Short-run net benefit ratio...... analysis indicates that urban households and households in the southern region are more vulnerable to food price increases. Rural households, particularly in the North and Center, often benefit from being in a net seller position. Longer-term analysis using a computable general equilibrium (CGE) model...... of Mozambique indicates that the fuel price shock dominates rising food prices from both macroeconomic and poverty perspectives. Again, negative impacts are larger in urban areas. The importance of agricultural production response in general and export response in particular is highlighted. Policy analysis...

  19. 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.

  20. 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.

  1. 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...

  2. Reducing Fuel Volatility. An Additional Benefit From Blending Bio-fuels?

    Energy Technology Data Exchange (ETDEWEB)

    Bailis, R. [Yale School of Forestry and Environmental Studies, 195 Prospect Street, New Haven, CT 06511 (United States); Koebl, B.S. [Utrecht University, Science Technology and Society, Budapestlaan 6, 3584 CD Utrecht (Netherlands); Sanders, M. [Utrecht University, Utrecht School of Economics, Janskerkhof 12, 3512 BL Utrecht (Netherlands)

    2011-02-15

    Oil price volatility harms economic growth. Diversifying into different fuel types can mitigate this effect by reducing volatility in fuel prices. Producing bio-fuels may thus have additional benefits in terms of avoided damage to macro-economic growth. In this study we investigate trends and patterns in the determinants of a volatility gain in order to provide an estimate of the tendency and the size of the volatility gain in the future. The accumulated avoided loss from blending gasoline with 20 percent ethanol-fuel estimated for the US economy amounts to 795 bn. USD between 2010 and 2019 with growing tendency. An amount that should be considered in cost-benefit analysis of bio-fuels.

  3. Price volatility and banking in green certificate markets

    DEFF Research Database (Denmark)

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

    2006-01-01

    There is concern that prices in a market for Green Certificates (GCs) primarily based on volatile wind power will fluctuate excessively, leading to corresponding volatility of electricity prices. Applying a ratinal expectations simulation model of competitive storage and specualtion of GCs...... 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...

  4. 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......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...

  5. 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.

  6. EL NINO AND COFFEE PRICE VOLATILITY IN 1997

    OpenAIRE

    Frechette, Darren L.; Delavan, Willard

    1998-01-01

    Coffee price volatility was extreme in 1997. With no obvious drought or freezing conditions in major growing countries, market analysts blamed El Nino. Alternatively, economic theory implies that commodity price volatility should be high when inventories are low. We analyze and test these two hypotheses

  7. Price Volatility Transmission in Food Supply Chains: A Literature Review

    NARCIS (Netherlands)

    Assefa, T.T.; Meuwissen, M.P.M.; Oude Lansink, A.G.J.M.

    2015-01-01

    This paper reviews the literature on price volatility transmission in vertical food markets. The methods and major findings of the literature are discussed and avenues for future research are suggested. The literature review shows that price volatility is analyzed using a class of univariate and mul

  8. Pricing Arithmetic Asian Options under Hybrid Stochastic and Local Volatility

    Directory of Open Access Journals (Sweden)

    Min-Ku Lee

    2014-01-01

    Full Text Available Recently, hybrid stochastic and local volatility models have become an industry standard for the pricing of derivatives and other problems in finance. In this study, we use a multiscale stochastic volatility model incorporated by the constant elasticity of variance to understand the price structure of continuous arithmetic average Asian options. The multiscale partial differential equation for the option price is approximated by a couple of single scale partial differential equations. In terms of the elasticity parameter governing the leverage effect, a correction to the stochastic volatility model is made for more efficient pricing and hedging of Asian options.

  9. 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)

  10. Comparative Performance of Volatility Models for Oil Price

    Directory of Open Access Journals (Sweden)

    Afees A. Salisu

    2012-07-01

    Full Text Available In this paper, we compare the performance of volatility models for oil price using daily returns of WTI. The innovations of this paper are in two folds: (i we analyse the oil price across three sub samples namely period before, during and after the global financial crisis, (ii we also analyse the comparative performance of both symmetric and asymmetric volatility models for the oil price. We find that oil price was most volatile during the global financial crises compared to other sub samples. Based on the appropriate model selection criteria, the asymmetric GARCH models appear superior to the symmetric ones in dealing with oil price volatility. This finding indicates evidence of leverage effects in the oil market and ignoring these effects in oil price modelling will lead to serious biases and misleading results.

  11. Wood fuel markets in Northern Europe. Price formation and internationalization

    Energy Technology Data Exchange (ETDEWEB)

    Olsson, Olle

    2012-07-01

    High fossil fuel prices and ambitions to reduce greenhouse gas emissions have increased demand for renewable energy and are changing wood fuel market structures. Wood fuels are to a rapidly growing degree used in industrial proportions and traded in commercial markets. Wood fuels are seen as a key component to achieve policy goals related to climate change, especially in the EU. In the six papers that form the basis for this thesis, prices of wood fuels in Northern Europe are analyzed by means of time series analysis to increase understanding about the factors that govern market development. In Paper I, it is found that whereas the Austrian and German residential-quality wood pellet markets are integrated, Sweden is a separate market. The conclusion from Paper II is that despite a long history of trade in wood fuels between Estonia and Sweden, the two markets cannot be considered integrated. The results from Paper III indicate that refined and unrefined wood fuels should be seen as two separate markets, and that forest chips prices follow different trajectories depending on whether they are used in district heating or in forest industries. In Paper IV, it is acknowledged that although high and volatile oil prices are an important driver for the growth in demand for wood fuels, no significant spillover from oil price developments into Swedish wood fuel prices could be discerned in the time period 1993-2010. In Paper V, the conclusion is that prices of industrial roundwood and unrefined wood fuels followed a common trend in Sweden in the first decade of the 21st century. Paper VI shows that there is a significantly higher level of market maturity and internationalization in the Danish wood pellet market compared to the wood chip market in the country. In conclusion, this thesis uncovers some of the mechanisms that affect wood fuel markets, including the differences between unrefined wood fuels - such as wood chips - and the dynamic market for wood pellets. Whereas

  12. Another Look at the Volatility of Stock Prices

    Science.gov (United States)

    Maruszewski, Richard F., Jr.

    2007-01-01

    Investors are interested in the volatility of a stock for various reasons. One investor may desire to purchase a low volatility stock for peace of mind. Another may be interested in a high volatility stock in order to have the opportunity to buy low and sell high as the price of the stock oscillates. This author had the fortunate timing of reading…

  13. 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.

  14. Commodity Price Volatility: Causes, Effects and Implications

    OpenAIRE

    Mugera, Harriet Kasidi

    2015-01-01

    Agricultural commodities experienced substantial increases in prices over the most recent decade with major surges in both 2007-08 and again in 2010-11. These price movements coincided with sharp rises in energy prices, in particular crude oil. Sharp increases in agricultural prices were not uncommon, but it is the short period between the recent two price surges that has drawn concerns and raised questions. What were the causes of the increase in world agricultural prices and what are the pr...

  15. Analysis of the Behavior of Volatility in Crude Oil Price

    Directory of Open Access Journals (Sweden)

    Fernando Antonio Lucena Aiube

    2014-02-01

    Full Text Available This article analyzes volatility in the spot price of crude oil. In recent years the price has also increased reaching more than US$ 140/barrel in the last decade. Moreover, the negotiated trading volume in the futures market in recent years higher than the trading volume of the earlier years. How these changes have affected the volatility in the oil prices? Does the presence of huge players, which leads to an increase in the volume under negotiation, increase volatility? Has the persistence been affected? To answer these questions, we first estimated spot prices using the two-factor model of Schwartz and Smith. With this filtering process we can capture the entire information from the future term-structure. We then analyzed the estimated spot-price series to identify the stylized facts and then adjusted conditional volatility models of GARCH family. Our findings show that the volatility in the high prices period is not different from that of low prices. The shocks behaved as transitory and the persistence in the high prices period decreased. This fact has pricing and hedging implications for short-term derivatives.

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

    DEFF Research Database (Denmark)

    Kokholm, Thomas

    We propose a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index. Our model reproduces various empirically observed properties of variance swap dynamics and enables volatility derivatives and options on the underlying index...... 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...

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

    DEFF Research Database (Denmark)

    Cont, Rama; Kokholm, Thomas

    2013-01-01

    We propose a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index. Our model reproduces various empirically observed properties of variance swap dynamics and enables volatility derivatives and options on the underlying index...... 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...

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

    DEFF Research Database (Denmark)

    Kokholm, Thomas

    We propose a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index. Our model reproduces various empirically observed properties of variance swap dynamics and enables volatility derivatives and options on the underlying index...... 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...

  19. Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility

    NARCIS (Netherlands)

    Chen, P.Y. Chen, P.Y. (Chen, P.Y.); C-L. Chang (Chia-Lin); M.J. McAleer (Michael)

    2013-01-01

    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, ARDL model, and alternative volatility models, including GARCH, EGARCH, and GJR models, are used t

  20. 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.

  1. Natural Gas Price Volatility in the UK and North America

    OpenAIRE

    2012-01-01

    Lacking a commonly held definition, volatility is an often over-generalised term with different meanings to different constituencies. This does not detract from the importance of the subject. To traders volatility is a source of revenue, to energy intensive industrial end-users it is often perceived as a threat. Midstream utilities actively work to risk-manage volatility in order to deliver a ‘dampened’ price offer to end-user customers. In this working paper Sofya Alterman summarises ...

  2. The Price Volatility of Bitcoin : A search for the drivers affecting the price volatility of this digital currency

    OpenAIRE

    Stråle Johansson, Nathalie; Tjernström, Malin

    2014-01-01

    Created in 2009, the digital currency of bitcoin is a relatively new phenomenon. During this short period of time, it has however displayed a strong development of both price and trade volume. This has led to increased media attention, but also regulators and researchers have developed an interest. At this moment, the amount of available research is however limited. With a focus on the price volatility of bitcoin and an aim of finding drivers of this volatility, this study is taking a unique ...

  3. Political determinants of fossil fuel pricing

    NARCIS (Netherlands)

    Van Beers, C.P.; Strand, J.

    2013-01-01

    This paper provides an empirical analysis of economic and political determinants of gasoline and diesel prices for about 200 countries over the period 1991–2010. A range of both political and economic variables are found to systematically influence fuel prices, and in ways that differ systematically

  4. Volatility of bitumen prices and implications for the industry

    Science.gov (United States)

    Attanasi, E.D.

    2008-01-01

    Sustained crude oil price increases have led to increased investment in and production of Canadian bitumen to supplement North American oil supplies. For new projects, the evaluation of profitability is based on a prediction of the future price path of bitumen and ultimately light/medium crude oil. This article examines the relationship between the bitumen and light crude oil prices in the context of a simple error-correction economic-adjustment model. The analysis shows bitumen prices to be significantly more volatile than light crude prices. Also, the dominant effect of an oil price shock on bitumen prices is immediate and is amplified, both in absolute terms and percentage price changes. It is argued that the bitumen industry response to such market risks will likely be a realignment toward vertical integration via new downstream construction, mergers, or on a de facto basis by the establishment of alliances. ?? 2008 International Association for Mathematical Geology.

  5. Essays on oil price volatility and irreversible investment

    Science.gov (United States)

    Pastor, Daniel J.

    In chapter 1, we provide an extensive and systematic evaluation of the relative forecasting performance of several models for the volatility of daily spot crude oil prices. Empirical research over the past decades has uncovered significant gains in forecasting performance of Markov Switching GARCH models over GARCH models for the volatility of financial assets and crude oil futures. We find that, for spot oil price returns, non-switching models perform better in the short run, whereas switching models tend to do better at longer horizons. In chapter 2, I investigate the impact of volatility on firms' irreversible investment decisions using real options theory. Cost incurred in oil drilling is considered sunk cost, thus irreversible. I collect detailed data on onshore, development oil well drilling on the North Slope of Alaska from 2003 to 2014. Volatility is modeled by constructing GARCH, EGARCH, and GJR-GARCH forecasts based on monthly real oil prices, and realized volatility from 5-minute intraday returns of oil futures prices. Using a duration model, I show that oil price volatility generally has a negative relationship with the hazard rate of drilling an oil well both when aggregating all the fields, and in individual fields.

  6. Price Volatility of Main Food Commodity in Banyumas Regency Indonesia

    Directory of Open Access Journals (Sweden)

    Rahmi Hayati Putri

    2016-06-01

    Full Text Available Agricultural product is commodity which tends to fluctuate. Price volatility is caused by the change of agricultural production due to climate change as well as pest and disease. Furthermore, it is also caused by the change of agricultural land and high demand of agricultural products on religious holidays. This study was conducted to examine how volatile some of main food commodities in Banyumas Regency. Secondary data analysis method with quantitative approach was used in this research. Time series data of some food commodity prices (rice IR 64, local soybean, maize, chili red peppers, onion and garlic from January 2008 – December 2013 were utilized. The coefficient of variation was calculated to determine price volatility. The result showed that the price of red chili pepper, onion and garlic was tending to volatile. The coefficient of variation ratio of those commodities was about 20% - 35%. While the price of rice, local soybean and maize was stable. The coefficient of variation ratio of those commodities was less than 9%. This study also includes some policies that can be suggested to prevent price volatility.

  7. 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 interact

  8. 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 inter

  9. 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 interact

  10. 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

  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)

    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

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

    DEFF Research Database (Denmark)

    Cont, Rama; Kokholm, Thomas

    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......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...... on S&P 500 across strikes and maturities as well as options on the VIX volatility index. The calibration of the model is done in two steps, first by matching VIX option prices and then by matching prices of options on the underlying....

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

    DEFF Research Database (Denmark)

    Kokholm, Thomas

    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......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...... strikes and maturities as well as options on the VIX volatility index. The calibration of the model is done in two steps, first by matching VIX option prices and then by matching prices of options on the underlying....

  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. Food commodity price volatility and food insecurity

    National Research Council Canada - National Science Library

    Alexander Sarris

    2013-01-01

      The paper first reviews several issues relevant to global food commodity market volatility as it pertains to food security, and food importing developing countries, and then discusses international...

  17. 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

  18. SPECIFYING THE EFFECTIVE DETERMINANTS OF HOUSE PRICE VOLATILITIES IN IRAN

    Directory of Open Access Journals (Sweden)

    Murteza Sanjarani Pour

    2013-11-01

    Full Text Available The housing sector is one of the key sectors in an economy and its fluctuations could be accompanied with stagnation or expansion in other parts of an economy. Additionally, this sector has an intra-economic role in near to 120 sub-industries which therefore indicates its importance in an economy. Hence, this study examines the effective determinants of house price volatilities using the Engel Granger co-integration technique after modeling the price volatilities under the E-Garch model for the period 1973-2008 in Iran based on Eviews and Mathematica Software. The findings indicate that all variables, including coin price, GDP proxy, volume of money, inflation rate, and house interest rate have a significant impact on the volatilities.

  19. Volatile species retention during metallic fuel casting

    Science.gov (United States)

    Fielding, Randall S.; Porter, Douglas L.

    2013-10-01

    Metallic nuclear fuels are candidate transmutation fuel forms for advanced fuel cycles. Through the operation of the Experimental Breeder Reactor II metallic nuclear fuels have been shown to be robust and easily manufactured. However, concerns have been raised concerning loss of americium during the casting process because of its high vapor pressure. In order to address these concerns a gaseous diffusion model was developed and a series of experiments using both manganese and samarium as surrogates for americium were conducted. The modeling results showed that volatility losses can be controlled to essentially no losses with a modest overpressure. Experimental results also showed volatile species retention down to no detectable losses through overpressure, and although the loss values varied from the model results the same trend was seen. Based on these results it is very probable that americium losses through volatility can be controlled to no detectable losses through application of a modest overpressure during casting.

  20. Integrated maritime bunker management with stochastic fuel prices and new emission regulations

    OpenAIRE

    Gu, Yewen; Stein W. Wallace; Wang, Xin

    2016-01-01

    Maritime bunker management (MBM) controls the procurement and consumption of the fuels used on board and therefore manages one of the most important cost drivers in the shipping industry. At the operational level, a shipping company needs to manage its fuel consumption by making optimal routing and speed decisions for each voyage. But since fuel prices are highly volatile, a shipping company sometimes also needs to do tactical fuel hedging in the forward market to control risk and cost volati...

  1. Option Pricing with Stochastic Volatility and Jump Diffusion Processes

    Directory of Open Access Journals (Sweden)

    Radu Lupu

    2006-05-01

    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.

  2. 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.

  3. 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.

  4. Minerals Price Increases and Volatility: Causes and Consequences

    Science.gov (United States)

    2008-10-03

    This subject is discussed in CRS Report RL34625, Gasoline and Oil Prices, by Robert Pirog. Minerals Price Increases and Volatility: Causes and...accounted for more than half the production in such large mineral-producing countries as South Africa, Namibia, New Caledonia, Indonesia, Colombia , Chile...catalytic converters that reduce air emissions . Catalysts for pollution control lead the consumption categories for PGMs, and this report will focus

  5. Uncertainties Mounting, Cotton Price Becomes Volatile

    Institute of Scientific and Technical Information of China (English)

    Huang Junfei

    2010-01-01

    @@ In the domestic market, the unre-mitting foul weather has delayed cotton picking by two weeks with downgraded quality; in the inter-national market, factors such as sus-pension of cotton export in India and disaster-affecting cotton yield in Paki-stan have led to such a market anticipa-tion that cotton stock across the world is to show another decline trend in the upcoming year. The unanimous market anticipation has resulted in a surge in cotton price during the Mid-autumn Festival: the transaction price for un-loading cotton inventories has increased by nearly RMB 3,000/ton, the price for purchasing new cotton has gone beyond RMB 25,000/ton and the cost for the imported cotton with owned quota (effect shipment after the next Spring Festival)has exceeded RMB 21,000/ton.

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

    Energy Technology Data Exchange (ETDEWEB)

    Worthington, A.; Kay-Spratley, A.; Higgs, H. [Queensland University of Technology, Brisbane (Australia). School of Economics and Finance

    2005-03-01

    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)

  7. Transmission of prices and price volatility in Australian electricity spot markets. A multivariate GARCH analysis

    Energy Technology Data Exchange (ETDEWEB)

    Worthington, Andrew; Kay-Spratley, Adam; Higgs, Helen [School of Economics and Finance, Queensland University of Technology, G.P.O. Box 2434, Brisbane, Qld 4001 (Australia)

    2005-03-15

    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.

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

    DEFF Research Database (Denmark)

    Kokholm, Thomas

    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......We propose a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index. Our model reproduces various empirically observed properties of variance swap dynamics and enables volatility derivatives and options on the underlying index...

  9. 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

  10. 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.

  11. 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.

  12. Child mortality, commodity price volatility and the resource curse.

    Science.gov (United States)

    Makhlouf, Yousef; Kellard, Neil M; Vinogradov, Dmitri

    2017-04-01

    Given many developing economies depend on primary commodities, the fluctuations of commodity prices may imply significant effects for the wellbeing of children. To investigate, this paper examines the relationship between child mortality and commodity price movements as reflected by country-specific commodity terms-of-trade. Employing a panel of 69 low and lower-middle income countries over the period 1970-2010, we show that commodity terms-of-trade volatility increases child mortality in highly commodity-dependent importers suggesting a type of 'scarce' resource curse. Strikingly however, good institutions appear able to mitigate the negative impact of volatility. The paper concludes by highlighting this tripartite relationship between child mortality, volatility and good institutions and posits that an effective approach to improving child wellbeing in low to lower-middle income countries will combine hedging, import diversification and improvement of institutional quality. Copyright © 2017. Published by Elsevier Ltd.

  13. Option pricing with transaction costs and stochastic volatility

    Directory of Open Access Journals (Sweden)

    Ionut Florescu

    2014-07-01

    Full Text Available In a realistic market with transaction costs, the option pricing problem is known to lead to solving nonlinear partial differential equations even in the simplest model. The nonlinear term in these partial differential equations (PDE reflects the presence of transaction costs. In this article we consider an underlying general stochastic volatility model. In this case the market is incomplete and the option price is not unique. Under a particular market completion assumption where we use a traded proxy for the volatility, we obtain a non-linear PDE whose solution provides the option price in the presence of transaction costs. This PDE is studied and under suitable regularity conditions, we prove the existence of strong solutions of the problem.

  14. 10 CFR Appendix II to Part 504 - Fuel Price Computation

    Science.gov (United States)

    2010-01-01

    ... provide the procedure to: (1) Calculate fuel price and inflation indices; (2) account for projected real... example fuel price and inflation indices based on the latest data appearing in the Energy Information Administration's (EIA) Annual Energy Outlook (AEO). The fuel price and inflation indices will change yearly with...

  15. 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.

  16. Stochastic Volatility Model and Technical Analysis of Stock Price

    Institute of Scientific and Technical Information of China (English)

    Wei LIU; Wei An ZHENG

    2011-01-01

    In the stock market, some popular technical analysis indicators (e.g. Bollinger Bands, RSI,ROC, ...) are widely used by traders. They use the daily (hourly, weekly, ...) stock prices as samples of certain statistics and use the observed relative frequency to show the validity of those well-knownindicators. However, those samples are not independent, so the classical sample survey theory does not apply. In earlier research, we discussed the law of large numbers related to those observations when one assumes Black-Scholes' stock price model. In this paper, we extend the above results to the more popular stochastic volatility model.

  17. 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.

  18. Creditor Protection, Contagion, and Stock Market Price Volatility

    OpenAIRE

    Hale, Galina B; Razin, Assaf; Tong, Hui

    2008-01-01

    We study a mechanism through which strong creditor protection affect positively the level, and negatively the volatility, of the aggregate stock market price. In a Tobin-q model with liquidity and productivity shocks, two channels are at work: (1) Creditor protection raises the stock value in a credit-constraint regime; (2) Creditor protection lowers the probability of the credit crunch. We confront the key predictions of the model to a panel of 40 countries over the period from 1984 to 2004....

  19. The European power industry : asymmetries and price volatility

    Energy Technology Data Exchange (ETDEWEB)

    Isabel, M.; Soares, R.T. [Porto Univ., Porto (Portugal). Faculty of Economics

    2005-07-01

    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.

  20. A futures market response to oil price volatility

    Energy Technology Data Exchange (ETDEWEB)

    Levine, A.H. (Shearson Lehman Brothers Inc., Bethseda, MD (US))

    1991-01-01

    The volatility of oil prices has expanded dramatically over the past twenty years. New mechanisms, including futures and forward contracts, options on futures and ''over the counter'' options have been developed to deal with the uncertainty of buying or selling of petroleum in the highly competitive markets that now characterize the oil situation. Futures contracts - agreements to buy or sell at a particular time in the future - are the core of the new mechanisms. Since futures market prices move in concert with cash (''wet'') market prices, futures can be an effective substitute for wet barrel transactions. Buyers of options gain the advantage of futures trading - the right to buy without the obligation to do so -for a fee. (author).

  1. Price Volatility Spillover in Agricultural Markets: An Examination of U.S. Catfish Markets

    OpenAIRE

    Buguk, Cumhur; Hudson, Darren; Hanson, Terrill R.

    2003-01-01

    Price volatility spillovers in the U.S. catfish supply chain are analyzed based on monthly price data from 1980 through 2000 for catfish feed, its ingredients, and farm- and wholesale-level catfish. The exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model was used to test univariate volatility spillovers for prices in the supply chain. Strong price volatility spillover from feeding material (corn, soybeans, menhaden) to catfish feed and farm- and wholesale-leve...

  2. The normal price. The case of the retail price of diesel fuel

    OpenAIRE

    Kossov, Vladimir; Kossova, Elena

    2013-01-01

    For the large majority of goods, the price dispersion between countries does not exceed 1:10. Diesel fuel stands out, with a dispersion which exceeds 1:100. Given a constant oil price the difference in diesel fuel prices between countries is caused by the different taxes. The average share of taxes in the price determines the normal price. An estimation of the normal price of diesel fuel is made using an econometric model (using 79 countries, 1998-2008 by even years). Of greatest interest to ...

  3. 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.

  4. 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...

  5. Production Costs of Alternative Transportation Fuels. Influence of Crude Oil Price and Technology Maturity

    Energy Technology Data Exchange (ETDEWEB)

    Cazzola, Pierpaolo; Morrison, Geoff; Kaneko, Hiroyuki; Cuenot, Francois; Ghandi, Abbas; Fulton, Lewis

    2013-07-01

    This study examines the production costs of a range of transport fuels and energy carriers under varying crude oil price assumptions and technology market maturation levels. An engineering ''bottom-up'' approach is used to estimate the effect of the input cost of oil and of various technological assumptions on the finished price of these fuels. In total, the production costs of 20 fuels are examined for crude oil prices between USD 60 and USD 150 per barrel. Some fuel pathways can be competitive with oil as their production, transport and storage technology matures, and as oil price increases. Rising oil prices will offer new opportunities to switch to alternative fuels for transport, to diversify the energy mix of the transport sector, and to reduce the exposure of the whole system to price volatility and potential distuption of supply. In a time of uncertainty about the leading vehicle technology to decarbonize the transport sector, looking at the fuel cost brings key information to be considered to keep mobility affordable yet sustainable.

  6. Grain price and volatility transmission from international to domestic markets in developing countries

    OpenAIRE

    Ceballos, Francisco; Hernandez, Manuel A.; Minot,Nicholas; Robles, Miguel

    2015-01-01

    Understanding the sources of domestic food price volatility in developing countries and the extent to which it is transmitted from international to domestic markets is critical to help design better global, regional, and domestic policies to cope with excessive food price volatility and to protect the most vulnerable groups. This paper examines price and volatility transmission from major grain commodities to 41 domestic food products across 27 countries in Africa, Latin America, and South As...

  7. The economic cost of fuel price subsidies in Ghana

    Science.gov (United States)

    Ofori, Roland Oduro

    I adapt the Harberger formula for deadweight loss to develop approximations for the deadweight loss created by multiple fuel price subsidies. I also estimate the own-price, cross-price, and income elasticities of demand for gasoline and diesel in Africa. I use data on fuel prices and sales in combination with my formulas and elasticity estimates to calculate the deadweight loss of fuel price subsidies in Ghana from 2009 to 2014. I show that the average efficiency cost of the gasoline and diesel price subsidies in Ghana is 0.8% of fuel price subsidy transfers. This result stresses the futility of basing subsidy reforms on economic efficiency losses, which are relatively small due to very inelastic energy demand, and the need for such reforms to be motivated by the poor-targeting of subsidies to low-income households and the impact of subsidies on government debt-financing.

  8. Volatile hydrocarbons and fuel oxygenates: Chapter 12

    Science.gov (United States)

    Cozzarelli, Isabelle M.

    2014-01-01

    Petroleum hydrocarbons and fuel oxygenates are among the most commonly occurring and widely distributed contaminants in the environment. This chapter presents a summary of the sources, transport, fate, and remediation of volatile fuel hydrocarbons and fuel additives in the environment. Much research has focused on the transport and transformation processes of petroleum hydrocarbons and fuel oxygenates, such as benzene, toluene, ethylbenzene, and xylenes and methyl tert‐butyl ether, in groundwater following release from underground storage tanks. Natural attenuation from biodegradation limits the movement of these contaminants and has received considerable attention as an environmental restoration option. This chapter summarizes approaches to environmental restoration, including those that rely on natural attenuation, and also engineered or enhanced remediation. Researchers are increasingly combining several microbial and molecular-based methods to give a complete picture of biodegradation potential and occurrence at contaminated field sites. New insights into the fate of petroleum hydrocarbons and fuel additives have been gained by recent advances in analytical tools and approaches, including stable isotope fractionation, analysis of metabolic intermediates, and direct microbial evidence. However, development of long-term detailed monitoring programs is required to further develop conceptual models of natural attenuation and increase our understanding of the behavior of contaminant mixtures in the subsurface.

  9. Simple approximations for option pricing under mean reversion and stochastic volatility

    NARCIS (Netherlands)

    C.M. Hafner (Christian)

    2003-01-01

    textabstractThis paper provides simple approximations for evaluating option prices and implied volatilities under stochastic volatility. Simple recursive formulae are derived that can easily be implemented in spreadsheets. The traditional random walk assumption, dominating in the analysis of

  10. 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.

  11. Asymmetric and persistent responses in price volatility of fertilizers through stable and unstable periods

    Science.gov (United States)

    Lahmiri, Salim

    2017-01-01

    Fertilizers are important to improve agricultural productivity growth. The purpose of this study is to investigate asymmetry, leverage, and persistence of shocks on price volatility of five fertilizers using EGARCH model during stable and unstable time periods, corresponding to before and after 2007 international financial crisis, respectively. Using price data of rock phosphate, triple super phosphate, diammonium phosphate (DAP), urea, and potassium chloride, it is found that fertilizers price volatilities display an apparent asymmetric response to shocks which have much pronounced and permanent effect during unstable period than in during stable period. Such effects should be taken into account whenever volatility modeling of fertilizers is considered, particularly during periods of volatile price.

  12. Stochastic Volatility and Option Pricing in Heath-Jarrow-Morton Term Structure Analysis

    DEFF Research Database (Denmark)

    Christensen, Bent Jesper; Konaris, George; Nicolato, Elisa

    We consider a generalized Heath-Jarrow-Morton bond market model which allows both for jumps and stochastic volatility. Specifications with affine and quadratic volatility are studied and explicit option pricing formulas (in the Heston (1993) sense) are derived and implemented.......We consider a generalized Heath-Jarrow-Morton bond market model which allows both for jumps and stochastic volatility. Specifications with affine and quadratic volatility are studied and explicit option pricing formulas (in the Heston (1993) sense) are derived and implemented....

  13. Inventories and Commodity Price Volatility: A Test of the Theory of Storage

    OpenAIRE

    Toyne, Chris

    2002-01-01

    The theory of storage implies that commodity price volatility is inversely related to inventories, and that as inventories decline, spot prices become relatively more volatile than futures prices, and vice versa. These implications are directly tested using inventory and price data for six non-ferrous metals traded on the London Metal Exchange over the period 1989 to 2000. The conditional variances are specified as multiplicative heteroskedasticity models. For four of the metals, the observed...

  14. 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.

  15. Biweight Estimate: An Instrument For Harmonizing Fuel Prices As An ...

    African Journals Online (AJOL)

    Biweight Estimate: An Instrument For Harmonizing Fuel Prices As An ... a tool for harmonising fuel prices in an attempt to spread the cost uniformly across the nation. ... The analysis based on this technique gives a reasonable decrease in the ...

  16. Impacts of Fuel price, Supply/Demand, and Seasonality on Class I Milk Price Differentials

    OpenAIRE

    Seo, HongSeok; McCarl, Bruce A.

    2014-01-01

    The Class I price differentials for milk were established in 2000 and continue in use today. These differentials are to reflect transport and other factors that vary across space. Since 2000 some key factors have changed like fuel price and supply/demand locations. We examine how the differentials match up with the distribution of shadow prices in a spatial transport model. We find consideration of fuel costs and supply demand location shifts raises the magnitude of the differentials by about...

  17. 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.

  18. 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).

  19. Stochastic volatility of the futures prices of emission allowances: A Bayesian approach

    Science.gov (United States)

    Kim, Jungmu; Park, Yuen Jung; Ryu, Doojin

    2017-01-01

    Understanding the stochastic nature of the spot volatility of emission allowances is crucial for risk management in emissions markets. In this study, by adopting a stochastic volatility model with or without jumps to represent the dynamics of European Union Allowances (EUA) futures prices, we estimate the daily volatilities and model parameters by using the Markov Chain Monte Carlo method for stochastic volatility (SV), stochastic volatility with return jumps (SVJ) and stochastic volatility with correlated jumps (SVCJ) models. Our empirical results reveal three important features of emissions markets. First, the data presented herein suggest that EUA futures prices exhibit significant stochastic volatility. Second, the leverage effect is noticeable regardless of whether or not jumps are included. Third, the inclusion of jumps has a significant impact on the estimation of the volatility dynamics. Finally, the market becomes very volatile and large jumps occur at the beginning of a new phase. These findings are important for policy makers and regulators.

  20. 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.

  1. Pricing Volatility Derivatives Under the Modified Constant Elasticity of Variance Model

    OpenAIRE

    Leunglung Chan; Eckhard Platen

    2015-01-01

    This paper studies volatility derivatives such as variance and volatility swaps, options on variance in the modified constant elasticity of variance model using the benchmark approach. The analytical expressions of pricing formulas for variance swaps are presented. In addition, the numerical solutions for variance swaps, volatility swaps and options on variance are demonstrated.

  2. 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.

  3. High fuel price: Will Indonesian shift to public transportation?

    Science.gov (United States)

    Sopha, Bertha Maya; Pamungkas, Adhiguna Ramadhani

    2016-06-01

    Public transportation has been declining over years, while on the other hand, private vehicles are dramatically increasing. The share of public transportation was 38.3% in 2002 and slowly decreasing to 12.9% in 2010. Cheap fuel price has been alleged to be the main cause for the increased private vehicles. The declining trend of public transportation needs further investigation whether higher fuel price indeed influences the choice of transportation mode. The present study therefore aims at exploring the preference of using public transportation compared to motorcycle and private car for various fuel price and identifying barriers toward public transportation. A survey was conducted in 2013 to capture the preference of each transportation mode given different fuel price. A questionnaire which was designed according to the structure of Analytical Hierarchy Process (AHP) was distributed using random sampling in ten cities in Sumatra and Java islands, Indonesia. Results indicate that the increased fuel price would not lead to significant increase of public transportation users. Motorcycle seems continuously being the dominating transportation mode in the future. On the other hand, issues resulted from limited public transportation capacity such as long travel time, security and safety issues, limited route, poor schedule appear to be the most barriers of using public transportation. It is implied that in order to promote public transportation, interventions should be introduced simultaneously at both supply (i.e., increasing public transportation capacity) and demand (i.e., high fuel price) sides. Limitations of the study are also discussed.

  4. 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......, and bond options appear to be calibrated toincorporate information about future jumps in Treasury bond prices, and hence interest rates....... contain incremental information about future volatilityrelative to both components of realized volatility, and even subsumes the information contentof daily and weekly return based measures. Perhaps surprisingly, the jump component of realizedbond return volatility is, to some extent, predictable...

  5. Stochastic Volatility and Option Pricing in Heath-Jarrow-Morton Term Structure Analysis

    DEFF Research Database (Denmark)

    Skovmand, David

    We consider a generalized Heath-Jarrow-Morton bond market model which allows both for jumps and stochastic volatility. Specifications with affine and quadratic volatility are studied and explicit option pricing formulas (in the Heston (1993) sense) are derived and implemented.......We consider a generalized Heath-Jarrow-Morton bond market model which allows both for jumps and stochastic volatility. Specifications with affine and quadratic volatility are studied and explicit option pricing formulas (in the Heston (1993) sense) are derived and implemented....

  6. Accounting for fuel price risk: Using forward natural gas prices instead of gas price forecasts to compare renewable to natural gas-fired generation

    Energy Technology Data Exchange (ETDEWEB)

    Bolinger, Mark; Wiser, Ryan; Golove, William

    2003-08-13

    Against the backdrop of increasingly volatile natural gas prices, renewable energy resources, which by their nature are immune to natural gas fuel price risk, provide a real economic benefit. Unlike many contracts for natural gas-fired generation, renewable generation is typically sold under fixed-price contracts. Assuming that electricity consumers value long-term price stability, a utility or other retail electricity supplier that is looking to expand its resource portfolio (or a policymaker interested in evaluating different resource options) should therefore compare the cost of fixed-price renewable generation to the hedged or guaranteed cost of new natural gas-fired generation, rather than to projected costs based on uncertain gas price forecasts. To do otherwise would be to compare apples to oranges: by their nature, renewable resources carry no natural gas fuel price risk, and if the market values that attribute, then the most appropriate comparison is to the hedged cost of natural gas-fired generation. Nonetheless, utilities and others often compare the costs of renewable to gas-fired generation using as their fuel price input long-term gas price forecasts that are inherently uncertain, rather than long-term natural gas forward prices that can actually be locked in. This practice raises the critical question of how these two price streams compare. If they are similar, then one might conclude that forecast-based modeling and planning exercises are in fact approximating an apples-to-apples comparison, and no further consideration is necessary. If, however, natural gas forward prices systematically differ from price forecasts, then the use of such forecasts in planning and modeling exercises will yield results that are biased in favor of either renewable (if forwards < forecasts) or natural gas-fired generation (if forwards > forecasts). In this report we compare the cost of hedging natural gas price risk through traditional gas-based hedging instruments (e

  7. 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

    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......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....

  8. Prices, taxes and automotive fuel cross-border shopping

    Energy Technology Data Exchange (ETDEWEB)

    Leal, Andres [Department of Economics, Finance and Employment, Government of Aragon, Plaza de los Sitios, 7, 50.001-Zaragoza (Spain); Lopez-Laborda, Julio; Rodrigo, Fernando [Department of Public Economics, University of Zaragoza, Gran Via, 2, 50.005-Zaragoza (Spain)

    2009-03-15

    The aim of the present paper is to determine whether differences in automotive fuel prices among neighboring Autonomous Communities (i.e. Spanish political-administrative regions) affect the decisions taken by individuals regarding the region in which to purchase fuel. In particular, the intention is to discover if price increases in certain Autonomous Communities, as a result of the application of the regional tranche of the Hydrocarbon Retail Sales Tax (HRST) has affected fuel purchases in neighboring Communities. In order to achieve the above-mentioned objectives, the monthly purchases of automotive diesel in Aragon between January 2001 and March 2007 is estimated from the fuel price in Aragon, the relation between prices in each of the bordering Communities and Aragon, weighted by density of traffic, the number of vehicles registered in that Community, and three dummy variables representative of the implementation of the regional tranche of the HRST in Madrid, Catalonia, and Valencia. The paper finds empirical evidence to demonstrate a positive effect of the relative prices in the neighboring Communities and vehicle registrations, and also a negative effect of prices in Aragon, upon the acquisition of diesel in this region. In the case of Catalonia, some evidence suggests that the price effect may have been strengthened following the introduction of the regional tranche of the HRST in August 2004. (author)

  9. A Path Integral Approach to Option Pricing with Stochastic Volatility: Some Exact Results

    Science.gov (United States)

    Baaquie, Belal E.

    1997-12-01

    The Black-Scholes formula for pricing options on stocks and other securities has been generalized by Merton and Garman to the case when stock volatility is stochastic. The derivation of the price of a security derivative with stochastic volatility is reviewed starting from the first principles of finance. The equation of Merton and Garman is then recast using the path integration technique of theoretical physics. The price of the stock option is shown to be the analogue of the Schrödinger wavefunction of quantum mechanics and the exact Hamiltonian and Lagrangian of the system is obtained. The results of Hull and White are generalized to the case when stock price and volatility have non-zero correlation. Some exact results for pricing stock options for the general correlated case are derived.

  10. Approximation methods of European option pricing in multiscale stochastic volatility model

    Science.gov (United States)

    Ni, Ying; Canhanga, Betuel; Malyarenko, Anatoliy; Silvestrov, Sergei

    2017-01-01

    In the classical Black-Scholes model for financial option pricing, the asset price follows a geometric Brownian motion with constant volatility. Empirical findings such as volatility smile/skew, fat-tailed asset return distributions have suggested that the constant volatility assumption might not be realistic. A general stochastic volatility model, e.g. Heston model, GARCH model and SABR volatility model, in which the variance/volatility itself follows typically a mean-reverting stochastic process, has shown to be superior in terms of capturing the empirical facts. However in order to capture more features of the volatility smile a two-factor, of double Heston type, stochastic volatility model is more useful as shown in Christoffersen, Heston and Jacobs [12]. We consider one modified form of such two-factor volatility models in which the volatility has multiscale mean-reversion rates. Our model contains two mean-reverting volatility processes with a fast and a slow reverting rate respectively. We consider the European option pricing problem under one type of the multiscale stochastic volatility model where the two volatility processes act as independent factors in the asset price process. The novelty in this paper is an approximating analytical solution using asymptotic expansion method which extends the authors earlier research in Canhanga et al. [5, 6]. In addition we propose a numerical approximating solution using Monte-Carlo simulation. For completeness and for comparison we also implement the semi-analytical solution by Chiarella and Ziveyi [11] using method of characteristics, Fourier and bivariate Laplace transforms.

  11. 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

  12. A STUDY OF THE EFFECT OF INFORMATION FLOWSON PRICE VOLATILITY IN CHINA'S STOCK MARKET

    Institute of Scientific and Technical Information of China (English)

    YuePan; ShinongWu

    2004-01-01

    By using GARCH and EGARCH models, the authors examine the relationship between price volatility and new information flow, represented by trading volume, and past information flow, represented by the ARCH effect, in the Shanghai Stock Market for the three different periods from July 1998 to December 2002: the soft period, the bull period, and the bear period. The empirical results show that: (1) there exists a 'leverage effect' in the stock market; that is, negative news had a greater impact on stock price volatility than did positive news in the soft period and bear period, but in the bull period the 'leverage effect' behaves differently; (2) there is a significantly positive relationship between trading volume and stock price volatility, and such a relationship is even more significant in the bear period; (3) it turns out that in the three periods, the relationships between stock price volatility and information flow, both past and new, are not the same; that is, in both the soft and bull periods, both the ARCH effect, reflecting 'past information flow', and trading volume,reflecting 'new information flow', explain price volatility simultaneously, but in the bear period, the ARCH effect is substantially reduced. These findings provide key evidence for understanding, explaining, and tracking the characteristics of price volatility and the changing rules of the stock market in China more comprehensively.

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

    DEFF Research Database (Denmark)

    Babaglou, Kadir G.; Christoffersen, Peter; Heston, Stefen 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 second volatility factor is economically most...

  14. 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 Sc

  15. Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility

    NARCIS (Netherlands)

    van Haastrecht, A.; Pelsser, A.

    2009-01-01

    We consider the pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility, for which we use a generic multi-currency framework. We allow for a general correlation structure between the drivers of the volatility, the inflation index, the domestic (nominal)

  16. Higher fuel prices are associated with lower air pollution levels.

    Science.gov (United States)

    Barnett, Adrian G; Knibbs, Luke D

    2014-05-01

    Air pollution is a persistent problem in urban areas, and traffic emissions are a major cause of poor air quality. Policies to curb pollution levels often involve raising the price of using private vehicles, for example, congestion charges. We were interested in whether higher fuel prices were associated with decreased air pollution levels. We examined an association between diesel and petrol prices and four traffic-related pollutants in Brisbane from 2010 to 2013. We used a regression model and examined pollution levels up to 16 days after the price change. Higher diesel prices were associated with statistically significant short-term reductions in carbon monoxide and nitrogen oxides. Changes in petrol prices had no impact on air pollution. Raising diesel taxes in Australia could be justified as a public health measure. As raising taxes is politically unpopular, an alternative political approach would be to remove schemes that put a downward pressure on fuel prices, such as industry subsidies and shopping vouchers that give fuel discounts. Copyright © 2014 Elsevier Ltd. All rights reserved.

  17. 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

  18. Price and Volatility Transmission and Market Power in the German Fresh Pork Supply Chain

    NARCIS (Netherlands)

    Assefa, Tsion Taye; Meuwissen, Miranda P.M.; Gardebroek, Koos; Oude Lansink, Alfons G.J.M.

    2017-01-01

    We investigate the relationship between the transmission of price volatility and market power in the German fresh pork supply chain. We use a theoretical model underpinning this relationship followed by an empirical application that uses monthly farm, slaughterhouse and retail pork price data for

  19. Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility

    OpenAIRE

    Escribano, Alvaro; Sucarrat, Genaro

    2016-01-01

    Electricity prices are characterised by strong autoregressive persistence, periodicity (e.g. intraday, day-of-the week and month-of-the-year effects), large spikes or jumps, GARCH and -- as evidenced by recent findings -- periodic volatility. We propose a multivariate model of volatility that decomposes volatility multiplicatively into a non-stationary (e.g. periodic) part and a stationary part with log-GARCH dynamics. Since the model belongs to the log-GARCH class, the model is robust to ...

  20. Three essays on agricultural price volatility and the linkages between agricultural and energy markets

    Science.gov (United States)

    Wu, Feng

    This dissertation contains three essays. In the first essay I use a volatility spillover model to find evidence of significant spillovers from crude oil prices to corn cash and futures prices, and that these spillover effects are time-varying. Results reveal that corn markets have become much more connected to crude oil markets after the introduction of the Energy Policy Act of 2005. Furthermore, crude oil prices transmit positive volatility spillovers into corn prices and movements in corn prices become more energy-driven as the ethanol gasoline consumption ratio increases. Based on this strong volatility link between crude oil and corn prices, a new cross hedging strategy for managing corn price risk using oil futures is examined and its performance studied. Results show that this cross hedging strategy provides only slightly better hedging performance compared to traditional hedging in corn futures markets alone. The implication is that hedging corn price risk in corn futures markets alone can still provide relatively satisfactory performance in the biofuel era. The second essay studies the spillover effect of biofuel policy on participation in the Conservation Reserve Program. Landowners' participation decisions are modeled using a real options framework. A novel aspect of the model is that it captures the structural change in agriculture caused by rising biofuel production. The resulting model is used to simulate the spillover effect under various conditions. In particular, I simulate how increased growth in agricultural returns, persistence of the biofuel production boom, and the volatility surrounding agricultural returns, affect conservation program participation decisions. Policy implications of these results are also discussed. The third essay proposes a methodology to construct a risk-adjusted implied volatility measure that removes the forecasting bias of the model-free implied volatility measure. The risk adjustment is based on a closed

  1. An Interval of No-Arbitrage Prices in Financial Markets with Volatility Uncertainty

    Directory of Open Access Journals (Sweden)

    Hanlei Hu

    2017-01-01

    Full Text Available In financial markets with volatility uncertainty, we assume that their risks are caused by uncertain volatilities and their assets are effectively allocated in the risk-free asset and a risky stock, whose price process is supposed to follow a geometric G-Brownian motion rather than a classical Brownian motion. The concept of arbitrage is used to deal with this complex situation and we consider stock price dynamics with no-arbitrage opportunities. For general European contingent claims, we deduce the interval of no-arbitrage price and the clear results are derived in the Markovian case.

  2. International Price Relationship and Volatility Transmission Between Stock Index and Stock Index Futures

    Directory of Open Access Journals (Sweden)

    ArIsmail bin Ahmad

    2011-09-01

    Full Text Available This study investigates the international price relationship and volatility transmissions betweenstock index and stock index futures of Malaysia, Hong Kong and Japan. Vector Autoregression(VAR GJR-GARCH model was applied to the nine years daily price. Japanesemarkets are the main information producer to the market price changes. International marketinterdependence only affected the domestic volatility transmission of spot and futuresmarket in Hong Kong. Asymmetric effects exist in all markets and the volatility persistence ineach market is high. Finally, the overall conditional correlation estimates for spot and futuresmarkets are higher in the unrestricted model form compared to the restricted modelform.Keywords: spot-futures, lead-lags, volatility, VAR GJR-GARCH, Asian financial markets

  3. 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.

  4. Commodity Price Volatility: The Impact of Commodity Index Traders

    OpenAIRE

    Getu, Hailu; Weersink, Alfons

    2010-01-01

    Over the years, critics have argued that futures market prices have been either too low or too high. Speculators have often been the target for the wrath of those feeling the futures price does not properly reflect market fundamentals. Recently, the criticism has been vented toward a new type of speculator that has been blamed for the dramatic changes in agricultural commodity prices experienced over the last several years. Commodity index traders (CITs) and other large institutional traders ...

  5. Oil Price Uncertainty, Transport Fuel Demand and Public Health

    Science.gov (United States)

    He, Ling-Yun; Yang, Sheng; Chang, Dongfeng

    2017-01-01

    Based on the panel data of 306 cities in China from 2002 to 2012, this paper investigates China’s road transport fuel (i.e., gasoline and diesel) demand system by using the Almost Ideal Demand System (AIDS) and the Quadratic AIDS (QUAIDS) models. The results indicate that own-price elasticities for different vehicle categories range from −1.215 to −0.459 (by AIDS) and from −1.399 to −0.369 (by QUAIDS). Then, this study estimates the air pollution emissions (CO, NOx and PM2.5) and public health damages from the road transport sector under different oil price shocks. Compared to the base year 2012, results show that a fuel price rise of 30% can avoid 1,147,270 tonnes of pollution emissions; besides, premature deaths and economic losses decrease by 16,149 cases and 13,817.953 million RMB yuan respectively; while based on the non-linear health effect model, the premature deaths and total economic losses decrease by 15,534 and 13,291.4 million RMB yuan respectively. Our study combines the fuel demand and health evaluation models and is the first attempt to address how oil price changes influence public health through the fuel demand system in China. Given its serious air pollution emission and substantial health damages, this paper provides important insights for policy makers in terms of persistent increasing in fuel consumption and the associated health and economic losses. PMID:28257076

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

    Energy Technology Data Exchange (ETDEWEB)

    Oberndorfer, Ulrich [Federal Ministry of Economics and Technology, Scharnhorststr. 34-37, 10115 Berlin (Germany)

    2009-12-15

    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)

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

    Energy Technology Data Exchange (ETDEWEB)

    Oberndorfer, Ulrich, E-mail: ulrich.oberndorfer@bmwi.bund.d [Federal Ministry of Economics and Technology, Scharnhorststr. 34-37, 10115 Berlin (Germany)

    2009-12-15

    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.

  8. 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...

  9. Managing price volatility in an open economy environment

    OpenAIRE

    P.V. Srinivasan

    2004-01-01

    "This study examines the impact of alternative price stabilization policies for edible oils and oilseeds in India on the farmers growing oilseeds, the consumers of edible oils and the processing sector with the help of a multi market equilibrium dynamic simulation model. Price stability in the edible oil sector is important at least for two reasons. It can help realize the growth potential in the production of edible oils and improve the nutritional security of Indian households. While effici...

  10. 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.

  11. Review: Fuel Volatility Standards and Spark-Ignition Vehicle Driveability

    Energy Technology Data Exchange (ETDEWEB)

    Yanowitz, Janet; McCormick, Robert L.

    2016-03-14

    We've put spark-ignition engine fuel standards in place in order to ensure acceptable hot and cold weather driveability (HWD and CWD). Vehicle manufacturers and fuel suppliers have developed systems that meet our driveability requirements so effectively that drivers overwhelmingly find that their vehicles reliably start up and operate smoothly and consistently throughout the year. For HWD, fuels that are too volatile perform more poorly than those that are less volatile. Vapor lock is the apparent cause of poor HWD, but there is conflicting evidence in the literature as to where in the fuel system it occurs. Most studies have found a correlation between degraded driveability and higher dry vapor pressure equivalent or lower TV/L = 20, and less consistently with a minimum T50. For CWD, fuels with inadequate volatility can cause difficulty in starting and rough operation during engine warmup. The Driveability Index (DI)-a function of T10, T50, and T90-is well correlated with CWD in hydrocarbon fuels. For ethanol-containing fuels, a correction factor to the DI equation improves the correlation with CWD, although the best value for that factor has still not been determined. Ethanol increases the heat of vaporization. But, this is likely insignificant for E15 and lower concentration fuels. The impact of ethanol on driveability is likely due to its direct effect on vapor pressure at cold temperatures. For E51-E83 or flex-fuel blends, ASTM sets a minimum vapor pressure; however, published data suggest that a correction for the amount of ethanol in the fuel is needed to accurately predict CWD, possibly because ethanol has a higher lower-flammability limit.

  12. 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

  13. An Empirical Analysis of the Price Discovery Function of Shanghai Fuel Oil Futures Market

    Institute of Scientific and Technical Information of China (English)

    Wang Zhen; Liu Zhenhai; Chen Chao

    2007-01-01

    This paper analyzes the role of price discovery of Shanghai fuel oil futures market by using methods, such as unit root test, co-integration test, error correction model, Granger causality test, impulse-response function and variance decomposition. The results showed that there exists a strong relationship between the spot price of Huangpu fuel oil spot market and the futures price of Shanghai fuel oil futures market. In addition, the Shanghai fuel oil futures market exhibits a highly effective price discovery function.

  14. Price and Income Elasticities of Fuel Demand in Kosova

    Directory of Open Access Journals (Sweden)

    Valon Kastrati

    2015-02-01

    Full Text Available Gasoline and diesel are the main sources of fuel required for modern life and transportation, and the adjustment of gasoline and diesel prices has become a major public issue. The drastic fluctuations in recent international oil prices have affected retail gasoline and diesel prices also in the Western Balkan countries and prompted public opinion to question the pricing behaviors of oil companies. Kosova, in the period of 17 years, has gone from a post-conflict  environment  into a state which is considered to be under transition. It has passed the reconstruction period by orienting itself toward the economic development  and European Integrations.  Price and income elasticities of gasoline demand show whether the price policy, pursued by the Kosova government, can decrease the high gasoline consumption sufficiently or not. The high deficit of the current account of balance of payments is also a concern for the Kosova’s economy; which is estimated up to 17.3% of the GDP after the foreign intervention.   The deficit of current account is being considered is related to the energy dependency. Therefore, in order to overcome such problems, control over the gasoline demand is needed to control the deficit of current accounts.Keywords:  oil price, economic development, imports, trade deficit.

  15. 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.

  16. PREDICTABLE AND PRICE VOLATILITY RISK IN THE BRAZILIAN MARKET INTEGRATION OF SHRIMP

    Directory of Open Access Journals (Sweden)

    Israel José dos Santos Felipe

    2015-12-01

    Full Text Available The present paper has the purpose of investigate the dynamics of the volatility structure in the shrimp prices in the Brazilian fish market. Therefore, a description of the initial aspects of the shrimp price series was made. From this information, statistics tests were made and selected univariate models to be price predictors. It´s presented as an exploratory research of applied nature with quantitative approach. The database was collected through direct contact with the Society of General Warehouses of São Paulo (CEAGESP.The results showed that the great variability in the active price is directly related with the gain and loss of the market agents. The price series presents a strong seasonal and biannual effect. The average structure of price of shrimp in the last 12 years was R$ 11.58 and external factors besides the production and marketing (U.S. antidumping, floods and pathologies strongly affected the prices. Among the tested models for predicting prices of shrimp, four were selected, which through the prediction methodologies of "One Step Ahead" with 12 periods horizon , proved to be statistically more robust. We concluded that the dynamic pricing of commodity shrimp is strongly influenced by external productive factors and that these phenomena cause seasonal effects in the prices. Through statistical modeling is possible to minimize the risk and uncertainty embedded in the fish market, thus, the sales and marketing strategies for the Brazilian shrimp can be consolidated and widespread.

  17. 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%.

  18. 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.

  19. 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

  20. Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices

    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

  1. 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...

  2. 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 th

  3. 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 covolat

  4. Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices

    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 he

  5. Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models

    Directory of Open Access Journals (Sweden)

    Xuemei Gao

    2014-01-01

    Full Text Available The aim of this paper is to extend the lattice method proposed by Ritchken and Trevor (1999 for pricing American options with one-dimensional stochastic volatility models to the two-dimensional cases with strangle payoff. This proposed method is compared with the least square Monte-Carlo method via numerical examples.

  6. 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 an

  7. 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

  8. Option pricing for stochastic volatility model with infinite activity Lévy jumps

    Science.gov (United States)

    Gong, Xiaoli; Zhuang, Xintian

    2016-08-01

    The purpose of this paper is to apply the stochastic volatility model driven by infinite activity Lévy processes to option pricing which displays infinite activity jumps behaviors and time varying volatility that is consistent with the phenomenon observed in underlying asset dynamics. We specially pay attention to three typical Lévy processes that replace the compound Poisson jumps in Bates model, aiming to capture the leptokurtic feature in asset returns and volatility clustering effect in returns variance. By utilizing the analytical characteristic function and fast Fourier transform technique, the closed form formula of option pricing can be derived. The intelligent global optimization search algorithm called Differential Evolution is introduced into the above highly dimensional models for parameters calibration so as to improve the calibration quality of fitted option models. Finally, we perform empirical researches using both time series data and options data on financial markets to illustrate the effectiveness and superiority of the proposed method.

  9. IMPACTS OF EURO/USD VOLATILITY ON STEEL PRICES OF TURKEY

    Directory of Open Access Journals (Sweden)

    Engin AKMAN

    2016-02-01

    Full Text Available Steel sector is the driving force of industry as it provides raw or semi-finished materials for the majority of manufacturing industries. Turkey is an important steel producer, importer and exporter. 45% of steel imports are from EU-27 zone while only 24% of the exports are destined to the European countries. The study is concentrated on the effects of EUR/USD volatility on the steel prices of Turkey. VAR models, Impulse Response Functions, Granger Causality Tests and Variance Decomposition analysis are employed for the data covering the period of April 2008- January 2015. The study reveals that EUR/USD currency volatility has significant effect on steel prices explaining about 5-6% of the changes in the prices.

  10. 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.

  11. 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.

  12. Fuel prices scenario generation based on a multivariate GARCH model for risk analysis in a wholesale electricity market

    Energy Technology Data Exchange (ETDEWEB)

    Batlle, C.; Barquin, J. [Universidad Pontifica Comillas, Madrid (Spain). Instituto de Investigacion Tecnologica

    2004-05-01

    This paper presents a fuel prices scenario generator in the frame of a simulation tool developed to support risk analysis in a competitive electricity environment. The tool feeds different erogenous risk factors to a wholesale electricity market model to perform a statistical analysis of the results. As the different fuel series that are studied, such as the oil or gas ones, present stochastic volatility and strong correlation among them, a multivariate Generalized Autoregressive Conditional Heteroskedastic (GARCH) model has been designed in order to allow the generation of future fuel prices paths. The model makes use of a decomposition method to simplify the consideration of the multidimensional conditional covariance. An example of its application with real data is also presented. (author)

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

    Energy Technology Data Exchange (ETDEWEB)

    Ahmad Jalali-Naini [Institute for Education and Research in Management and Planning, Tehran (Iran); Maryam Kazemi Manesh [University of Mannheim (Germany)

    2006-06-15

    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)

  14. 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 probabilistic (i.e. interval or density) forecasting of electricity prices, iii) introducing an universal technique for model comparison. We propose new regime-switching stochastic volatility model with three regimes (negative jump, normal price, positive jump (spike)) where the transition matrix depends...... 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....

  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. 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.

  17. Characteristics of the volatility in the Korea composite stock price index

    Science.gov (United States)

    Lee, Chang-Yong

    2009-09-01

    We empirically analyze the time series of the Korea Composite Stock Price Index (KOSPI) from March of 1992 to February of 2007 using methods from the hydrodynamic turbulence. To this end, we focus on characteristics of the return and volatility, which are respectively the price change and a measure of the financial market fluctuation over a time interval. With these, we show that the non-Gaussian probability distribution of the return can be modeled by the convolution of the conditional probability distribution of the return given the volatility and the distribution of the volatility per se. From this model, we suggest that the non-Gaussian characteristic of the return results from the fluctuation of the volatility. That is, a large return is partly, if not entirely, due to the market fluctuation in a long time scale influencing the fluctuation in a short time scale via net information flow. We further show that the volatility has a multi-fractal property, which resembles the multifractality of the energy dissipation in the turbulence.

  18. 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.

  19. Price Discovery and Asymmetric Volatility Spillovers in Indian Spot-Futures Gold Markets

    Directory of Open Access Journals (Sweden)

    P. Srinivasan

    2012-12-01

    Full Text Available This study attempts to examine the price discovery process and volatility spillovers in Goldfutures and spot markets of National Commodity Derivatives Exchange (NCDEX by employingJohansen’s Vector Error Correction Model (VECM and the Bivariate ECM-EGARCH(1,1model. The empirical result confirms that the spot market of Gold plays a dominant role andserves as effective price discovery vehicle. Besides the study results show that the spillovers ofcertain information take place from spot market to futures market and the spot market of goldhave the capability to expose the all new information through the channel of its new innovation.

  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. 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.

  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. Pricing credit default swaps under a multi-scale stochastic volatility model

    Science.gov (United States)

    Chen, Wenting; He, Xinjiang

    2017-02-01

    In this paper, we consider the pricing of credit default swaps (CDSs) with the reference asset driven by a geometric Brownian motion with a multi-scale stochastic volatility (SV), which is a two-factor volatility process with one factor controlling the fast time scale and the other representing the slow time scale. A key feature of the current methodology is to establish an equivalence relationship between the CDS and the down-and-out binary option through the discussion of "no default" probability, while balancing the two SV processes with the perturbation method. An approximate but closed-form pricing formula for the CDS contract is finally obtained, whose accuracy is in the order of O(ɛ + δ +√{ ɛδ }) .

  4. Volatile oil prices: two propositions from economics and ''Realpolitik''

    Energy Technology Data Exchange (ETDEWEB)

    Wirl, F.

    1988-02-01

    This paper attempts to interpret OPEC's decision making process by analysing the political-economic behaviour of the Member Countries of the Organization of the Petroleum Exporting Countries. The economic objectives of OPEC members is first discussed under the hypothesis of cooperation versus competition. A loose marketing arrangement among OPEC members is then assumed. Both approaches, pure economics and Real-politik lead to the same conclusion: the likelihood of a volatile price increase.

  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. Relationship between financial speculation and food prices or price volatility: applying the principles of evidence-based medicine to current debates in Germany.

    Science.gov (United States)

    Bozorgmehr, Kayvan; Gabrysch, Sabine; Müller, Olaf; Neuhann, Florian; Jordan, Irmgard; Knipper, Michael; Razum, Oliver

    2013-10-16

    There is an unresolved debate about the potential effects of financial speculation on food prices and price volatility. Germany's largest financial institution and leading global investment bank recently decided to continue investing in agricultural commodities, stating that there is little empirical evidence to support the notion that the growth of agricultural-based financial products has caused price increases or volatility. The statement is supported by a recently published literature review, which concludes that financial speculation does not have an adverse effect on the functioning of the agricultural commodities market. As public health professionals concerned with global food insecurity, we have appraised the methodological quality of the review using a validated and reliable appraisal tool. The appraisal revealed major shortcomings in the methodological quality of the review. These were particularly related to intransparencies in the search strategy and in the selection/presentation of studies and findings; the neglect of the possibility of publication bias; a lack of objective or rigorous criteria for assessing the scientific quality of included studies and for the formulation of conclusions. Based on the results of our appraisal, we conclude that it is not justified to reject the hypothesis that financial speculation might have adverse effects on food prices/price volatility. We hope to initiate reflections about scientific standards beyond the boundaries of disciplines and call for high quality, rigorous systematic reviews on the effects of financial speculation on food prices or price volatility.

  7. An inverse problem of determining the implied volatility in option pricing

    Science.gov (United States)

    Deng, Zui-Cha; Yu, Jian-Ning; Yang, Liu

    2008-04-01

    In the Black-Scholes world there is the important quantity of volatility which cannot be observed directly but has a major impact on the option value. In practice, traders usually work with what is known as implied volatility which is implied by option prices observed in the market. In this paper, we use an optimal control framework to discuss an inverse problem of determining the implied volatility when the average option premium, namely the average value of option premium corresponding with a fixed strike price and all possible maturities from the current time to a chosen future time, is known. The issue is converted into a terminal control problem by Green function method. The existence and uniqueness of the minimum of the control functional are addressed by the optimal control method, and the necessary condition which must be satisfied by the minimum is also given. The results obtained in the paper may be useful for those who engage in risk management or volatility trading.

  8. Fuel, environmental, and transmission pricing considerations in a deregulated environment

    Science.gov (United States)

    Obessis, Emmanouil Vlassios

    The 1992 National Energy Policy Act drastically changed the traditional structure of the vertically integrated utility. To facilitate increased competition in the power utility sector, all markets related to power generation have been opened to free competition and trading. To survive in the new competitive environment, power producers need to reduce costs and increase efficiency. Fuel marketing strategies are thus, getting more aggressive and fuel markets are becoming more competitive, offering more options regarding fuel supplies and contracts. At the same time, the 1990 Clean Air Act Amendments are taking effect. Although tightening the emission standards, this legislation offers utilities a wider flexibility in choosing compliance strategies. It also set maximum annual allowable levels replacing the traditional uniform maximum emission rates. The bill also introduced the concept of marketable emission allowances and provided for the establishment of nationwide markets where allowances may be traded, sold, or purchased. Several fuel- and emission-constrained algorithms have been historically presented, but those two classes of constraints, in general, were handled independently. The multiobjective optimization model developed in this research work, concurrently satisfies sets of detailed fuel and emission limits, modeling in a more accurate way the fuel supply and environmental limitations and their complexities in the new deregulated operational environment. Development of the implementation software is an integral part of this research project. This software may be useful for both daily scheduling activities and short-term operational planning. A Lagrangian multipliers-based variant is used to solve the problem. Single line searches are used to update the multipliers, thus offering attractive execution times. This work also investigates the applicability of cooperative games to the problem of transmission cost allocation. Interest in game theory as a powerful

  9. Pricing foreign equity option under stochastic volatility tempered stable Lévy processes

    Science.gov (United States)

    Gong, Xiaoli; Zhuang, Xintian

    2017-10-01

    Considering that financial assets returns exhibit leptokurtosis, asymmetry properties as well as clustering and heteroskedasticity effect, this paper substitutes the logarithm normal jumps in Heston stochastic volatility model by the classical tempered stable (CTS) distribution and normal tempered stable (NTS) distribution to construct stochastic volatility tempered stable Lévy processes (TSSV) model. The TSSV model framework permits infinite activity jump behaviors of return dynamics and time varying volatility consistently observed in financial markets through subordinating tempered stable process to stochastic volatility process, capturing leptokurtosis, fat tailedness and asymmetry features of returns. By employing the analytical characteristic function and fast Fourier transform (FFT) technique, the formula for probability density function (PDF) of TSSV returns is derived, making the analytical formula for foreign equity option (FEO) pricing available. High frequency financial returns data are employed to verify the effectiveness of proposed models in reflecting the stylized facts of financial markets. Numerical analysis is performed to investigate the relationship between the corresponding parameters and the implied volatility of foreign equity option.

  10. 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.

  11. Does EU's energy dependence on Russia increase price volatility for consumers?

    Science.gov (United States)

    Yekeler, Zeynep

    Europe's dependence on natural gas imports from Russia has raised questions about energy risk and the vulnerability of the European countries, especially after the supply cuts in 2006, 2008, 2009, and 2012. The implementation of the Third Energy Package to finally unify European energy markets by linking the states located on the periphery to the well connected gas hubs in Northern Europe has been slow due to a lack of political will across Europe. This has enabled Russian Gazprom to retain its position as a major player in European markets and hinder any European effort to diversify the energy portfolio of the region. Using residential natural gas and electricity price data from 2000 through 2014, this paper analyzes the impact of EU's import reliance on natural gas from Russia and the supply disruptions on the volatility of natural gas and electricity prices through a fixed effects regression model. Results indicate that while the size of Russian natural gas imports does not significantly affect natural gas and electricity price volatility in EU countries, security supply measures such as natural gas stocks matter, especially for Southeast European countries that consistently pay more according to the results. The paper concludes by discussing the importance of formulating policies that not only aim to reduce overall EU dependence but minimize Southeastern Europe's vulnerabilities. Policy suggestions include increasing cross-border interconnectors and storage capacity as well as increasing LNG import capacity by building regasification terminals in periphery countries like Greece, Bulgaria, Romania and Slovenia.

  12. 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

  13. A long-term/short-term model for daily electricity prices with dynamic volatility

    Energy Technology Data Exchange (ETDEWEB)

    Schlueter, Stephan

    2010-09-15

    In this paper we introduce a new stochastic long-term/short-term model for short-term electricity prices, and apply it to four major European indices, namely to the German, Dutch, UK and Nordic one. We give evidence that all time series contain certain periodic (mostly annual) patterns, and show how to use the wavelet transform, a tool of multiresolution analysis, for filtering purpose. The wavelet transform is also applied to separate the long-term trend from the short-term oscillation in the seasonal-adjusted log-prices. In all time series we find evidence for dynamic volatility, which we incorporate by using a bivariate GARCH model with constant correlation. Eventually we fit various models from the existing literature to the data, and come to the conclusion that our approach performs best. For the error distribution, the Normal Inverse Gaussian distribution shows the best fit. (author)

  14. 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...... of an ACH model for the time-varying jump intensities coupled with a relatively simple log-linear structure for the jump sizes. Lastly, we discuss how the resulting reduced form model structure for each of the three components may be used in the construction of out-of-sample forecasts for the total return...

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

    Energy Technology Data Exchange (ETDEWEB)

    Theodorou, Petros [Department of Economics, Athens University of Economics and Business, 76, Patission Street, 104 34 Athens (Greece); Karyampas, Dimitrios [School of Economics, Mathematics and Statistics, Birkbeck, University of London (United Kingdom)

    2008-07-15

    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)

  16. 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.

  17. Accounting for fuel price risk when comparing renewable togas-fired generation: the role of forward natural gas prices

    Energy Technology Data Exchange (ETDEWEB)

    Bolinger, Mark; Wiser, Ryan; Golove, William

    2004-07-17

    Unlike natural gas-fired generation, renewable generation (e.g., from wind, solar, and geothermal power) is largely immune to fuel price risk. If ratepayers are rational and value long-term price stability, then--contrary to common practice--any comparison of the levelized cost of renewable to gas-fired generation should be based on a hedged gas price input, rather than an uncertain gas price forecast. This paper compares natural gas prices that can be locked in through futures, swaps, and physical supply contracts to contemporaneous long-term forecasts of spot gas prices. We find that from 2000-2003, forward gas prices for terms of 2-10 years have been considerably higher than most contemporaneous long-term gas price forecasts. This difference is striking, and implies that comparisons between renewable and gas-fired generation based on these forecasts over this period have arguably yielded results that are biased in favor of gas-fired generation.

  18. 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.

  19. Study on Spillover Effect of Energy Price Volatility in China and Abroad%国内外能源价格波动溢出效应研究

    Institute of Scientific and Technical Information of China (English)

    王世进

    2013-01-01

    As China's energy consumption is increasingly depending on the international market, price fluctuations in international energy have a significant impact on China' s economic development and the security and sustainable development of China's energy industry. There has been little research on the mutual influence between international energy prices and Chinese domestic energy prices. Based on the Granger causality tests, VAR and DCC-GARCH models, we analyze the influence of international energy price vibration on Chinese energy prices using relevant data and fuels and power purchasing price index. We found a long-running equilibrium relationship and volatility spillover effect between international energy prices and Chinese energy prices, and one-way price leading relationship exists between both in the short term. With the rapid development of China's energy industry and innovation and market development of energy derivatives, demand for energy price hedging instruments in domestic energy industry will become more urgent. Borrowing from international models, China will be able to firmly grasp the energy pricing right to maintain the secure development of its energy industry and speed up the rapid integration of China's energy pricing mechanism with the international energy market. This approach will better reflect the demands of China's energy market and effectively guarantee the healthy and orderly development of China's energy industry and stable economic development. We conclude by suggesting energy legislation, energy cooperation with consumption countries, and the promotion of an energy derivatives futures market in order to maintain the healthy development of the energy industry.%本文利用相关数据及燃料、动力类购进价格指数,运用Granger因果检验,VAR和DCC-GARCH模型,分析了国际能源价格波动对我国能源价格平衡的影响.通过研究,表明国际能源价格与我国能源价格间存在长期的稳定协整关系和双

  20. Volatility spillovers of rupee-dollar and rupee-euro exchange rates on Indian stock prices: evidence from GARCH model

    OpenAIRE

    I, Sahadudheen I

    2013-01-01

    This paper examines the effect of volatility in both rupee-dollar and rupee-euro exchange rates on stock prices in India using daily data from 3-Apr-2007 to 30-Mar-2012. Adopting a generalized autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) model, the study suggests a negative relationship between exchange rate and stock prices in India. Even though India is a major trade partner of European Union, the study couldn’t find any significant statistical effect...

  1. Estimation of Gasoline Price Elasticities of Demand for Automobile Fuel Efficiency in Korea: A Hedonic Approach

    Energy Technology Data Exchange (ETDEWEB)

    Lee, Sung Tae [Sungkyunkwan University, Seoul (Korea); Lee, Myunghun [Keimyung University, Taegu (Korea)

    2001-03-01

    This paper estimates the gasoline price elasticities of demand for automobile fuel efficiency in Korea to examine indirectly whether the government policy of raising fuel prices is effective in inducing less consumption of fuel, relying on a hedonic technique developed by Atkinson and Halvorsen (1984). One of the advantages of this technique is that the data for a single year, without involving variation in the price of gasoline, is sufficient in implementing this study. Moreover, this technique enables us to circumvent the multicollinearity problem, which had reduced reliability of the results in previous hedonic studies. The estimated elasticities of demand for fuel efficiency with respect to the price of gasoline, on average, is 0.42. (author). 30 refs., 3 tabs.

  2. Bulk Fuel Pricing: DOD Needs to Take Additional Actions to Establish a More Reliable Methodology

    Science.gov (United States)

    2015-11-19

    Defense Bulk Fuel Pricing: DOD Needs to Take Additional Actions to Establish a More Reliable Methodology Dear Secretary Carter: Each fiscal...that the Department of Defense (DOD) will charge for fuel, which the military services and other fuel customers use in developing their annual budget...official with the Office of the Under Secretary of Defense (Comptroller) who oversees DOD’s bulk fuel program told us that the department expects to

  3. 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.

  4. 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.

  5. TRADE POLICY CHANGE AND PRICE VOLATILITY SPILLOVER IN A CUSTOMS UNION: A CASE STUDY OF LAMB TRADE BETWEEN NAMIBIA AND SOUTH AFRICA

    Directory of Open Access Journals (Sweden)

    Rakhal Sarker

    2015-01-01

    Full Text Available Namibia introduced the “Small Stock Marketing Scheme” (SSMS in 2004 which replaced 15% export duty on live sheep exports to South Africa with progressively demanding quantitative restrictions. This policy increased price volatility in the Namibian sheep market. We used relevant monthly price data and employed EGARCH modeling to determine if price volatility spilled-over from the sheep market in Namibia to South African sheep market. About 71 percent of the volatility in the Namibian sheep market is transmitted to the retail market in South Africa and the transmitted volatility remains persistent.

  6. A state space approach to the estimation of multi-factor affine stochastic volatility option pricing models

    NARCIS (Netherlands)

    van der Ploeg, A.P.C.; Boswijk, H.P.; de Jong, F.

    2003-01-01

    We propose a class of stochastic volatility (SV) option pricing models that is more flexible than the more conventional models in different ways. We assume the conditional variance of the stock returns to be driven by an affine function of an arbitrary number of latent factors, which follow mean-rev

  7. Volatile Fuel Hydrocarbons and MTBE in the Environment

    Science.gov (United States)

    Cozzarelli, I. M.; Baehr, A. L.

    2003-12-01

    Petroleum hydrocarbons (hydrocarbons that result from petroleum products such as oil, gasoline, or diesel fuel) are among the most commonly occurring and widely distributed contaminants in the environment. Volatile hydrocarbons are the lighter fraction of the petroleum hydrocarbons and, together with fuel oxygenates, are most often released from crude oil and liquid petroleum products produced from crude oil. The demand for crude oil stems from the world's ever-growing energy need. From 1970 to 1999, primary energy production of the world grew by 76% (Energy Information Administration, 2001), with fossil fuels (crude oil, natural gas, and coal) accounting for ˜85% of all energy produced worldwide (Figure 1). World crude oil production reached a record 68 million barrels (bbl) per day (1.08×1010 L d-1) in 2000. The world's dependence on oil as an energy source clearly is identified as contributing to global warming and worsening air and water quality. (7K)Figure 1. World primary energy production by source from 1970 to 1999 (Energy Information Administration, 2001). Petroleum products are present in Earth's subsurface as solids, liquids, or gases. This chapter presents a summary of the environmental problems and issues related to the use of liquid petroleum, or oil. The focus is on the sources of volatile hydrocarbons and fuel oxygenates and the geochemical behavior of these compounds when they are released into the environment. Although oxygenates currently in commercial use include compounds other than methyl t-butyl ether (MTBE), such as ethanol (ETOH), most of the information presented here focuses on MTBE because of its widespread occurrence. The environmental impact of higher molecular weight hydrocarbons that also originate from petroleum products is described in (Chapter 9.13, Abrajano et al.).Crude oil occurs within the Earth and is a complex mixture of natural compounds composed largely of hydrocarbons containing only hydrogen and carbon atoms. The minor

  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. Active risk management required. Increasingly volatile gas prices require covering; Aktives Risikomanagement gefragt. Zunehmend volatile Gaspreise erfordern Absicherung

    Energy Technology Data Exchange (ETDEWEB)

    Lange, Michael; Braun, Christoph [Bayern LB, Muenchen (Germany)

    2011-07-01

    There is a change of paradigm going on in the continental European gas market. Gas-to-gas competition is icnreasing and may replace the oil price peg. After a massive price drop, gas prices have soared again since early 2010. Against this background, risk management tools are getting more important. The authors describe natural gas price trends in Europe, as well as their dependence on international parameters, and also present options on how to achieve greater security with financial products.

  10. Modeling the influence of precursor volatility and molecular structure on secondary organic aerosol formation using evaporated fuel experiments

    Directory of Open Access Journals (Sweden)

    S. H. Jathar

    2013-09-01

    Full Text Available We use SOA production data from an ensemble of evaporated fuels to test various SOA formation models. Except for gasoline, traditional SOA models focusing exclusively on volatile species in the fuels under-predict the observed SOA formation. These models can be improved dramatically by accounting for lower volatility species, but at the cost of a large set of free parameters. In contrast, a SOA model based only on the volatility of the precursor, starting with the volatility distribution of the evaporated fuels and optimized for the volatility reduction of first-generation products, reasonably reproduces the observed SOA formation with relatively few free parameters. The exceptions are exotic fuels such as Fischer-Tropsch fuels that expose the central assumption of the volatility based model that most emissions consist of complex mixtures displaying reasonably average behavior. However, for the vast majority of fuels, the volatility based model performs well.

  11. Interdependencies between Biofuel, Fuel and Food Prices: The Case of the Brazilian Ethanol Market

    Directory of Open Access Journals (Sweden)

    Deborah Bentivoglio

    2016-06-01

    Full Text Available Brazil is currently the world’s largest sugar producer and exporter, as well as the world’s largest producer and consumer of sugarcane ethanol as a transportation fuel. The growth of this market originates from a combination of government policies and technological change, in both the sugarcane ethanol processing sector and the manufacture of flex-fuel vehicles. In recent years however, ethanol production has been questioned due to its possible impact on food prices. The present paper aims to explore the impact of Brazilian ethanol prices on sugar and gasoline prices. The relationships between a times series of these prices are investigated using a Vector Error Correction Model (VECM, supported by Granger Causality tests. In addition, Impulse Response Functions (IRFs and Forecast Error Variance Decompositions (FEVD are computed in order to investigate the dynamic interrelationships within these series. Our results suggest that ethanol prices are affected by both food and fuel prices, but that there is no strong evidence that changes in ethanol prices have an impact on food prices.

  12. Payback Period for Emissions Abatement Alternatives: Role of Regulation and Fuel Prices

    DEFF Research Database (Denmark)

    Zis, Thalis; Angeloudis, Panagiotis; Bell, Michael G. H.

    2016-01-01

    of the fuel used. This paper presents a literature review of emissions abatement options and relevant research in the field. A cost–benefit methodology to assess emission reduction investments from ship owners is also presented. A study examined the effects of recent drops in bunker fuel price to the payback...

  13. Payback Period for Emissions Abatement Alternatives: Role of Regulation and Fuel Prices

    DEFF Research Database (Denmark)

    Zis, Thalis; Angeloudis, Panagiotis; Bell, Michael G. H.;

    2016-01-01

    of the fuel used. This paper presents a literature review of emissions abatement options and relevant research in the field. A cost–benefit methodology to assess emission reduction investments from ship owners is also presented. A study examined the effects of recent drops in bunker fuel price to the payback...

  14. The Value of Renewable Energy as a Hedge Against Fuel Price Risk: Analytic Contributions from Economic and Finance Theory

    Energy Technology Data Exchange (ETDEWEB)

    Bolinger, Mark A; Wiser, Ryan

    2008-09-15

    For better or worse, natural gas has become the fuel of choice for new power plants being built across the United States. According to the Energy Information Administration (EIA), natural gas-fired units account for nearly 90% of the total generating capacity added in the U.S. between 1999 and 2005 (EIA 2006b), bringing the nationwide market share of gas-fired generation to 19%. Looking ahead over the next decade, the EIA expects this trend to continue, increasing the market share of gas-fired generation to 22% by 2015 (EIA 2007a). Though these numbers are specific to the US, natural gas-fired generation is making similar advances in many other countries as well. A large percentage of the total cost of gas-fired generation is attributable to fuel costs--i.e., natural gas prices. For example, at current spot prices of around $7/MMBtu, fuel costs account for more than 75% of the levelized cost of energy from a new combined cycle gas turbine, and more than 90% of its operating costs (EIA 2007a). Furthermore, given that gas-fired plants are often the marginal supply units that set the market-clearing price for all generators in a competitive wholesale market, there is a direct link between natural gas prices and wholesale electricity prices. In this light, the dramatic increase in natural gas prices since the 1990s should be a cause for ratepayer concern. Figure 1 shows the daily price history of the 'first-nearby' (i.e., closest to expiration) NYMEX natural gas futures contract (black line) at Henry Hub, along with the futures strip (i.e., the full series of futures contracts) from August 22, 2007 (red line). First, nearby prices, which closely track spot prices, have recently been trading within a $7-9/MMBtu range in the United States and, as shown by the futures strip, are expected to remain there through 2012. These price levels are $6/MMBtu higher than the $1-3/MMBtu range seen throughout most of the 1990s, demonstrating significant price escalation for

  15. The Value of Renewable Energy as a Hedge Against Fuel Price Risk: Analytic Contributions from Economic and Finance Theory

    Energy Technology Data Exchange (ETDEWEB)

    Bolinger, Mark A; Wiser, Ryan

    2008-09-15

    For better or worse, natural gas has become the fuel of choice for new power plants being built across the United States. According to the Energy Information Administration (EIA), natural gas-fired units account for nearly 90% of the total generating capacity added in the U.S. between 1999 and 2005 (EIA 2006b), bringing the nationwide market share of gas-fired generation to 19%. Looking ahead over the next decade, the EIA expects this trend to continue, increasing the market share of gas-fired generation to 22% by 2015 (EIA 2007a). Though these numbers are specific to the US, natural gas-fired generation is making similar advances in many other countries as well. A large percentage of the total cost of gas-fired generation is attributable to fuel costs--i.e., natural gas prices. For example, at current spot prices of around $7/MMBtu, fuel costs account for more than 75% of the levelized cost of energy from a new combined cycle gas turbine, and more than 90% of its operating costs (EIA 2007a). Furthermore, given that gas-fired plants are often the marginal supply units that set the market-clearing price for all generators in a competitive wholesale market, there is a direct link between natural gas prices and wholesale electricity prices. In this light, the dramatic increase in natural gas prices since the 1990s should be a cause for ratepayer concern. Figure 1 shows the daily price history of the 'first-nearby' (i.e., closest to expiration) NYMEX natural gas futures contract (black line) at Henry Hub, along with the futures strip (i.e., the full series of futures contracts) from August 22, 2007 (red line). First, nearby prices, which closely track spot prices, have recently been trading within a $7-9/MMBtu range in the United States and, as shown by the futures strip, are expected to remain there through 2012. These price levels are $6/MMBtu higher than the $1-3/MMBtu range seen throughout most of the 1990s, demonstrating significant price escalation for

  16. Dimethyl Ether (DME) Assessment of Viscosity Using the New Volatile Fuel Viscometer (VFVM)

    DEFF Research Database (Denmark)

    Sivebæk, Ion Marius; Sorenson, Spencer C; Jakobsen, J.

    2001-01-01

    This paper describes the development and test of a viscometer capable of handling dimethyl Ether (DME) and other volatile fuels. DME has excellent combustion characteristics in diesel engines but the injection equipment can break down prematurely due to extensive wear when handling this fuel. It ...

  17. Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model

    Science.gov (United States)

    Perelló, Josep

    2007-08-01

    The expOU stochastic volatility model is capable of reproducing fairly well most important statistical properties of financial markets daily data. Among them, the presence of multiple time scales in the volatility autocorrelation is perhaps the most relevant which makes appear fat tails in the return distributions. This paper wants to go further on with the expOU model we have studied in Ref. [J. Masoliver, J. Perelló, Quant. Finance 6 (2006) 423] by exploring an aspect of practical interest. Having as a benchmark the parameters estimated from the Dow Jones daily data, we want to compute the price for the European option. This is actually done by Monte Carlo, running a large number of simulations. Our main interest is to “see” the effects of a long-range market memory from our expOU model in its subsequent European call option. We pay attention to the effects of the existence of a broad range of time scales in the volatility. We find that a richer set of time scales brings the price of the option higher. This appears in clear contrast to the presence of memory in the price itself which makes the price of the option cheaper.

  18. Molecular Beam Studies of Volatile Liquids and Fuel Surrogates Using Liquid Microjets

    Science.gov (United States)

    2014-12-18

    Molecular Beam Studies of Volatile Liquids and Fuel Surrogates Using Liquid Microjets Gilbert Nathanson, Department of Chemistry University of...alter the dynamics of evaporation from the commercial jet fuel Jet A. These results are outlined below. Exploring Fuels in Vacuum using Liquid ...hydrocarbon liquids inside a vacuum chamber. These jets, narrower than a human hair, are typically 10 – 40 µm in diameter. Their small surface area and

  19. 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.

  20. Vehicle type choice under the influence of a tax reform and rising fuel prices

    DEFF Research Database (Denmark)

    Mabit, Stefan Lindhard

    2014-01-01

    Differentiated vehicle taxes are considered by many a useful tool for promoting environmentally friendly vehicles. Various structures have been implemented in several countries, e.g. Ireland, France, The Czech Republic, and Denmark. In many countries the tax reforms have been followed by a steep...... change in new vehicle purchases toward more diesel vehicles and more fuel-efficient vehicles. The paper analyses to what extent a vehicle tax reform similar to the Danish 2007 reform may explain changes in purchasing behaviour. The paper investigates the effects of a tax reform, fuel price changes......, and technological development on vehicle type choice using a mixed logit model. The model allows a simulation of the effect of car price changes that resemble those induced by the tax reform. This effect is compared to the effects of fuel price changes and technology improvements. The simulations show...

  1. Bio fuels price; El precio de los biocombustibles

    Energy Technology Data Exchange (ETDEWEB)

    Rotman, D.

    2008-07-01

    he process of producing ethanol from corn is very expensive. The best bio-fuel is very far from the service stations and the farmers show difficulties to change his work methods. Really have we a suitable technology to produce bio-fuels?.

  2. 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...

  3. Price of Gas Fuels Tough Choices for Adjuncts

    Science.gov (United States)

    Grasgreen, Allie

    2008-01-01

    The cost of gasoline has made the art of juggling two or more teaching jobs at different institutions all the more difficult for many adjunct faculty members, as continuing price hikes at the nation's gasoline stations cut into salaries that often do not cover living expenses to begin with. These new pressures are particularly evident in…

  4. Effect of worldwide oil price fluctuations on biomass fuel use and child respiratory health: evidence from Guatemala.

    Science.gov (United States)

    Venkataramani, Atheendar S; Fried, Brian J

    2011-09-01

    We examined the effect of worldwide oil price fluctuations on household fuel use and child respiratory health in Guatemala. We regressed measures of household fuel use and child respiratory health on the average worldwide oil price and a rich set of covariates. We leveraged variation in oil prices over the 6-month period of the survey to identify associations between fuel prices, fuel choice, and child respiratory outcomes. A $1 (3.4% point) increase in worldwide fuel prices was associated with a 2.8% point decrease in liquid propane gasoline use (P increase in wood use (P increase in the likelihood of the child reporting a respiratory symptom (P prices and the fuel choice indicators was largest for households in the middle of the income distribution. Fluctuations in worldwide fuel prices affected household fuel use and, consequently, child health. Policies to help households tide over fuel price shocks or reduce pollution from biomass sources would confer positive health benefits. Such policies would be most effective if they targeted both poor and middle-income households.

  5. Volatile Elements Retention During Injection Casting of Metallic Fuel Slug for a Recycling Fast Reactor

    Energy Technology Data Exchange (ETDEWEB)

    Kim, Jong-Hwan; Song, Hoon; Kim, Hyung-Tae; Oh, Seok-Jin; Kuk, Seoung-Woo; Keum, Chang-Woon; Lee, Jung-Won; Kim, Ki-Hwan; Lee, Chan-Bock [Korea Atomic Energy Research Institute, Daejeon (Korea, Republic of)

    2015-10-15

    The as-cast fuels prepared by injection casting were sound and the internal integrities were found to be satisfactory through gamma-ray radiography. U and Zr were uniform throughout the matrix of the slug, and the impurities, i.e., oxygen, carbon, and nitrogen, satisfied the specification of the total impurities of less than 2000 ppm. The losses of the volatile Mn were effectively controlled using argon over pressures, and dynamic pumping for a period of time before injection showed no detrimental effect on the Mn loss by vaporization. This result suggests that volatile minor actinide-bearing fuels for SFRs can be prepared by improved injection methods. A practical process of metallic fuel fabrication for an SFR needs to be cost efficient, suitable for remote operation, and capable of mass production while reducing the amount of radioactive waste. Injection casting was chosen as the most promising technique, and this technique has been applied to fuel slug fabrication for the Experimental Breeder Reactor-II (EBR-II) driver and the Fast Flux Test Facility (FFTF) fuel pins. Because of the simplistic nature of the process and equipment, compared to other processes examined, this process has been successfully used in a remote operation environment for fueling of the EBR-II reactor. In this study, several injection casting methods were applied in order to prepare metallic fuel for an fast reactor that control the transport of volatile elements during fuel melting and casting. Mn was selected as a surrogate alloy since it possesses a total vapor pressure equivalent to that of a volatile minor actinide-bearing fuel. U.10Zr and U.10Zr.5Mn (wt%) metallic fuels were injection cast under various casting conditions and their soundness was characterized.

  6. Fuel conservation under rational expectations of the energy price evolution

    Energy Technology Data Exchange (ETDEWEB)

    Wirl, F.

    1986-06-01

    It is supposed, that a consumer demands a 'service' rather than a commodity. This service can be generated from a durable and non-durable good, e.g., 'thermal comfort' is the product of two at least partially substitutable factors: fuel and capital (insulation, heating system). Now, the choice of an efficient fuel conservation programme requires that the consumers integrate the counteractions of the energy producers. This leads formally to a (differential) game situation, where it will be shown that the expansion of capital stock based on a myopic analysis may lead to a too large investment in fuel conservation.

  7. 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...

  8. Comparative analysis of US and Canadian transit ridership response to rising fuel prices

    Energy Technology Data Exchange (ETDEWEB)

    Haire, A.R.; Machemeehl, R.B. [Texas Univ., Austin, TX (United States)

    2007-07-01

    Since worldwide gasoline prices have risen significantly over the last three years, several transit agencies have indicated that fuel price growth is the major impetus to increased transit ridership. This paper presented the results of a research project that builds upon previous research conducted in 2006 which found high correlation between fuel price and transit ridership in several historically auto-based United States cities. This comparative research attempted to determine whether a similar pattern of fuel cost-driven mode choice could be observed in three Canadian cities. The selected cities, Calgary, Ottawa, and Vancouver, were chosen based on their relative levels of auto-orientation and the extent and variety of transit services offered. It was concluded that although ridership and fuel prices grew in all three cities, the rates of growth do not correspond and correlation is unlikely. Reasons for this inconsistency with patterns in American cities may involve higher-density city layouts and commute distances. 3 refs., 3 tabs., 7 figs.

  9. Long term fuel price elasticity: effects on mobility tool ownership and residential location choice - Final report

    Energy Technology Data Exchange (ETDEWEB)

    Erath, A.; Axhausen, K. W.

    2010-04-15

    This comprehensive final report for the Swiss Federal Office of Energy (SFOE) examines the long-term effects of fuel price elasticity. The study analyses how mobility tool usage and ownership as well as residence location choice are affected by rising fuel costs. Based on econometric models, long-term fuel price elasticity is derived. The authors quote that the demand reactions to higher fuel prices mainly observed are the reduction of mileage and the consideration of smaller-engined and diesel-driven cars. As cars with natural gas powered engines and electric drives were hardly considered in the survey, the results of the natural gas model can, according to the authors, only serve as a trend. No stable model could be estimated for the demand and usage of electric cars. A literature overview is presented and the design of the survey is discussed, whereby socio-demographical variables and the effects of price and residence changes are discussed. Modelling of mobility tool factors and results obtained are looked at. Finally, residence choice factors are modelled and discussed. Several appendices complete the report.

  10. 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

    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...... statisticaltechniques are used to separate realized volatility into its continuous sample path and jumpcomponents, thus enhancing forecasting performance. We generalize the heterogeneous autoregressive(HAR) model to include implied volatility as an additional regressor, and to the separateforecasting of the realized...

  11. The Economy-wide Impact of Fuel Oil, Gas and Electricity Pricing and Subsidy Policies as well as Their Consumption Improvement Efficiency in Indonesia

    OpenAIRE

    Djoni Hartono; Budy P. Resosudarmo

    2006-01-01

    In Indonesia, the government determines the domestic prices of energy; namely fuel oil, such as gasoline, automotive diesel oil (ADO) and kerosene, gas and electricity. In response to the weakening of rupiah during the 1997/1998 economic crisis and the increasing of the world price of crude oil, the government tends to increase the energy subsidy on domestic prices of fuel oil, gas and electricity, rather than letting these domestic prices follows the world prices of fuel oil, gas and electri...

  12. Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model

    CERN Document Server

    Perello, J

    2006-01-01

    The expOU stochastic volatility model is capable of reproducing fairly well most important statistical properties of financial markets daily data. Among them, the presence of multiple time scales in the volatility autocorrelation is perhaps the most relevant which makes appear fat tails in the return distributions. This paper wants to go further on with the expOU model we have studied in Ref. 1 by exploring an aspect of practical interest. Having as a benchmark the parameters estimated from the Dow Jones daily data, we want to compute the price for the European option. This is actually done by Monte Carlo, running a large number of simulations. Our main interest is to "see" the effects of a long-range market memory from our expOU model in its subsequent European call option. We pay attention to the effects of the existence of a broad range of time scales in the volatility. We find that a richer set of time scales brings to a higher price of the option. This appears in clear contrast to the presence of memory ...

  13. 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 ...

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

    DEFF Research Database (Denmark)

    Kokholm, Thomas; Stisen, Martin

    2015-01-01

    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...

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

    DEFF Research Database (Denmark)

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

    important and improves option …fit by 18% on average. A U-shaped pricing kernel improves the option fit by 17% on average, and more so for two-factor models. Fat tails improve option …fit by just over 3% on average, and more so when a U-shaped pricing kernel is applied. Our results suggest that the three...

  16. 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.

  17. Calibration of the Volatility in Option Pricing Using the Total Variation Regularization

    Directory of Open Access Journals (Sweden)

    Yu-Hua Zeng

    2014-01-01

    Full Text Available In market transactions, volatility, which is a very important risk measurement in financial economics, has significantly intimate connection with the future risk of the underlying assets. Identifying the implied volatility is a typical PDE inverse problem. In this paper, based on the total variation regularization strategy, a bivariate total variation regularization model is proposed to estimate the implied volatility. We not only prove the existence of the solution, but also provide the necessary condition of the optimal control problem—Euler-Lagrange equation. The stability and convergence analyses for the proposed approach are also given. Finally, numerical experiments have been carried out to show the effectiveness of the method.

  18. Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing

    NARCIS (Netherlands)

    M. Asai (Manabu); M.J. McAleer (Michael)

    2013-01-01

    textabstractThe paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which accommodates leverage, feedback effects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace

  19. Prices of agricultural commodities, biofuels and fossil fuels in long-run relationships: a comparative study for the USA and Europe

    DEFF Research Database (Denmark)

    Groth, Tanja; Bentzen, Jan

    2013-01-01

    Time-series data for the USA and Europe representing prices of agricultural commodities, biofuels and fossil fuels are used for a comparative analysis of long-run price relationships. There is some evidence for cointegration between ethanol and gasoline, especially for the USA, and in the case of...... of biodiesel, stronger evidence of cointegration between biodiesel, diesel and soya oil for both the USA and Europe. Finally, biofuel prices do not seem to influence agricultural commodity prices or fossil fuel prices....

  20. Liquidity, Volatility and Stock Price Adjustment: Evidence from Seasoned Equity Offerings in an Emerging Market

    OpenAIRE

    Chia-Cheng Ho; Chin-Chuan Lee; Chien-Ting Lin; C. Edward Wang

    2005-01-01

    Using data from the Taiwanese stock market, an emerging market, this paper documents positive changes in liquidity and volatility around seasoned equity offerings (SEOs). These findings are consistent with the uncertain signal hypothesis that investors with diverse views on the information content of SEOs are likely to induce larger trading activity and subsequent higher stock return volatility. We also provide direct evidence that changes in liquidity is positively associated with stock pric...

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

    Energy Technology Data Exchange (ETDEWEB)

    Fong, Wai Mun; See, Kim Hock [Department of Finance and Accounting, National University of Singapore, 119260 Kent Ridge Cresent (Singapore)

    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. Gasoline prices, gasoline consumption, and new-vehicle fuel economy: Evidence for a large sample of countries

    OpenAIRE

    Paul J Burke; Shuhei Nishitateno

    2011-01-01

    Countries differ considerably in terms of the price drivers pay for gasoline. This paper uses data for a large sample of countries to provide new evidence on the implications of these differences for the consumption of gasoline for road transport and the fuel economy of new vehicles. To address the potential for simultaneity bias in ordinary least squares estimation, we use a country's oil reserves as an instrument for its average gasoline pump price. We obtain estimates of the long-run price...

  3. Volatility Risk

    OpenAIRE

    Zhiguang Wang

    2009-01-01

    Classical capital asset pricing theory tells us that riskaverse investors would require higher returns to compensate for higher risk on an investment. One type of risk is price (return) risk, which reflects uncertainty in the price level and is measured by the volatility (standard deviation) of asset returns. Volatility itself is also known to be random and hence is perceived as another type of risk. Investors can bear price risk in exchange for a higher return. But are investors willing to p...

  4. Long-term Memory and Volatility Clustering in Daily and High-frequency Price Changes

    CERN Document Server

    Oh, G J; Um, C J; Kim, Seunghwann; Oh, GabJin; Um, Cheol-Jun

    2006-01-01

    We study the long-term memory in diverse stock market indices and foreign exchange rates using the Detrended Fluctuation Analysis(DFA). For all daily and high-frequency market data studied, no significant long-term memory property is detected in the return series, while a strong long-term memory property is found in the volatility time series. The possible causes of the long-term memory property are investigated using the return data filtered by the AR(1) model, reflecting the short-term memory property, and the GARCH(1,1) model, reflecting the volatility clustering property, respectively. Notably, we found that the memory effect in the AR(1) filtered return and volatility time series remains unchanged, while the long-term memory property either disappeared or diminished significantly in the volatility series of the GARCH(1,1) filtered data. We also found that in the high-frequency data the long-term memory property may be generated by the volatility clustering as well as higher autocorrelation. Our results i...

  5. 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...... set. The scope of our analysis is feasible because of our use of the particle filter. The three sources of data we employ all point to the same conclusion: the SQR model is misspecified. Overall, the best of the alternative volatility specifications is a model with linear rather than square root...... diffusion for variance which we refer to as the VAR model. This model captures the stylized facts in realized volatilities, it performs well in fitting various samples of index returns, and it has the lowest option implied volatility mean squared errors in- and out-of-sample....

  6. Understanding Price Formation in Electricity Markets

    Science.gov (United States)

    Kadoya, Toshihisa; Sasaki, Tetsuo; Yokoyama, Akihiko; Ihara, Satoru

    The electricity price will influence the future growth and mix of generation capacity that will in turn influence the future electricity price, and therefore, it is important to understand how electricity price is formed as well as its short-term and long-term impacts on the economy. This paper describes evaluation of PJM day-ahead market bidding data and comparison of various electricity markets in terms of the market clearing price and volatility. The objective is to find critical factors and mechanisms determining the movements of electricity price. It was found that speculation by a small number of bidders can cause price spikes, that a Nash equilibrium may exist during a delayed response of the electricity price to a decline of the fuel price, and that the hydro generation with storage capability effectively stabilizes the electricity price.

  7. 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

  8. 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, simultan

  9. 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

  10. 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.

  11. 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 variance

  12. 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 ha

  13. Forecasting of the industrial power consumption in the conditions of volatility price signals

    Directory of Open Access Journals (Sweden)

    Igor Aleksandrovich Baev

    2012-12-01

    Full Text Available Article is devoted to problems of purchase of the electric power in the wholesale market for the industry of Russia. Authors considered the mechanism of pricing and various combinations between the prices of the market for days forward and the prices of the balancing market. Favorable and adverseratios between the prices of the balancing market and submitted plans for power consumption are revealed. The urgency of forecasting of the industrial power consumption, allowing providing a sustainable development not only power supply systems and the power companies, but also region economy as a whole is proved. Recommendations about improvement of forecasting of the power consumption, based on the account not only the factors defining requirement for the electric power, but also factors considering tendencies of the balancing market are offered. As methods of forecasting sharing of methods of the regression analysis and method of expert evaluations is offered. Results of research will allow to increase accuracy of forecasting and to reduce financial losses not only at level of the concrete enterprises, but also at region level as a whole.

  14. PRICE TRANSMISSION AND HOUSEHOLDS DEMAND ELASTICITY FOR FROZEN FISH UNDER FUEL SUBSIDY REFORM IN DELTA STATE, NIGERIA

    Directory of Open Access Journals (Sweden)

    Achoja Felix Odemero

    2013-07-01

    Full Text Available Fuel subsidy removal is assumed to translate to general increase in the cost of operating business such as fish marketing.The response of price of fish and corresponding demand elasticity are welfare issues worthy of investigation in Nigeria. The present study evaluates price transmission in fish marketing system by analysing the response of fish market indices to fuel subsidy reform in Nigeria. Primary data collected with structured questionnaire from purposively selected 78 frozen fish marketers, were analysed with descriptive statistics and regression model. A test of hypothesis shows a significant price transmission of about 100% (P < 0.05. Marketing cost increased by 31.8% and profitability dropped by 24.20%, confirming negative effect of new price regime. The result further revealed a 0.05% drop in quantity of frozen fish demanded by households. It was recommended that economic measures should be introduced by the government to cushion the effect of fuel policy removal.

  15. Regarding fuel prices and automobility. A brief analysis of price and cost elasticities; Over brandstofprijzen en automobiliteit. Een beknopte analyse van prijs- en kostenelasticiteit

    Energy Technology Data Exchange (ETDEWEB)

    Groot, W.

    2012-01-15

    Car drivers do not drive significantly less when fuel prices at the pump rise. If fuel prices increase by approximately 12.5 percent, the long-term decrease in car kilometres travelled is just 2.5 percent. Higher fuel prices have also not resulted in a more fuel-efficient 'car fleet' (i.e. the range of available car model types). The fuel consumption rate per kilometre remained relatively constant from the late 1980s to 2009, although recent years have seen a marked improvement in the per kilometre fuel consumption rate, as measured in CO2 emissions of new passenger cars. These were the findings of the title study, conducted by the KiM Netherlands Institute for Transport Policy Analysis. This study was based on data covering the period 1980 to 2009. The majority of the definitive effects of higher fuel prices revealed in this study were less pronounced than the effects previously cited in available literature, especially with regard to the long-term effects [Dutch] Uit de titel studie blijkt dat automobilisten in beperkte mate minder gaan rijden als de brandstofprijzen aan de pomp stijgen. Een stijging van de benzineprijs met ongeveer 12,5 procent leidt op langere termijn tot een vermindering van de hoeveelheid afgelegde kilometers met 2,5 procent. De hoge brandstofprijzen hebben ook niet geleid tot een zuiniger wagenpark. Het benzineverbruik per kilometer is tussen het eind van de jaren tachtig en 2009 vrijwel gelijk gebleven. Met als kanttekening dat in de meest recente jaren sprake is van een zichtbare verbetering van het verbruik per kilometer, afgemeten aan de CO2-uitstoot van nieuwe personenauto's. Het KiM heeft zich in de studie gebaseerd op cijfers over de periode 1980-2009. De meeste in het onderzoek vastgestelde effecten van hogere benzineprijzen zijn kleiner dan de effecten die in de beschikbare literatuur zijn aangetroffen. Dit geldt vooral voor de effecten op de lange termijn.

  16. 18 CFR Appendix A 1 to Part 281 - Comparison of Selected Fuel Price Data, FPC Form No. 423 Versus Monthly Energy Review, 1976...

    Science.gov (United States)

    2010-04-01

    ... Fuel Price Data, FPC Form No. 423 Versus Monthly Energy Review, 1976-January 1980 A Appendix A 1 to... Selected Fuel Price Data, FPC Form No. 423 Versus Monthly Energy Review, 1976—January 1980 1 As reported in DOE/EIA Energy Data Report entitled Cost and Quality of Fuels for Electric Utility Plants...

  17. A theoretical study of volatile fission products release from oxide fuels

    Energy Technology Data Exchange (ETDEWEB)

    Paraschiv, M.C.; Paraschiv, A. [Inst. for Nucl. Res., Pitesti (Romania); Grecu, V.V. [University of Bucharest, Faculty of Physics, P.O. Box MG-11, Bucharest (Romania)

    1999-11-01

    Treating the average volume grains as thermodynamically closed subsystems, a method to evaluate the volatile fission products migration at the grain boundary and their release in the void volume of the fuel elements is proposed. The method considers the phenomena of the intergranular bubble growth and interlinkage, grain growth and grain boundary resolution. Analytical solutions of the diffusion problem associated with the volatile fission products behaviour taking into account their direct yield from fission and from precursors simultaneously with the diffusion and decay, irradiation induced resolution and fuel grain growth, during a time-step varying irradiation history have also been derived. The results are very accurate and point out the strong effect of the boundary condition changes on the volatile fission products behaviour when the simultaneous effects of the intergranular bubble coalescence, the precursors, the irradiation induced resolution and grain growth are considered. Comparative analyses versus other similar models of the diffusion of only stable gas species of fission products are also presented. (orig.)

  18. Price elasticity of Swiss motor fuel demand; Elasticite-prix de la demande d'essence en Suisse

    Energy Technology Data Exchange (ETDEWEB)

    Baranzini, A. [Haute Ecole de Gestion de Geneve (HEG-Geneve), Centre de Recherche Appliquee en Gestion (CRAG), Carouge (Switzerland); Neto, D.; Weber, S. [Universite de Geneve, Laboratoire d' Economie Appliquee (LEA), Geneve (Switzerland)

    2009-07-15

    This report for the Swiss Federal Office of Energy (SFOE) by the University of Geneva takes a look at the price elasticity of motor fuel demand in Switzerland. Macro-economic data on petrol and diesel consumption is used to calculate short and long-term price elasticity. Various factors that have an influence on prices are discussed. Data for the period 1970 - 2008 is used. A method developed by Engle and Granger is used to examine short and long-term developments in this area. A large number of variables are used in mathematical models to explain price developments. The methods used are described and the results are presented in tabular form. Various external effects such the oil-price shocks and price developments in neighbouring countries are examined.

  19. Comparison of volatility distributions in the periods of booms and stagnations: an empirical study on stock price indices

    CERN Document Server

    Kaizoji, T

    2005-01-01

    The aim of this paper is to compare statistical properties of stock price indices in periods of booms with those in periods of stagnations. We use the daily data of the four stock price indices in the major stock markets in the world: (i) the Nikkei 225 index (Nikkei 225) from January 4, 1975 to August 18, 2004, of (ii) the Dow Jones Industrial Average (DJIA) from January 2, 1946 to August 18, 2004, of (iii) Standard and Poor's 500 index (SP500) from November 22, 1982 to August 18, 2004, and of (iii) the Financial Times Stock Exchange 100 index (FT 100) from April 2, 1984 to August 18, 2004. We divide the time series of each of these indices in the two periods: booms and stagnations, and investigate the statistical properties of absolute log returns, which is a typical measure of volatility, for each period. We find that (i) the tail of the distribution of the absolute log-returns is approximated by a power-law function with the exponent close to 3 in the periods of booms while the distribution is described b...

  20. The continuing rationale for Full and timely recovery of fuel price levels in fuel adjustment clauses

    Energy Technology Data Exchange (ETDEWEB)

    Meehan, Eugene T.; Olson, Wayne P.; Strunk, Kurt

    2008-07-15

    Rate mechanisms that allow for more frequent automatic changes to rates to reflect changing fuel and purchased power costs can reduce the need for full-blown rate cases. With a clear and relatively simple framework, utilities and customers can understand and properly manage their energy costs. (author)

  1. The substitutive effect of biofuels on fossil fuels in the lower and higher crude oil price periods

    Energy Technology Data Exchange (ETDEWEB)

    Chang, Ting-Huan [Energy and Environment Research Laboratories, Industrial Technology Research Institute, Hsinchu County 310 (China); Department of Banking and Finance, Tamkang University, No.151, Ying-Chuan Road, Taipei County 251 (China); Su, Hsin-Mei [Department of Banking and Finance, Tamkang University, No.151, Ying-Chuan Road, Taipei County 251 (China)

    2010-07-15

    Various biofuels, including bioethanol and biodiesel are technologically being considered replacements for fossil fuels, such as the conventional gasoline and diesel. This paper aims to measure whether economic substitutability can be generated during periods of higher and/or lower prices of crude oil. The empirical results of the bivariate EGARCH model prove that this substitutive effect was occurred during the higher crude oil price period due to the significant price spillover effects from crude oil futures to corn and soybean futures, indicating that the increase in food prices can be attributed to more consumption of biofuels. We suggest more extensive research in the search for fuel alternatives from inedible feedstock such as pongamia, jojoba, jatropha, especially the 2nd generation biofuel technologies such as algae-based biofuels. (author)

  2. Gas prices and fuel efficiency in the U.S. automobile industry: Policy implications of endogenous product choice

    Science.gov (United States)

    Gramlich, Jacob Pleune

    I develop, estimate, and utilize an economic model of the U.S. automobile industry. I do so to address policy questions concerning automotive fuel efficiency (the relationship between gasoline used and distance traveled). Fuel efficiency has played a prominent role in our domestic energy policy for over 30 years. Recently it has received even more attention due to rising gas prices and concern over the environment and energy dependence. The model gives quantitative predictions for market fuel efficiency at various gas prices and taxes. The model makes contributions that are both methodological and policy based, and the two chapters of the dissertation focus on each in turn. The first chapter discusses the economic model of the U.S. automobile industry. The model allows firms to choose the fuel efficiency of their new vehicles, which allows me to predict fuel efficiency responses to policy and market conditions. These predictions were not possible with previous economic models which held fuel efficiency fixed. In the model, consumers care more about fuel efficiency when gas prices are high, and firms face a technological tradeoff between providing fuel efficiency and other quality. The level of the gas price, therefore, working through consumer demand, shifts firms' optimal locations along this technology frontier. Demand is nested logit, supply is differentiated products oligopoly, and data are from the U.S. automobile market from 1971-2007. In addition to endogenizing product choice, I also contribute to the modeling literature by relaxing restrictive identifying assumptions and obtaining more realistic estimates of fuel efficiency preference. The model predicts sales declines and compositions from the summer of 2008 with reasonable success. The second chapter discusses two counterfactual policy scenarios: maintained summer 2008 gas prices, and achieving 35 mpg (miles per gallon). At 3.43 per gallon (the summer 2008 price, 23% above 2007), the model predicts

  3. Characterization of carbon, sulfur and volatile compounds in nuclear fuel U{sub 3}SI{sub 2}-AL

    Energy Technology Data Exchange (ETDEWEB)

    Moura, Sergio C.; Coelho, Felipe P.; Bustillos, Jose O.V., E-mail: ovega@ipen.br [Instituto de Pesquisas Energeticas e Nucleares (CNEN/IPEN-SP), Sao Paulo, SP (Brazil)

    2013-07-01

    The scope of this work is to describe the characterization of Carbon, Sulfur and Volatile Compounds in nuclear fuel U{sub 3}Si{sub 2}-Al used in a research pool type reactor with 5 KW power capacities, located in Sao Paulo, Brazil. This reactor produces a large range of radioisotopes for radiopharmaceutical needed in Brazil nuclear medicine. The fabrication of the fuel U{sub 3}Si{sub 2}-Al plate is the key of the whole assembly production and its quality directly affects the safety and reliability of the fuel assembly performance. For this reason, it is very necessary to analyze the Carbon, Sulfur and Volatile Compounds to avoid damage in the fuel plate. The Carbon and Sulfur are characterized by the method of radio frequency furnace gas extraction system coupled with infrared cell detector. The Volatile Compounds are characterized by the method of heat gas extraction coupled with gravimetric technique. These methods are recommended by American Society for Testing Materials ASTM for nuclear materials. The average carbon and sulfur analyzed are 30 μg/g and 3 μg/g, respectively. The average for Volatile Compounds is 40 μg/g. These results represent satisfactory performance of the fuel inside the nuclear reactor. A statistical laboratory program has been set to validate the data generated in the nuclear fuel material to specify any agreement with the recommended ASTM methods. (author)

  4. Influence of plant root exudates on the mobility of fuel volatile compounds in contaminated soils.

    Science.gov (United States)

    Balseiro-Romero, María; Kidd, Petra S; Monterroso, Carmela

    2014-01-01

    Vegetation and its associated microorganisms play an important role in the behaviour of soil contaminants. One of the most important elements is root exudation, since it can affect the mobility, and therefore, the bioavailability of soil contaminants. In this study, we evaluated the influence of root exudates on the mobility of fuel derived compounds in contaminated soils. Samples of humic acid, montmorillonite, and an A horizon from an alumi-umbric Cambisol were contaminated with volatile contaminants present in fuel: oxygenates (MTBE and ETBE) and monoaromatic compounds (benzene, toluene, ethylbenzene and xylene). Natural root exudates obtained from Holcus lanatus and Cytisus striatus and ten artificial exudates (components frequently found in natural exudates) were added to the samples, individually and as a mixture, to evaluate their effects on contaminant mobility. Fuel compounds were analyzed by headspace-gas chromatography-mass spectrometry. In general, the addition of natural and artificial exudates increased the mobility of all contaminants in humic acid. In A horizon and montmorillonite, natural or artificial exudates (as a mixture) decreased the contaminant mobility. However, artificial exudates individually had different effects: carboxylic components increased and phenolic components decreased the contaminant mobility. These results established a base for developing and improving phytoremediation processes of fuel-contaminated soils.

  5. 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.

  6. Future Fuel Scenarios and Their Potential Impact to Aviation

    Science.gov (United States)

    Hendricks, Robert C.; Daggett, David L.; Anast, Peter; Lowery, Nathan

    2011-01-01

    In recent years fuel prices have been growing at a rapid pace. Current conservative projections predict that this is only a function of the natural volatility of oil prices, similar to the oil price spikes experienced in the 1970s. However, there is growing concern among analysts that the current price increases may not only be permanent, but that prices may continue to increase into the future before settling down at a much higher level than today. At high enough fuel prices, the aircraft industry would become very sensitive to fuel price. In this paper, the likelihood of fuel price increase is considered in three different price increase scenarios: "low," "medium," and "high." The impact of these scenarios on the aviation industry and alternatives are also addressed.

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

    Energy Technology Data Exchange (ETDEWEB)

    Higgs, Helen [Griffith University, Department of Accounting, Finance and Economics, Nathan campus, 170 Kessels Road, Nathan, Brisbane 4111, Queensland (Australia)

    2009-09-15

    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)

  8. Price Setting Behaviour in the Czech Republic, Micro Data Evidence

    Directory of Open Access Journals (Sweden)

    Robert Murárik

    2011-06-01

    Full Text Available The aim of this analysis was to obtain information on the strategies of retailers of consumer goods andservices in terms of changes to final prices. From detailed data on many price changes in all the monitoredstores we have evaluated, for example, how often the prices of specific items change or rise or fall, and byhow much on average, how these indicators change during the year, whether downwards price rigidityexists and so on.The average price change frequency for all the selected items came to 0.26, which means that approximatelyone in every four prices was changed compared to the month before. A typical characteristic of theprices of regulated items was that these prices mainly rose and this usually by steps of higher percentagesand mostly at the start of the year. Food prices had a higher frequency of price changes, mainly in the caseof unprocessed foods, which is a consequence of the volatile development of the prices of agricultural commodities.The prices of tradables excluding food and fuels continuously fell for the whole of the monitoredperiod and only had a low price change frequency. The prices of non-regulated non-tradables continuouslyand smoothly rose and, with the exception of hypothetical rent and package holidays, this subgroupdemonstrated the lowest frequency of price changes. The prices of fuels changed most frequently while onaverage these price changes were the lowest in size, as they react relatively quickly to changes in the pricesof raw materials and the koruna exchange rate.

  9. A prospective analysis of Brazilian biofuel economy: Land use, infrastructure development and fuel pricing policies

    Science.gov (United States)

    Nunez Amortegui, Hector Mauricio

    Being the two largest ethanol producers in the world, transportation fuel policies in Brazil and the U.S. affect not only their domestic markets but also the global food and biofuel economy. Hence, the complex biofuel policy climate in these countries leaves the public with unclear conclusions about the prospects for supply and trade of agricultural commodities and biofuels. In this dissertation I develop a price endogenous mathematical programming model to simulate and analyze the impacts of biofuel policies in Brazil and the U.S. on land use in these countries, agricultural commodity and transportation fuel markets, trade, and global environment. The model maximizes the social surplus represented by the sum of producers' and consumers' surpluses, including selected agricultural commodity markets and fuel markets in the U.S., Brazil, Argentina, China, and the Rest-of-the-World (ROW), subject to resource limitations, material balances, technical constraints, and policy restrictions. Consumers' surplus is derived from consumption of agricultural commodities and transportation fuels by vehicles that generate vehicle-kilometers-traveled (VKT). While in the other regional components aggregate supply and demand functions are assumed for the commodities included in the analysis, the agricultural supply component is regionally disaggregated for Brazil and the U.S., and the transportation fuel sector is regionally disaggregated for Brazil. The U.S. agricultural supply component includes production of fourteen major food/feed crops, including soybeans, corn and wheat, and cellulosic biofuel feedstocks. The Brazil component includes eight major annual crops, including soybeans, corn, wheat, and rice, and sugarcane as the energy crop. A particular emphasis is given to the beef-cattle production in Brazil and the potential for livestock semi-intensification in Brazilian pasture grazing systems as a prospective pathway for releasing new croplands. In the fuel sector of both

  10. Thermal Structure and Burning Velocity of Flames in Non-volatile Fuel Suspensions

    CERN Document Server

    Soo, Michael J; Goroshin, Samuel; Frost, David L; Bergthorson, Jeffrey M

    2016-01-01

    Flame propagation through a non-volatile solid-fuel suspension is studied using a simplified, time-dependent numerical model that considers the influence of both diffusional and kinetic rates on the particle combustion process. It is assumed that particles react via a single-step, first-order Arrhenius surface reaction with an oxidizer delivered to the particle surface through gas diffusion. Unlike the majority of models previously developed for flames in suspensions, no external parameters are imposed, such as particle ignition temperature, combustion time, or the assumption of either kinetic- or diffusion-limited particle combustion regimes. Instead, it is demonstrated that these parameters are characteristic values of the flame propagation problem that must be solved together with the burning velocity, and that the a priori imposition of these parameters from single-particle combustion data may result in erroneous predictions. It is also shown that both diffusive and kinetic reaction regimes can alternate ...

  11. 75 FR 9107 - Regulation of Fuels and Fuel Additives: Federal Volatility Control Program in the Denver-Boulder...

    Science.gov (United States)

    2010-03-01

    ..., etc) would occur primarily in the form of a slightly higher wholesale gasoline price which would then be passed along in product price increases. In the proposed rule, we estimated low RVP incremental... more stringent low RVP standard. Applying an average price of $2.50 per gallon for gasoline, the...

  12. 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.

  13. Characterization of diesel particles: effects of fuel reformulation, exhaust aftertreatment, and engine operation on particle carbon composition and volatility.

    Science.gov (United States)

    Alander, Timo J A; Leskinen, Ari P; Raunemaa, Taisto M; Rantanen, Leena

    2004-05-01

    Diesel exhaust particles are the major constituent of urban carbonaceous aerosol being linked to a large range of adverse environmental and health effects. In this work, the effects of fuel reformulation, oxidation catalyst, engine type, and engine operation parameters on diesel particle emission characteristics were investigated. Particle emissions from an indirect injection (IDI) and a direct injection (DI) engine car operating under steady-state conditions with a reformulated low-sulfur, low-aromatic fuel and a standard-grade fuel were analyzed. Organic (OC) and elemental (EC) carbon fractions of the particles were quantified by a thermal-optical transmission analysis method and particle size distributions measured with a scanning mobility particle sizer (SMPS). The particle volatility characteristics were studied with a configuration that consisted of a thermal desorption unit and an SMPS. In addition, the volatility of size-selected particles was determined with a tandem differential mobility analyzer technique. The reformulated fuel was found to produce 10-40% less particulate carbon mass compared to the standard fuel. On the basis of the carbon analysis, the organic carbon contributed 27-61% to the carbon mass of the IDI engine particle emissions, depending on the fuel and engine operation parameters. The fuel reformulation reduced the particulate organic carbon emissions by 10-55%. In the particles of the DI engine, the organic carbon contributed 14-26% to the total carbon emissions, the advanced engine technology, and the oxidation catalyst, thus reducing the OC/EC ratio of particles considerably. A relatively good consistency between the particulate organic fraction quantified with the thermal optical method and the volatile fraction measured with the thermal desorption unit and SMPS was found.

  14. Millisecond autothermal catalytic reforming of carbohydrates for synthetic fuels by reactive flash volatilization

    Science.gov (United States)

    Dauenhauer, Paul Jakob

    Carbohydrates including glucose, cellulose, starch and polyols including glycerol, ethylene glycol and methanol produced in large quantities from biomass are considered as a carbon-based feedstock for high temperature catalytic reforming by catalytic partial oxidation. Autothermal catalytic partial oxidation of methanol, ethylene glycol, and glycerol with Rh and Pt-based catalysts with ceria on alumina foam supports at residence times less than ten milliseconds produced equilibrium selectivity to synthesis gas. The addition of steam at S/C>4 produced selectivity to H2 higher than 80% with little or no selectivity to minor products. In a new process referred to as 'reactive flash volatilization,' catalytic partial oxidation was combined with pyrolysis of biomass by directly impinging particles of cellulose, starch, polyethylene, soy oil, or Aspen (Populous Tremuloides) on an operating Rh-based reforming catalyst at 700-800°C. Solid particles endothermically pyrolyzed to volatile organic compounds which mixed with air and reformed on the catalyst exothermically generating heat to drive the overall process. Particles of ˜250 mum microcrystalline cellulose processed at the conditions of C/O=1.0 on a RhCe/gamma-Al2O3/alpha-Al 2O3 at a residence time of ˜70 milliseconds produced a gaseous effluent stream selecting for 50% H2 and 50% CO with no observable side products other than H2O and CO2, and feed ratio of N2/O2, the temperature of the feed gas, the total particle feed rate, and the addition of steam permitting cellulose conversion with ˜75% fuel efficiency. Cellulose, sucrose, and glycerol particle conversion was examined with high-speed photography (1000 frames/second) revealing the formation of a liquid intermediate from cellulose permitting extremely high heat flux (˜1 MW/m 2). Finally, large cellulose rods (7x7x500 mm) were directly pressed against a Rh-based reforming catalyst co-reforming methane with air to examine the processing speed as a function of

  15. Overview of Aviation Fuel Markets for Biofuels Stakeholders

    Energy Technology Data Exchange (ETDEWEB)

    Davidson, C.; Newes, E.; Schwab, A.; Vimmerstedt, L.

    2014-07-01

    This report is for biofuels stakeholders interested the U.S. aviation fuel market. Jet fuel production represents about 10% of U.S. petroleum refinery production. Exxon Mobil, Chevron, and BP top producers, and Texas, Louisiana, and California are top producing states. Distribution of fuel primarily involves transport from the Gulf Coast to other regions. Fuel is transported via pipeline (60%), barges on inland waterways (30%), tanker truck (5%), and rail (5%). Airport fuel supply chain organization and fuel sourcing may involve oil companies, airlines, airline consortia, airport owners and operators, and airport service companies. Most fuel is used for domestic, commercial, civilian flights. Energy efficiency has substantially improved due to aircraft fleet upgrades and advanced flight logistic improvements. Jet fuel prices generally track prices of crude oil and other refined petroleum products, whose prices are more volatile than crude oil price. The single largest expense for airlines is jet fuel, so its prices and persistent price volatility impact industry finances. Airlines use various strategies to manage aviation fuel price uncertainty. The aviation industry has established goals to mitigate its greenhouse gas emissions, and initial estimates of biojet life cycle greenhouse gas emissions exist. Biojet fuels from Fischer-Tropsch and hydroprocessed esters and fatty acids processes have ASTM standards. The commercial aviation industry and the U.S. Department of Defense have used aviation biofuels. Additional research is needed to assess the environmental, economic, and financial potential of biojet to reduce greenhouse gas emissions and mitigate long-term upward price trends, fuel price volatility, or both.

  16. Apples with apples: accounting for fuel price risk in comparisons of gas-fired and renewable generation

    Energy Technology Data Exchange (ETDEWEB)

    Bolinger, Mark; Wiser, Ryan

    2003-12-18

    For better or worse, natural gas has become the fuel of choice for new power plants being built across the United States. According to the US Energy Information Administration (EIA), natural gas combined-cycle and combustion turbine power plants accounted for 96% of the total generating capacity added in the US between 1999 and 2002--138 GW out of a total of 144 GW. Looking ahead, the EIA expects that gas-fired technology will account for 61% of the 355 GW new generating capacity projected to come on-line in the US up to 2025, increasing the nationwide market share of gas-fired generation from 18% in 2002 to 22% in 2025. While the data are specific to the US, natural gas-fired generation is making similar advances in other countries as well. Regardless of the explanation for (or interpretation of) the empirical findings, however, the basic implications remain the same: one should not blindly rely on gas price forecasts when comparing fixed-price renewable with variable-price gas-fired generation contracts. If there is a cost to hedging, gas price forecasts do not capture and account for it. Alternatively, if the forecasts are at risk of being biased or out of tune with the market, then one certainly would not want to use them as the basis for resource comparisons or investment decisions if a more certain source of data (forwards) existed. Accordingly, assuming that long-term price stability is valued, the most appropriate way to compare the levelized cost of these resources in both cases would be to use forward natural gas price data--i.e. prices that can be locked in to create price certainty--as opposed to uncertain natural gas price forecasts. This article suggests that had utilities and analysts in the US done so over the sample period from November 2000 to November 2003, they would have found gas-fired generation to be at least 0.3-0.6 cents/kWh more expensive (on a levelized cost basis) than otherwise thought. With some renewable resources, in particular wind

  17. Impact of the flex-fuel vehicle on the prices formation and regulation in Brazil; Analise do impacto dos veiculos flex-fuel na formacao e regulacao de precos de combustiveis veiculares no Brasil

    Energy Technology Data Exchange (ETDEWEB)

    Buscarini, Rodolfo Jose Galvao [Universidade Estadual de Campinas (IE/UNICAMP), SP (Brazil). Inst. de Economia; Cesca, Igor Gimenes [Universidade Estadual de Campinas (DEP/FEM/UNICAMP), SP (Brazil). Fac. de Engenharia Mecanica. Dept. de Engenharia de Petroleo

    2012-07-01

    The main fuels for vehicles in Brazil are the gasoline type C - which is a mixture of gasoline, resulting from the fractional distillation of oil and anhydrous ethanol - and hydrated ethanol. For this importance, has been created an institutional framework to guide and regulate the activities of the fuel sector, initially for gasoline, hydrated ethanol was contemplated by such device in 2011. Since 2003, there has been manufactured in Brazil the flex-fuel vehicles. With this, the possibility of activation of an additional factor for the regulation of vehicle fuel prices, increasing consumer power to define which of the fuels could be used as the disposition of their prices. One of the effects of growth flex-fuel sales has been increased production and investment in ethanol (especially sugar cane) as a suitable alternative to the. The hope was that the formation of fuel prices was less dependent on their cost of production and distribution and more influenced by a pressure of consumer demand. However, the increase in the sales of the flex-fuel vehicle in Brazil in the last years was not the determining factor in the price of fuels, as it was expected. The explanation of this is on external factors to the automotive industry, linked to the structures of the production chain of oil and ethanol, especially the question of the great increase in international prices of oil and hydrated ethanol in the international market in recent years. (author)

  18. Study the Fuel Price on Optimal Planning of Distributed Energy Resources as Private Sector in Supplying Electrical Energy

    Directory of Open Access Journals (Sweden)

    Mehdi Nafar

    2012-02-01

    Full Text Available This study presents an optimized design of Hybrid Power System in a distribution system including sources like, photovoltaic array, fuel cell and battery bank. In this study the effect of Fuel Price on optimal results is investigated.In this research, an algorithm has been developed for evaluation and cost optimization Hybrid Power System. The costs include capital cost, replacement cost, operation and maintenance cost, fuel cost and production cost for Hybrid Power System and DG power during different load profile. Then an objective function with aim to minimizing of total costs has been considered. A genetic algorithm approach is employed to obtain the best cost value of Hybrid Power System construction. This study tested on case study network on Mardasht city in Iran.

  19. Methods of economic analysis applied to fusion research: discount rate determination and the fossil fuel price effect

    Energy Technology Data Exchange (ETDEWEB)

    1978-09-25

    In current and previous efforts, ECON has provided a preliminary economic assessment of a fusion research program. Part of this effort was the demonstration of a methodology for the estimation of reactor system costs and risk and for the treatment of program alternatives as a series of steps (tests) to buy information, thereby controlling program risk and providing a sound economic rationale for properly constructed research programs. The first phase of work also identified two areas which greatly affect the overall economic evaluation of fusion research and which warranted further study in the second phase. This led to the two tasks of the second phase reported herein: (1) discount rate determination and (2) evaluation of the effect of the expectation of the introduction of fusion power on current fossil fuel prices. In the first task, various conceptual measures of the social rate of discount were reviewed and critiqued. In the second task, a benefit area that had been called out by ECON was further examined. Long-range R and D yields short-term benefits in the form of lower nonrenewable energy resource prices because the R and D provides an expectation of future competition for the remaining reserves at the time of technology availability. ECON developed a model of optimal OPEC petroleum pricing as a function of the expectation of future competing technologies. It was shown that the existence of this expectation lowers the optimal OPEC export price and that accelerated technology R and D programs should provide further price decreases. These price reductions translate into benefits to the U.S. of at least a billion dollars.

  20. Effects of dimethyl or diethyl carbonate as an additive on volatility and flash point of an aviation fuel.

    Science.gov (United States)

    Li, Dan; Fang, Wenjun; Xing, Yan; Guo, Yongsheng; Lin, Ruisen

    2009-01-30

    Vapor pressures and flash points for several mixtures of an aviation fuel with dimethyl carbonate (DMC) or diethyl carbonate (DEC) have been measured, respectively, over the entire composition range. Correlation between the experimental vapor pressures and the equilibrium temperatures by the Antoine equation is performed for each mixture. The bubble-point lines of pressure versus composition at different temperatures and those of temperature versus composition at different pressures are then obtained from the Antoine correlations. It is found that DMC and DEC are the oxygenated hydrocarbon additives that can adjust effectively the volatility and flash point of the aviation fuel. The correlation of the flash points with the vapor pressure data for the pseudo-binary mixtures of the fuel and DMC or DEC gives satisfactory results.

  1. 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

  2. Impact of alternative fuels on emissions characteristics of a gas turbine engine - part 2: volatile and semivolatile particulate matter emissions.

    Science.gov (United States)

    Williams, Paul I; Allan, James D; Lobo, Prem; Coe, Hugh; Christie, Simon; Wilson, Christopher; Hagen, Donald; Whitefield, Philip; Raper, David; Rye, Lucas

    2012-10-02

    The work characterizes the changes in volatile and semivolatile PM emissions from a gas turbine engine resulting from burning alternative fuels, specifically gas-to-liquid (GTL), coal-to-liquid (CTL), a blend of Jet A-1 and GTL, biodiesel, and diesel, to the standard Jet A-1. The data presented here, compares the mass spectral fingerprints of the different fuels as measured by the Aerodyne high resolution time-of-flight aerosol mass spectrometer. There were three sample points, two at the exhaust exit plane with dilution added at different locations and another probe located 10 m downstream. For emissions measured at the downstream probe when the engine was operating at high power, all fuels produced chemically similar organic PM, dominated by C(x)H(y) fragments, suggesting the presence of long chain alkanes. The second largest contribution came from C(x)H(y)O(z) fragments, possibly from carbonyls or alcohols. For the nondiesel fuels, the highest loadings of organic PM were from the downstream probe at high power. Conversely, the diesel based fuels produced more organic material at low power from one of the exit plane probes. Differences in the composition of the PM for certain fuels were observed as the engine power decreased to idle and the measurements were made closer to the exit plane.

  3. DOES WTI OIL PRICE RETURNS VOLATILITY SPILLOVER TO THE EXCHANGE RATE AND STOCK INDEX IN THE US?

    Directory of Open Access Journals (Sweden)

    Ching-Chun Wei

    2014-04-01

    Full Text Available The purpose of this paper is to examine whether the volatility of the West Texas Intermediate oil spot returns (WTIR is affected by the Texas Light Sweet oil futures returns (FUR, the exchange rate returns between the US dollar and the Euro (ERR, and the S&P 500 energy index returns (EIR, and if any of those have changed over time. The daily data of the WTIR, the FUR, the ERR, and the EIR between the period of January 4, 2000 and September 30, 2009, were utilized. The empirical results of the multivariate GARCH of the BEKK model indicated that the WTIR is significantly affected by its own past volatility, and by the volatility of FUR, ERR, and EIR. Most likely, WTIR employs a structural conversion in our dummy variable for selected time points. This suggests that investors could use the FUR’s past volatility as a basis for WTIR purchase. In addition, the changes in ERR’s and EIR’s past volatility can be partially used as a basis for the same purpose.

  4. Integrated hedging and network planning for container shipping's bunker fuel management

    OpenAIRE

    Xiaoyu Wang; Chee-Chong Teo

    2013-01-01

    Bunker fuel costs could account for 50–60 per cent of a ship's total operating cost in times of high fuel prices. The volatility of the bunker market over recent years has contributed to significant instability of cash flows for shipping lines. In this study, we consider two of the bunker fuel risk management measures employed by container shipping companies to reduce bunker fuel price risk – re-planning of network configuration and financial hedging of bunker fuel prices. The current industr...

  5. Dynamics and impacts of fine-scale climate change: greenhouse forcing, heat-waves, and corn price volatility in the United States

    Science.gov (United States)

    Diffenbaugh, N. S.; Ashfaq, M.; Hertel, T. W.; Scherer, M.; Verma, M.

    2012-12-01

    We explore the use of climate impacts as a probe for understanding the dynamics governing the response of the climate system to changes in radiative forcing. As a case study, we focus on the volatility of corn prices in the U.S. Recent price spikes have raised concern that climate change could increase food insecurity by reducing grain yields in the coming decades. However, commodity price volatility is also influenced by other factors, 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 to occur over the next three decades. Given this sensitivity to severe heat, we next explore the dynamics shaping the projected near-term intensification of severe heat over the US in our high-resolution ensemble climate model experiment. We find that the intensification of hot extremes is associated not only with increased downward long-wave radiation from increasing greenhouse gases, but also with a shift towards more anticyclonic atmospheric circulation during the warm season, along with warm season drying over much of the US. We find that the coupling between surface temperature change and surface moisture change is robust across a suite of global climate model experiments. Given these projected changes in climate dynamics associated with near-term intensification of severe hot events, we next explore the transient response of summer climate in the US to increasing greenhouse forcing through the end of the 21st century. We find that the central US exhibits

  6. Experimental and Modeling Study of the Flammability of Fuel Tank Headspace Vapors from Ethanol/Gasoline Fuels; Phase 3: Effects of Winter Gasoline Volatility and Ethanol Content on Blend Flammability; Flammability Limits of Denatured Ethanol

    Energy Technology Data Exchange (ETDEWEB)

    Gardiner, D. P.; Bardon, M. F.; Clark, W.

    2011-07-01

    This study assessed differences in headspace flammability for summertime gasolines and new high-ethanol content fuel blends. The results apply to vehicle fuel tanks and underground storage tanks. Ambient temperature and fuel formulation effects on headspace vapor flammability of ethanol/gasoline blends were evaluated. Depending on the degree of tank filling, fuel type, and ambient temperature, fuel vapors in a tank can be flammable or non-flammable. Pure gasoline vapors in tanks generally are too rich to be flammable unless ambient temperatures are extremely low. High percentages of ethanol blended with gasoline can be less volatile than pure gasoline and can produce flammable headspace vapors at common ambient temperatures. The study supports refinements of fuel ethanol volatility specifications and shows potential consequences of using noncompliant fuels. E85 is flammable at low temperatures; denatured ethanol is flammable at warmer temperatures. If both are stored at the same location, one or both of the tanks' headspace vapors will be flammable over a wide range of ambient temperatures. This is relevant to allowing consumers to splash -blend ethanol and gasoline at fueling stations. Fuels compliant with ASTM volatility specifications are relatively safe, but the E85 samples tested indicate that some ethanol fuels may produce flammable vapors.

  7. Fuel prices, emission standards, and generation costs for coal vs natural gas power plants.

    Science.gov (United States)

    Pratson, Lincoln F; Haerer, Drew; Patiño-Echeverri, Dalia

    2013-05-07

    Low natural gas prices and stricter, federal emission regulations are promoting a shift away from coal power plants and toward natural gas plants as the lowest-cost means of generating electricity in the United States. By estimating the cost of electricity generation (COE) for 304 coal and 358 natural gas plants, we show that the economic viability of 9% of current coal capacity is challenged by low natural gas prices, while another 56% would be challenged by the stricter emission regulations. Under the current regulations, coal plants would again become the dominant least-cost generation option should the ratio of average natural gas to coal prices (NG2CP) rise to 1.8 (it was 1.42 in February 2012). If the more stringent emission standards are enforced, however, natural gas plants would remain cost competitive with a majority of coal plants for NG2CPs up to 4.3.

  8. Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models

    OpenAIRE

    Friedrich Hubalek; Petra Posedel

    2008-01-01

    We introduce a variant of the Barndorff-Nielsen and Shephard stochastic volatility model where the non Gaussian Ornstein-Uhlenbeck process describes some measure of trading intensity like trading volume or number of trades instead of unobservable instantaneous variance. We develop an explicit estimator based on martingale estimating functions in a bivariate model that is not a diffusion, but admits jumps. It is assumed that both the quantities are observed on a discrete grid of fixed width, a...

  9. Hybrid reprocessing technology of fluoride volatility and solvent extraction. New reprocessing technology, FLUOREX, for LWR fuel cycle

    Energy Technology Data Exchange (ETDEWEB)

    Kawamura, Fumio [Hitachi Ltd., Ibaraki (Japan)

    2002-11-01

    Hybrid Process of Fluoride Volatility and Solvent Extraction (FLUOREX) has been objected to develop a low cost reprocessing technology for collection of U and MOX (mixture U and Pu) in LWR fuel cycle. Outline, characteristics, technologies, problems and material balance of FLUOREX are explained. LWR spent fuel consists of about 96% U, 1% Pu and about 3% fission products (FP) and minor actinides (MA). FLUOREX method is hybrid system, which isolates about 90% U at high speed and refines by fluoride volatility process and residue about 10% U, Pu, MA and FP are processed by PUREX method after dissolution in acid. The special features are low cost by small type and lightweight, stable without gas Pu and stop of fluorine gas, reducing load of environment, resistance of nuclear proliferation, application of technologies demonstrated and flexible method for fast reactor. Three problems for development are selective fluoridation of U, transportation of oxides in the fluoride residue and dissolution of transported oxides. The preliminary examination of plan showed 800GWD/t processing volume, 200 day/year operation day, about 51 ten-thousand cubic meter volume of plant, about 1/3 Rokkasho reprocessing plant. (S.Y.)

  10. Falling oil prices and sustainable energy transition: Towards a multilateral agreement on fossil-fuel subsidies

    OpenAIRE

    Asmelash, Henok Birhanu

    2016-01-01

    Fossil-fuel subsidies are economically inefficient and harmful for the environment yet efforts to phase them out at the national and international levels have not been effective. The existing international legal framework is too weak and fragmented to support this process and an international agreement is essential. This paper explores the challenges and prospects of, and avenues for negotiating a binding multilateral agreement on phasing out fossil-fuel subsidies. The paper posits that the F...

  11. 国际粮食价格波动、趋势与对策研究%The international food price volatility, trend and countermeasures research

    Institute of Scientific and Technical Information of China (English)

    赵闰; 华树春; 石研研

    2013-01-01

    International food prices relatively stable in the first half of 2010, the second half of a comprehensive and rapid rise, enter the price kept rising sharply in 2011. In 2012 because of the severe failure of grain and other food exporters suffered a drought, food prices con-tinue to rise. A weaker dollar and global excess liquidity is a major cause of the food price volatility;In addition, the development of agricul-tural machinery, food production, capital speculation, food export restrictions, and development of biomass energy is also important factor. The next year, the international market of wheat, soybean prices may continue to fall, but the average price of corn will from this year will continue to rise, especially rice prices may hit a record high. Therefore, our country should continue to increase support for major grain-pro-ducing areas, strengthen the development of agricultural mechanization, efforts to prepare for food market regulation and control work, we will continue to improve the grain market monitoring function, establish and improve the grain market risk management mechanism.%2010年上半年国际粮食价格相对稳定、下半年出现全面快速上涨,进入2011年价格仍保持大幅上涨态势。2012年因美国粮食出现严重欠收及其他粮食出口大国遭遇干旱,导致粮食价格持续出现上涨局面。美元贬值和全球流动性过剩是粮食价格波动的主因;此外,农业机械化发展、粮食减产、资本投机、粮食出口限制及发展生物质能源等也是重要因素。未来年度,国际市场小麦、大豆价格可能回落,但玉米价格均值将较2013年会继续上涨,尤其大米价格可能创出新高。为此,我国应继续加大对粮食主产区的支持力度,加大农业机械化的发展步伐,努力作好粮食市场调控工作,继续完善粮食市场监测功能,建立健全粮食市场风险管理机制。

  12. Cold Temperature and Biodiesel Fuel Effects on Speciated Emissions of Volatile Organic Compounds from Diesel Trucks

    Science.gov (United States)

    Speciated volatile organic compounds (VOCs) were measured in diesel exhaust from three medium heavy-duty trucks equipped with modern aftertreatment technologies. Emissions testing was conducted on a chassis dynamometer at two ambient temperatures (-6.7°C and 21.7°C) operating on ...

  13. What would be the effects of a carbon tax in Japan: an historic analysis of subsidies and fuel pricing on the iron & steel, chemical, and machinery industries

    Directory of Open Access Journals (Sweden)

    Takako Wakiyama

    2016-06-01

    Full Text Available This study examines how a carbon tax could affect industrial-related carbon dioxide (CO2 emissions in Japan. Rather than forecasting the effects of a tax, the paper employs a time-series autoregressive moving average (ARMA model to determine how past subsidies and fuel price changes affected investments in energy and carbon intensity in Japan’s iron & steel, chemical, and machinery industries from 1993 to 2004. The results suggest the impacts varied greatly across industries. In the iron & steel industry, subsidies and price changes produced negligible effects on investments in energy and carbon intensity. This may be because existing iron & steel technologies have long lifetimes and substantial replacement costs. It may also be because the few large companies dominating the industry were relatively immune to subsidy provisions and pricing changes. In the chemical industry, subsidies and fuel prices gave rise to investments that improved carbon and energy intensity. This may be because the industry has relatively higher operation costs that could be cut easily given financial incentives. In the machinery industry, two of three fuel price changes (oil and gas, but not subsidy provisions, yielded improvements in carbon and energy intensity. This may reflect the heterogeneity of companies and products comprising the industry. Overall, the study underscores that policymakers need to tailor the rates and revenue recycling provisions of a carbon tax to an industry’s unique features to stimulate CO2 reductions.

  14. An EKC-pattern in historical perspective. Carbon dioxide emissions, technology, fuel prices and growth in Sweden 1870-1997

    Energy Technology Data Exchange (ETDEWEB)

    Lindmark, Magnus [Department of Economic History, Umea University, SE-901 87 Umea (Sweden)

    2002-08-01

    The environmental Kuznets curve (EKC) has been subject to research and debate since the early 1990s. This article examines the inverted-U trajectory of Swedish CO{sub 2} emissions during an extended time period beginning in 1870. The basis for the investigation is a structural time series approach that utilizes a stochastic trend as an indicator of technological and structural change, and GDP growth and changes in the price of fuel and cement price as independent variables. Finally, the development of technological and structural change with respect to CO{sub 2} emissions is interpreted within the context of growth regimes. The result suggests that the period 1920-1960, with high, sustained growth rates was associated with less technological and structural changes relating to CO{sub 2} emissions than periods with lower growth rates, such as the late 1800s and the post-1970 period. Furthermore, it is suggested that time-specific technological clusters may affect EKC patterns.

  15. Volatility Spillover Research on NYMEX Crude Oil Prices and US Dollar Index Based on CARRX Model%基于CARRX模型的NYMEX原油价格和美元指数的波动溢出研究

    Institute of Scientific and Technical Information of China (English)

    郭名媛; 蒲赢健

    2016-01-01

    Exchange rate plays an important role in petroleum transaction.The relations between petroleum prices and exchange rates have gradually become a research focus in the recent years.An empirical results are concluded by adopting CARRX model to conduct related research on volatility spillover between crude oil prices and exchange rates,and assuming residual erro of model respectively obeying standard exponen-tial distribution,standard Weibull distribution and standardized and generalized Gamma distribution,which indicate that,first,there are volatility spillover relations between crude oil prices and exchange rates.Sec-ond,the effect of volatility spillover of exchange rates on crude oil prices is stronger than the effect of vola-tility spillover of crude oil prices on exchange rates.%汇率在石油交易中扮演着重要的角色,二者的关系在近年来逐渐成为研究热点.采用CARRX模型对原油价格和汇率之间的波动溢出进行相关研究,并假设模型残差项分别服从标准指数分布、标准Weibull分布和标准化的广义Gamma分布.实证结果表明:首先,原油价格与汇率之间存在波动溢出关系;其次,汇率对原油价格的波动溢出作用要强于原油价格对汇率的波动溢出.

  16. High Penetrated Wind Farm Impacts on the Electricity Price: The Danish Case

    DEFF Research Database (Denmark)

    Haji Bashi, Mazaher; Yousefi, G. R.; Bak, Claus Leth;

    2016-01-01

    fossil fuel free overview in Danish energy policies, and the currently great share of wind power (more than 100% for some hours) in supplying the load, it is an interesting benchmark for the future electricity markets. Negative prices, price spikes, and price volatility are considered as the main effects......Energy trading policies, intermittency of wind farm output power, low marginal cost of the production, are the key factors that cause the wind farms to be effective on the electricity price. In this paper, the Danish electricity market is studied as a part of Nord Pool. Considering the completely...... of the high penetrated wind farm integration into electricity markets. Then, stochastic programming approach is employed to compare the volume of trades for a typical wind farm in a high and low wind penetrated market. Although increasing price spikes and volatility was reported in the literature...

  17. 房地产价格波动与宏观经济稳定性的联动效应%The Influence of Housing Price Volatility on Macroeconomic Stability

    Institute of Scientific and Technical Information of China (English)

    齐讴歌; 白永秀

    2014-01-01

    房地产市场的特殊性使得房地产价格波动对宏观经济稳定构成潜在影响。本文通过构建Structural-VAR-MVGARCH-BEKK模型,从均值(一阶矩)和波动(二阶矩)两个层面考察了房地产价格波动与产出、通胀、货币供给之间的互动关系。实证结果显示,在均值层面上,房地产价格对产出的影响不是很明显,对通胀具有显著的正向推动作用,其与货币供给之间呈现反向关系;在波动层面,房地产价格与宏观变量之间存在显著的溢出效应,波动关系紧密。%The Unique Character of Real Estate Market Makes Housing Price Volatility has Potential Influ-ence to Macroeconomic Stability .The Paper Analyzes the Correlation between Housing Price and Macro-economic Variables Such as GDP , Inflation and Monetary Supply through Mean and Volatility Perspective on the Basis of Structural -VAR-MVGARCH-BEKK Model .The Empirical Result shows that in the Mean Perspective , Housing Price has no obvious impact to GDP , but Significant Positive Relation with Inflation and Negative Relation with Monetary Supply .In the Perspective of Volatility , Housing Price Volatility has Significant Spillover Effect with Macroeconomic Variables .

  18. 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

  19. Volatile organic compounds (VOCs) in surface coating materials: Their compositions and potential as an alternative fuel.

    Science.gov (United States)

    Dinh, Trieu-Vuong; Choi, In-Young; Son, Youn-Suk; Song, Kyu-Yong; Sunwoo, Young; Kim, Jo-Chun

    2016-03-01

    A sampling system was designed to determine the composition ratios of VOCs emitted from 31 surface coating materials (SCMs). Representative architectural, automotive, and marine SCMs in Korea were investigated. Toluene, ethylbenzene, and xylene were the predominant VOCs. The VOC levels (wt%) from automotive SCMs were significantly higher than those from architectural and marine paints. It was found that target SCMs comprised mainly VOCs with 6-10 carbon atoms in molecules, which could be adsorbed by activated carbon. The saturated activated carbon which had already adsorbed toluene, ethylbenzene, and m-xylene was combusted. The saturated activated carbon was more combustible than new activated carbon because it comprised inflammable VOCs. Therefore, it could be an alternative fuel when using in a "fuelization system". To use the activated carbon as a fuel, a control technology of VOCs from a coating process was also designed and introduced.

  20. PRICE AND PRICING STRATEGIES

    OpenAIRE

    Titus SUCIU

    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...

  1. PRICE AND PRICING STRATEGIES

    OpenAIRE

    Titus SUCIU

    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...

  2. Implications of Climate Volatility for Agricultural Commodity Markets in the Presence of Biofuel Mandates

    Science.gov (United States)

    Verma, M.; Diffenbaugh, N. S.; Hertel, T. W.; Beckman, J.

    2011-12-01

    In presence of bio-fuels, link between energy and agricultural commodity markets has become more complex. An increase in ethanol production to minimum 15bn gallons a year - Renewable Fuel Standard (RFS) and current technically permissible maximum 10% blending limit - Blend Wall (BW); make the link even stronger. If oil prices in future do not rise significantly from their current levels, this minimum production requirement would likely be binding. In such a scenario any fluctuation in crop production will have to be absorbed by the non-ethanol usage of the crop and would translate into crop prices adjusting to clear the markets and therefore the commodity prices will be more volatile. At high oil prices it is possible that the BW may become binding, severing the link between oil prices and commodity prices as well, potentially leading to higher price volatility. Hertel and Beckman (2010) find that, with both RFS and BW simultaneously binding, corn price volatility due to supply side shocks (which could arise from extreme climate events) could be more than 50% as large as in the absence of bio-fuel policies. So energy markets are important determinants of agricultural commodity price volatility. This proposal intends to introduce the increased supply side volatility on account of climate change and volatility, in the framework. Global warming on account of increased GHG concentrations is expected to increase the intensity and frequency of hot extremes in US (Diffenbaugh et al. 2008) and therefore affect corn yields. With supply shocks expected to increase, binding RFS and BW will exacerbate the volatility, while if they are non-binding then the price changes could be cushioned. We propose to model the impacts of climate changes and volatility on commodity prices by linking three main components - a. Projections for change in temperature and precipitation using climate model b. A statistical model to predict impacts of change in climate variable on corn yields in US

  3. On guidance and volatility

    NARCIS (Netherlands)

    Billings, M.B.; Jennings, R.; Lev, B.

    2013-01-01

    Survey evidence suggests that managers voluntarily disclose information, particularly earnings guidance, with an aim toward dampening share price volatility. Yet, consultants and influential institutions advise against providing guidance — citing fears of litigation and market penalties associated w

  4. 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. Second

  5. Cotton Pricing Discussion

    Institute of Scientific and Technical Information of China (English)

    2010-01-01

    @@ Cotton prices have received a lot of attention recently.Cotton Incorporated especically designed this Special Edition of Supply Chain Insights to frame the discussion concerning prices throughout the cotton supply chain in terms of the cyclical events that contributed to recent volatility and how a return to long-term averages over time can be expected.

  6. Bulk Fuel Pricing: DOD Needs to Reevaluate Its Approach to Better Manage the Effect of Market Fluctuations

    Science.gov (United States)

    2014-07-01

    Office of Management and Budget OUSD(C) Office of the Under Secretary of Defense (Comptroller) WTI West Texas Intermediate This is a work of the...Intermediate ( WTI ) crude oil benchmark with other crude oil pricing benchmarks to determine whether DOD’s approach to setting its standard price reflects...coming from the prices in the futures market for both West Texas Intermediate ( WTI ) and Brent crude oil prices.5 DOD uses the WTI projection as its

  7. Oil price shocks and stock market activity

    Energy Technology Data Exchange (ETDEWEB)

    Sadorsky, P. [Schulich School of Business, York University, Toronto, ON (Canada)

    1999-10-01

    Results from a vector autoregression show that oil prices and oil price volatility both play important roles in affecting real stock returns. There is evidence that oil price dynamics have changed. After 1986, oil price movements explain a larger fraction of the forecast error variance in real stock returns than do interest rates. There is also evidence that oil price volatility shocks have asymmetric effects on the economy. 29 refs.

  8. Support vector machine for day ahead electricity price forecasting

    Science.gov (United States)

    Razak, Intan Azmira binti Wan Abdul; Abidin, Izham bin Zainal; Siah, Yap Keem; Rahman, Titik Khawa binti Abdul; Lada, M. Y.; Ramani, Anis Niza binti; Nasir, M. N. M.; Ahmad, Arfah binti

    2015-05-01

    Electricity price forecasting has become an important part of power system operation and planning. In a pool- based electric energy market, producers submit selling bids consisting in energy blocks and their corresponding minimum selling prices to the market operator. Meanwhile, consumers submit buying bids consisting in energy blocks and their corresponding maximum buying prices to the market operator. Hence, both producers and consumers use day ahead price forecasts to derive their respective bidding strategies to the electricity market yet reduce the cost of electricity. However, forecasting electricity prices is a complex task because price series is a non-stationary and highly volatile series. Many factors cause for price spikes such as volatility in load and fuel price as well as power import to and export from outside the market through long term contract. This paper introduces an approach of machine learning algorithm for day ahead electricity price forecasting with Least Square Support Vector Machine (LS-SVM). Previous day data of Hourly Ontario Electricity Price (HOEP), generation's price and demand from Ontario power market are used as the inputs for training data. The simulation is held using LSSVMlab in Matlab with the training and testing data of 2004. SVM that widely used for classification and regression has great generalization ability with structured risk minimization principle rather than empirical risk minimization. Moreover, same parameter settings in trained SVM give same results that absolutely reduce simulation process compared to other techniques such as neural network and time series. The mean absolute percentage error (MAPE) for the proposed model shows that SVM performs well compared to neural network.

  9. Metabolomics Characterization of U.S. and Japanese F-15 and C-130 Flight Line Crews Exposed to Jet Fuel Volatile Organic Compounds and Aerosols

    Science.gov (United States)

    2014-09-30

    AFRL-RH-WP-TR-2014-0140 METABOLOMICS CHARACTERIZATION OF U.S. AND JAPANESE F-15 AND C-130 FLIGHT LINE CREWS EXPOSED TO JET FUEL VOLATILE...From - To) Apr 2011 – Jul 2014 4. TITLE AND SUBTITLE Metabolomics characterization of U.S. and Japanese F-15 and C-130 flight line crews exposed to... metabolomics analysis of human urine was utilized for characterization of metabolite profiles of flight line personnel for potential biomarker discovery

  10. OPTIMIZED DETERMINATION OF TRACE JET FUEL VOLATILE ORGANIC COMPOUNDS IN HUMAN BLOOD USING IN-FIELD LIQUID-LIQUID EXTRACTION WITH SUBSEQUENT LABORATORY GAS CHROMATOGRAPHIC-MASS SPECTROMETRIC ANALYSIS AND ON-COLUMN LARGE VOLUME INJECTION

    Science.gov (United States)

    A practical and sensitive method to assess volatile organic compounds (VOCs) from JP-8 jet fuel in human whole blood was developed by modifying previously established liquid-liquid extraction procedures, optimizing extraction times, solvent volume, specific sample processing te...

  11. Volatility of the petroleum prices and the relationship with dollar depreciation; Volatilidade dos precos do petroleo e sua relacao com a desvalorizacao do dolar

    Energy Technology Data Exchange (ETDEWEB)

    Pinto Junior, Helder Queiroz; Iootty, Mariana; Fernandes, Camila

    2007-07-01

    This article aims to examine how the dollar instability is related to the totality of the petroleum prices. The article examines the time behavior of three variables: the prices of Brent type petroleum in dollar per barrel; the prices of Brent type petroleum in euros; and the exchange ratio euro/dollar. The series analyses was performed from three time cuts presents as follows, to put in evidence the relationship between the dollar declines and the recent run away of the petroleum prices: 01/002/2002-12/31/2002 (259 observations); 01/02/2003-12/31/2003 (258 observations); 01/02/2002-10/13/2004 (204 observations)

  12. Stochastic volatility selected readings

    CERN Document Server

    Shephard, Neil

    2005-01-01

    Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in which he discusses all major issues involved. General Introduction N. Shephard. Part I: Model Building. 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, (P. K. Clark). 2. Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar Prices, 1961-7, S. J. Taylor. 3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices, B. Rosenberg. 4. The Pricing of Options on Assets with Stochastic Volatilities, J. Hull and A. White. 5. The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model, F. X. Diebold and M. Nerlove. 6. Multivariate Stochastic Variance Models. 7. Stochastic Autoregressive...

  13. Waste-to-fuel opportunities for British quick service restaurants: A case study

    OpenAIRE

    Velazquez Abad, A.; Cherrett, T; Holdsworth, P.

    2015-01-01

    The fast food supply chain is facing increasing operating costs due to volatile food and energy prices. Based on a case study of a major fast food logistics operator, this paper quantifies the potential for fuel generation from the waste generated by quick-service restaurants in Britain. Several fuel pathways and supply chains were mapped to understand the carbon intensity of the various waste-to-fuel opportunities, the number of heavy goods vehicles that might be powered and the key factors ...

  14. Volatility Spillovers in Soybean Prices between International and Domestic Markets%国内外市场间大豆价格波动溢出效应分析

    Institute of Scientific and Technical Information of China (English)

    林学贵

    2016-01-01

    Sharp fluctuation of soybean prices in international and domestic markets has caused big risks for both domestic soybean producers and processing enterprises in recent years. It also increased the difficulties in implementing price stabilization policy for the government. This paper analyzed the volatility spillovers in soybean prices between international and domestic markets using multivariate VAR-BEKK-GARCH model based on the data set from the 22nd December 2004 to 19th December 2014. The estimate results indicated that there were volatility spillover effects from domestic futures market to spot market and bilateral spillover between international futures market and domestic spot market. In order to prevent market manipulation and to reduce the impacts of price volatility in international soybean market on Chinese market, the author proposed the following policy measures such as establishing early warning mechanism for soybean price fluctuations, improving soybean futures contract design and strengthening trading risk management mechnism, amplifying information disclosure system, regularizing speculation activities of big traders.%近年来,国内外大豆市场价格大幅波动,给国内大豆生产者和压榨企业带来了较大风险,也增加了政府调控市场的难度。基于2004年12月22日至2014年12月19日每日大豆市场价格数据,运用三元VAR-BEKK-GARCH模型,对大豆价格在国内现货市场、国内期货市场、国际期货市场之间的波动溢出效应进行了分析。研究发现,大豆存在从国内期货市场向国内现货市场的单向波动溢出效应以及国内现货市场与国际期货市场之间的双向波动溢出效应。建议建立大豆价格波动预警机制,进一步完善大豆期货合约和交易风险管理机制,健全信息披露制度,规范大户投机行为,防止市场操控,减少国际市场波动风险对国内市场的冲击。

  15. New empirical generalizations on the determinants of price elasticity

    NARCIS (Netherlands)

    Bijmolt, THA; Van Heerde, HJ; Pieters, RGM

    The importance of pricing decisions for firms has fueled an extensive stream of research on price elasticities. In an influential meta-analytical study, Tellis (1988) summarized price elasticity research findings until 1986. However, empirical generalizations on price elasticity require

  16. Leachability of volatile fuel compounds from contaminated soils and the effect of plant exudates: A comparison of column and batch leaching tests.

    Science.gov (United States)

    Balseiro-Romero, María; Kidd, Petra S; Monterroso, Carmen

    2016-03-05

    Volatile fuel compounds such as fuel oxygenates (FO) (MTBE and ETBE) and BTEX (benzene, toluene, ethylbenzene and xylene) are some of the most soluble components of fuel. Characterizing the leaching potential of these compounds is essential for predicting their mobility through the soil profile and assessing the risk of groundwater contamination. Plant root exudates can play an important role in the modification of contaminant mobility in soil-plant systems, and such effects should also be considered in leaching studies. Artificially spiked samples of A and B horizons from an alumi-umbric Cambisol were leached in packed-columns and batch experiments using Milli-Q water and plant root exudates as leaching agents. The leaching potential and rate were strongly influenced by soil-contaminant interactions and by the presence of root exudates. Organic matter in A horizon preferably sorbed the most non-polar contaminants, lowering their leaching potential, and this effect was enhanced by the presence of root exudates. On the other hand, the inorganic components of the B horizon, showed a greater affinity for polar molecules, and the presence of root exudates enhanced the desorption of the contaminants. Column experiments resulted in a more realistic protocol than batch tests for predicting the leaching potential of volatile organic compounds in dissimilar soils.

  17. A new method to obtain risk neutral probability, without stochastic calculus and price modeling, confirms the universal validity of Black-Scholes-Merton formula and volatility's role

    OpenAIRE

    Yatracos, Yannis G.

    2013-01-01

    A new method is proposed to obtain the risk neutral probability of share prices without stochastic calculus and price modeling, via an embedding of the price return modeling problem in Le Cam's statistical experiments framework. Strategies-probabilities $P_{t_0,n}$ and $P_{T,n}$ are thus determined and used, respectively,for the trader selling the share's European call option at time $t_0$ and for the buyer who may exercise it in the future, at $T; \\ n$ increases with the number of share's tr...

  18. 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

  19. A Note on Pricing Options on Defaultable Stocks

    CERN Document Server

    Bayraktar, Erhan

    2007-01-01

    In this note, we develop stock option price approximations for a model which takes both the risk o default and the stochastic volatility into account. We also let the intensity of defaults be influenced by the volatility. We show that it might be possible to infer the risk neutral default intensity from the stock option prices. Our option price approximation has a rich implied volatility surface structure and fits the data implied volatility well. Our calibration exercise shows that an effective hazard rate from bonds issued by a company can be used to explain the implied volatility skew of the implied volatility of the option prices issued by the same company.

  20. The impact of price discovery and volatility spillovers of index futures on stock index in China%中国股指期货的价格发现功能和波动外溢效应

    Institute of Scientific and Technical Information of China (English)

    刘瑾婧; 方兆本; 李海涛

    2011-01-01

    Using the EC-EGARCH-GED model, the function of price discovery and volatility spillovers of index futures was investigated. The result suggests that index futures enlarge volatility in the stock market. In the long run, index futures have an impact on the price of stock indexes, while in the short run, the impact of index futures is greater than long run equilibrium. The effect of the recently listed index futures on the Shanghai and Shenzhen 300 stock index was measured at last and the results showed that index futures' listing brought a impact on stock indexes.%运用EC-EGARCH-GED模型,分析了中国股指期货的价格发现功能和波动外溢效应.研究结果表明股指期货增大了股指的波动性.从长期看,股指期货的价格影响股票指数的价格;而短期内股指期货价格对股指价格的影响比长期均衡的影响大.最后还考察了中国新上市的股指期货对沪深300指数的影响,认为股指期货的上市给股指带来了一定的冲击力.

  1. 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.

  2. Business Cycles, Financial Crises, and Stock Volatility

    OpenAIRE

    G. William Schwert

    1989-01-01

    This paper shows that stock volatility increases during recessions and financial crises from 1834-1987. The evidence reinforces the notion that stock prices are an important business cycle indicator. Using two different statistical models for stock volatility, I show that volatility increases after major financial crises. Moreover. stock volatility decreases and stock prices rise before the Fed increases margin requirements. Thus, there is little reason to believe that public policies can con...

  3. In-situ studies on volatile jet exhaust particle emissions - impacts of fuel sulfur content and environmental conditions on nuclei-mode aerosols

    Energy Technology Data Exchange (ETDEWEB)

    Schroeder, F.; Baumann, R.; Petzold, A.; Busen, R.; Schulte, P.; Fiebig, M. [DLR Deutsches Zentrum fuer Luft- und Raumfahrt e.V., Wessling (Germany). Inst. fuer Physik der Atmosphaere; Brock, C.A. [Denver Univ., CO (United States). Dept. of Engineering

    2000-02-01

    In-situ measurements of ultrafine aerosol particle emissions were performed at cruise altitudes behind the DLR ATTAS research jet (RR M45H M501 engines) and a B737-300 aircraft (CFM56-3B1 engines). Measurements were made 0.15-20 seconds after emission as the source aircraft burned fuel with sulfur contents (FSC) of 2.6, 56 or 118 mg kg{sup -1}. Particle size distributions of from 3 to 60 nm diameter were determined using CN-counters with varying lower size detection limits. Volatile particle concentrations in the aircraft plumes strongly increased as diameter decreased toward the sizes of large molecular clusters, illustrating that apparent particle emissions are extremely sensitive to the smallest particle size detectable by the instrument used. Environmental conditions and plume age alone could influence the number of detected ultrafine (volatile) aerosols within an order of magnitude, as well. The observed volatile particle emissions decreased nonlinearly as FSC decreased to 60 mg kg{sup -1}, reaching minimum values of about 2 x 10{sup 17} kg{sup -1} and 2 x 10{sup 16} kg{sup -1} for particles >3 nm and >5 nm, respectively. Volatile particle emissions did not change significantly as FSCs were further reduced below 60 mg kg{sup -1}. Volatile particle emissions did not differ significantly between the two studied engine types. In contrast, soot particle emissions from the modern CFM56-3B1 engines were 4-5 times less (4 x 10{sup 14} kg{sup -1}) than from the older RR M45H M501 engines (1.8 x 10{sup 15} kg{sup -1}). Contrail processing has been identified as an efficient sink/quenching parameter for ultrafine particles and reduces the remaining interstitial aerosol by factors 2-10 depending on particle size.

  4. Effect of Volatility on Air-Fuel Ratio Distribution and Torque Output of a Carbureted Light Aircraft Piston Engine.

    Science.gov (United States)

    1982-03-01

    Positive displacement fuel flow sensor Burette type volumetric fuel flowmeter(2) Meriam laminar airflow meter Lamdascan air-fuel ratio meter Lebow inline...therefore the resulting data was not utilized. The volumetric flowrate of engine intake air was calculated from the pressure drop across a Meriam Model 50MC2

  5. Maternal and young child nutrition adversely affected by external shocks such as increasing global food prices.

    Science.gov (United States)

    Darnton-Hill, Ian; Cogill, Bruce

    2010-01-01

    Rising food prices, resulting from the ongoing global economic crisis, fuel price volatility, and climate change, have an adverse impact upon the poor, especially those in food-importing, resource-limited countries. The conventional approach by large organizations has been to advocate for increased staple crop yields of mainly cereals. High food prices are predicted to continue to at least 2015. Past shocks and their known impacts upon nutrition were reviewed. Price instability and increases have long been an existing global problem, which has been exacerbated by recent macroeconomic shocks such as acute emergencies due to war and civil strife, acute climatic events, increase in food prices, fuel price volatility, dysfunction of the global financial systems, long-term climate change, and the emergence of failed states. The FAO estimated that there were 815 million "hungry" people in 2006, with a now additional 75-135 million with increased vulnerability, and currently it is estimated that there are one billion people at risk of food insecurity. The shocks initially compromise maternal and child nutrition, mainly through a reduction in dietary quality and an increase in micronutrient deficiencies and concomitant increases in infectious disease morbidity and mortality. A further reduction in the quantity of diet may follow with greater underweight and wasting. Recent macroeconomic shocks have greatly increased the number of people who are vulnerable to hunger in developing countries. Nutritional surveillance systems need to be strengthened and expanded to inform policy decisions.

  6. Energies prices; Prix des energies

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    2005-08-15

    This document offers a synthesis of the tariffs and the energies prices in august 2005 in Paris, compared with the years 2003 and 2004. This sectoral presentation (transports, houses, industry) provides thus statistics on the prices of fuels, heating, propane, coal, wood fuels, electric power and gas. (A.L.B.)

  7. 我国棉花期货与现货市场的价格发现与波动溢出效应%Price discovery and volatility spillovers between futures and spot cotton market in China

    Institute of Scientific and Technical Information of China (English)

    何晓燕; 张蜀林

    2013-01-01

    以研究我国棉花期货和现货市场的动态关系为目的,基于VEC模型、Granger因果检验、脉冲响应分析和BEKK模型,对我国棉花期货和现货市场的价格发现功能和波动溢出效应进行实证分析.研究结果表明:期货价格和现货价格之间存在长期均衡关系和双向Granger引导关系.但期货市场对现货市场的引导作用更强,并且较现货市场具有更强的信息效应.此外,两个市场均存在很强的自身波动滞后效应,相互间的波动溢出效应也非常显著,但期货市场对现货市场的波动溢出效应明显大于后者对前者的波动溢出效应.%The purpose of this paper is to describe the dynamic relationship between futures and spot cotton market in China.Price discovery and volatility spillovers were examined for futures and spot cotton market based on VEC model,Granger causality test,impulse response analysis and BEKK model.The empirical results show that there is a cointegration relation between spot and futures prices of cotton.The futures market is the leader of price discovery in long-term,although bidirectional Granger causality are observed in short run.Meanwhile,the response of futures market is faster than spot market when they received impacts at the same time.Besides,there are strong volatility lagging effects and volatility spillovers in both markets,which in futures market are dominant.

  8. Literatures Review of the Relationship between Margin Trading and Stock Price Volatility at Home and Abroad%国内外融资融券业务与股价波动性关系的文献评述

    Institute of Scientific and Technical Information of China (English)

    钟碧兰; 申韬

    2016-01-01

    现阶段,针对内地市场融资融券与股价波动关系的研究存在正效用说、负效用说和效用不明说,研究结论差异较大。未来可通过借鉴和改进国外研究方法,结合中国内地融资融券市场开放程度,运用更长期的样本数据,从不同研究视角、采用适合内地实际的实证分析方法对融资融券业务与A股股价波动的关系进行研究,可以分别对融资卖空和融券买空交易进行研究,更确切地把握融资融券交易对股价波动的影响,不断提升我国A股市场的开放程度,提高我国证券市场的运作效率,促进融资融券业务的良性、有序发展。%There are three different perspectives on the present study of the relationship between margin trading business and stock price volatility in China:the positive effectiveness、negative effectiveness and unknown effective-ness,and the research results are quite different. In the future,by referring the foreign research methods,combining the openness of Chinese margin trading market,using long-term data,from different perspectives,using the method of empirical research which fitting for the local situation,we can analyze the relationship between Chinese margin trading business and A-share price volatility,and do the analysis on short of financing and overbuying of securities loan transactions respectively. Thus,we can accurately grasp the impact of margin trading on stock price volatility accurately,improve our A-share market’s openness,increase the efficiency of stock market operation,and promote healthy development of margin trading business.

  9. 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

  10. Managing industrial price risk: a balancing act

    Energy Technology Data Exchange (ETDEWEB)

    Muse, J-F. [Cargill Energy (United States)

    2000-07-01

    The challenge of managing industrial price risk is assessed by a senior executive of Cargill, a diversified industrial conglomerate, involved in steel manufacturing and recycling, oilseeds, cocoa, beef, pork, and poultry processing, fertilizer and fruit juice production, in addition to trading and financial risk management. Energy is a key component in many of Cargill's businesses, hence the company has good reason to be concerned about price volatility. The effects of energy risk management on the company's shareholders are demonstrated by an analysis of month-to-month price fluctuations over the Nov 1999 to Oct 2000 period, showing the monthly value of risk at the 95 per cent confidence level as $4,832,195. The effects of alternatives for an end-user such as passing on cost to customers, improving energy efficiency. fuel switching and production curtailment, are explored and limitations and problems with each of the approaches are discussed. The best options for industrial end-users of natural gas are suggested to be a proactive risk management program in the short-term and asset diversification, fuel switching, and geographic relocation of production facilities in the long-term.

  11. 中国房地产价格波动风险的稳健性测度%Robustness Measurement of Volatility Risk of Chinese Real Estate Price

    Institute of Scientific and Technical Information of China (English)

    聂英; 董娜

    2015-01-01

    The rapid rise of China real estate prices in recent years has exceeded the resident unbearable degree. Real estate prices once become the bubble,will cause serious negative impact on economy. This paper firstly analyzes the mechanism,cause,harm of real estate bubble. Then it uses Housing Price-income Ratio,Multiple Regression and Partial Equilibrium Analysis to measure the Real Es-tate Bubble of China. The research show the prices of China real estate show a rising trend from 2004 to 2013,it has cluster autocorrela-tion effect in areas. The extent of price bubble in the eastern coastal areas is more serious than Midwest areas.%近几年来,中国房地产价格的快速上涨,已经超出了居民的可忍受程度。房地产价格严重偏离其均衡价格水平,会对国民经济造成严重的负面影响。笔者首先分析了房地产价格上涨的成因及危害,然后通过指标法、因素回归法和局部均衡法测度了2004年以来中国内陆各地区的房地产价格偏离均衡价格情况,研究发现:2004年~2013年中国房价呈现直线上涨趋势,房价在地区间存在集聚自相关效应。房价高的东部沿海地区比房价低的中西部地区偏离均衡水平程度更加严重。

  12. Ham Petrol Fiyatlarındaki Volatilitenin Gayri Safi Yurtiçi Hasıla Büyümesi Üzerindeki Etkileri: Türkiye Örneği( The Effects on Gross Domestic Product Growth of Crude Oil Price Volatility: A Case Study for Turkey

    Directory of Open Access Journals (Sweden)

    Arif ÖZSAĞIR

    2011-01-01

    Full Text Available In this paper, the relationship between international crude oil prices and GDP growth in Turkey was studied for 1987-2007 period. Crude oil prices with reference to the study,. Include annual average data. GDP data was obtained from Central Bank of Turkish as US dolar. With a view to display cointegration relationship between the data, Angle Granger and Johansen methods were applied. Notwithstanding, the results were inquired with VAR method. In the meanwhile; Dickey Fuller, Unit Root and Modified Akaike tests were executed too. Crude oil prices volatility effects on GDP growth, and also affect in question has appeared especially as from the second period (1997-2007.

  13. Empirical study of Spillover Effect of Oil Price Volatility based on Daqing and Brent Oil Price%国内外石油价格波动溢出效应实证分析——以大庆原油价格和布伦特原油价格为例

    Institute of Scientific and Technical Information of China (English)

    李文星

    2012-01-01

    采用大庆原油价格和布伦特原油价格2001~2010年的周数据,运用BEKK-GARCH模型分析了国内外石油市场的波动溢出效应以及国内石油市场与国际石油市场波动的动态相关性。实证结果表明,国外市场对国内市场产生了显著的波动溢出,国内市场对国外市场具有一定的影响,但效果并不明显;信息传导方向是从国外市场到国内市场,且国内石油市场波动滞后于国外市场。进一步的研究发现,国内外石油价格波动的动态相关性不断加强。%This paper uses BEKK-GARCH model to uncover the volatility spillover effect between international and Chinese markets and the dynamic relevance,based on the weekly data of crude oil price in two markets ranging from January 2001 to August 2010.Our findings indicate that there exists obvious volatility spillover effect from international market to Chinese market and the volatility spillover effect from Chinese market to international market is small though unnegle ctable,which manifests an information flow from international market to Chinese market.In addition,the dynamic relevance between international oil price is getting stronger.

  14. Modelación de la volatilidad de los precios de la energía eléctrica en Colombia Volatility modeling of electric power prices in Colombia

    Directory of Open Access Journals (Sweden)

    Martha María Gil Zapata

    2008-01-01

    Full Text Available Se explora en este trabajo un adecuado procedimiento para modelar el precio de la energía eléctrica y su volatilidad, para con ello aportar al desarrollo del mercado de contado y de derivados sobre este, subyacente en Colombia, en términos de su valoración, de un cálculo más acertado de los márgenes de operación del sistema y de un manejo adecuado del riesgo asociado.This article analyzes an appropriate procedure to model electric power price and its volatility with the purpose of making some contributions to the development of cash market and its by-products, underlying in Colombia, in terms of its valuation, of a more precise calculation of system operation margins and an appropriate management of associated risk.

  15. 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......In this paper, we scrutinize the cross-sectional relation between idiosyncratic volatility and stock returns. As a novelty, the idiosyncratic volatility is obtained by conditioning upon macro-Önance factors as well as upon traditional asset pricing factors. The macro-Önance factors are constructed...

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

    Energy Technology Data Exchange (ETDEWEB)

    Vo, Minh, E-mail: minh.vo@metrostate.edu

    2011-09-15

    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.

  17. Volatility and Risk Controlling between Bank Credit and House Price%银行信贷与房价波动的关系及风险控制

    Institute of Scientific and Technical Information of China (English)

    李运蒙; 钱鑫

    2011-01-01

    选取全国房屋销售价格指数和居民中长期消费贷款2007年1月至2010年6月的月度统计数据,运用协整和Granger因果检验法分析了二者之间的关系,并建立了误差修正模型,结果显示在所考虑的数据区间内相关贷款和房价之间存在协整关系,且为双向因果关系.最后提出了对银行信贷风险控制的相关建议.%Monthly house selling price index and individual medium and long - term consumption loans from January 2007 to June 2010 were selected as statistics data. The relationship between the price index and the consumption loans was analyzed by co - integration model and Granger causality test,and then the error correction model was established. It showed that in the range of considered data the co - integration relationship between related loans and house price does exist, and can be two - way causality. Finally, some related suggestions were proposed to control the bank credit risk.

  18. Fabrication of lanthanum strontium cobalt ferrite (LSCF) cathodes for high performance solid oxide fuel cells using a low price commercial inkjet printer

    Science.gov (United States)

    Han, Gwon Deok; Neoh, Ke Chean; Bae, Kiho; Choi, Hyung Jong; Park, Suk Won; Son, Ji-Won; Shim, Joon Hyung

    2016-02-01

    In this study, we investigate a method to fabricate high quality lanthanum strontium cobalt ferrite (LSCF) cathodes for solid oxide fuel cells (SOFCs) using a commercial low price inkjet printer. The ink source is synthesized by dissolving the LSCF nanopowder in a water-based solvent with a proper amount of surfactants. Microstructures of the LSCF layer, including porosity and thickness per printing scan cycle, are adjusted by grayscale in the printing image. It is successfully demonstrated that anode-supported SOFCs with optimally printed LSCF cathodes can produce decent power output, i.e., a maximum peak power density of 377 mW cm-2 at 600 °C, in our experiment. We expect that this approach can support the quick and easy prototyping and evaluating of a variety of cathode materials in SOFC research.

  19. Price Discovery and Volatility Spillovers of Stock Index Futures Markets in China%我国股指期货市场的价格发现与波动溢出效应

    Institute of Scientific and Technical Information of China (English)

    严敏; 巴曙松; 吴博

    2009-01-01

    This paper investigates the price discovery function,the linkages and interactions between the futures and spot markets of Hu-Shen 300 stock indexes with a VEC model,common factor models and a modified bivariate EGARCH model with an error correction.The evidence suggests that there is a long-run cointegration,a short-term bidirectional Granger relationship between the futures and spot markets,although most of the price discovery takes place at the spot markets for the moment and significant asymmetric volatility-spillovers are not found.%借助向量误差修正模型、公共因子模型和带有误差修正的双变量EGARCH模型,对沪深300股指期货市场和现货市场之间的价格发现功能以及互动关系进行了研究和分析,研究结论表明:目前指数现货市场在价格发现中起到主导作用,且两个市场之间不存在显著的非对称双向波动溢出效应,但是指数期货价格和现货价格之间存在长期的均衡关系、短期的双向Granger因果关系.

  20. 跳扩散模型中随机利率和随机波动下期权定价%Option pricing in jump-diffusion model with stochastic volatility and stochastic interest rate

    Institute of Scientific and Technical Information of China (English)

    张素梅

    2012-01-01

    To describe the real volatility of stock returns, this paper provides a rational model through allowing for stochastic interest rate and stochastic volatility rate in the double exponential jump-diffusion model. Subsequently, a closed-form solution for European call option is derived under the proposed model. Furthermore, the effects of main parameters on option prices are analyzed using numerical simulation. Simulations show that the model is suitable for modeling real-market changes. Stock returns are negatively correlated with volatility and stochastic interest rate has a significant impact on long term option values.%为合理刻画股价实际变化趋势,在双指数跳扩散模型中通过允许利率随机和波动率随机建立了合理的市场模型;然后利用鞅方法推导了随机利率、随机波动率下双指数跳扩散模型的欧式期权定价的闭式解;最后通过数值模拟分析了模型的主要参数对期权定价的影响.数值结果显示:所提模型能够较好地刻画股价实际变化趋势,股票收益和波动率负相关,随机利率对短期到期期权影响几乎可以忽略,而对长期到期期权价格影响显著.

  1. Impacts of lower fuel prices on the results of the NEV-scenarios. Effecten van lagere brandstofprijzen op de resultaten van de NEV-scenario's

    Energy Technology Data Exchange (ETDEWEB)

    Boonekamp, P.G.; Verhagen, L.

    1988-09-01

    Last year a National Energy Outlook (NEV 1987) was completed which contained a set of three energy scenarios describing a range of plausible developments of the Dutch energy sector up to the year 2010. The effects of 30 to 40% lower fuel prices on the results of the National Energy Outlook are analysed. The results show that the overall costs of energy supply decrease by 16 to 24%. The potential for fuel substitution is limited to public power generation and large scale industrial steam production (cogeneration). In public power generation the competition between coal and natural gas remains in favour of coal. Nuclear energy, however, is substituted by coal in two scenarios, because of cheaper electricity production with coal. In industrial steam generation gas-fired cogeneration replaces coal-fired cogeneration and coal-fired steam boilers. The total cogeneration capacity remains the same or increases up to 36% depending on the scenario and policy case. The total effect of these changes is a modest transition from coal to gas and a slightly decreasing total SO/sub 2/-emission. The total NO/sub x/-emission remains more or less the same. In the nuclear cases of two scenarios, however, coal use and emissions increase. If final demand for energy is corrected for lower energy savings due to lower prices, total energy use increases by about 3%. In this case SO/sub 2/- and NO/sub x/-emissions are higher than in the National Energy Outlook. 8 figs., 8 refs., 20 tabs.

  2. 异质价格预期、无风险利率调整与证券市场波动%Heterogeneous price expectations, risk free rate adjustment and volatility of security markets

    Institute of Scientific and Technical Information of China (English)

    袁晨; 傅强

    2012-01-01

    After constructing a two-dimensional discrete nonlinear dynamical model of asset prices with traders ' heterogeneous price expectations, this paper studies the impact of risk free rate adjustments on the stability of the equilibrium point. Moreover, an empirical test has been used to study the volatility *of Chinese stock market from 2004 to 2009. Theoretical analysis shows that the local stability in security markets is difficult to show up due to the increasing risk free rate, and it can not be essentially changed when the risk free rate declines. Furthermore, the results are also indirectly confirmed by the empirical work. Especially compared with the benchmark, the volatility of China' s stock market is excessive during the seven times of increasing interest ra'te from August 2006 to October 2008. However, during the four times the central bank' s reduced interest rates from October 2008 to October 2009, the volatility shows no significant difference with respect to the benchmark.%基于交易者的异质价格预期规则,构建了二维离散非线性资产价格动态模型,探讨了无风险利率调整对均衡点稳定性的影响,实证检验了2004-2009年期间我国证券市场的波动性.理论分析表明,提高无风险利率易导致证券市场难以形成局部稳定,降低无风险利率则不会从本质上改变稳定性.实证结果显示:相对基准期而言,2006年8月—2008年10月的7次加息期间,证券市场呈现波动加剧特征;2008年10月—2009年10月的4次降息期间,证券市场的波动性没有显著改变.

  3. Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach

    DEFF Research Database (Denmark)

    Bach, Christian; Christensen, Bent Jesper

    We include simultaneously both realized volatility measures based on high-frequency asset returns and implied volatilities backed out of individual traded at the money option prices in a state space approach to the analysis of true underlying volatility. We model integrated volatility as a latent...... fi…rst order Markov process and show that our model is closely related to the CEV and Barndorff-Nielsen & Shephard (2001) models for local volatility. We show that if measurement noise in the observable volatility proxies is not accounted for, then the estimated autoregressive parameter in the latent...... process is downward biased. Implied volatility performs better than any of the alternative realized measures when forecasting future integrated volatility. The results are largely similar across the stock market (S&P 500), bond market (30-year U.S. T-bond), and foreign currency exchange market ($/£ )....

  4. 英文摘要%House Price Volatility, the Selection of Monetary Policy Instruments and the Stability of Macro-economy: Theory and Empirical Evidence

    Institute of Scientific and Technical Information of China (English)

    2011-01-01

    LI Cheng, LI Ke-jun, MA Wen-tao (School of Economics and Finance, Xi'an Jiaotong University, Xi'an 710061, China) Abstract: This paper applies the simulation method on the basis of Dynamic Stochastic General Equilibrium Model with house sector and the test of spillover effect based on VAR GARCH( 1,1 ) -ABEKK Model to analyze the relationship between monetary policy and house price. The results show that when monetary policy regulates and controls house market, the central bank should focus on quantity instrument of monetary policy.

  5. An electricity price model with consideration to load and gas price effects

    Institute of Scientific and Technical Information of China (English)

    黄民翔; 陶小虎; 韩祯祥

    2003-01-01

    Some characteristics of the electricity load and prices are studied, and the relationship between electricity prices and gas (fuel) prices is analyzed in this paper. Because electricity prices are strongly dependent on load and gas prices, the authors constructed a model for electricity prices based on the effects of these two factors; and used the Geometric Mean Reversion Brownian Motion (GMRBM) model to describe the electricity load process, and a Geometric Brownian Motion(GBM) model to describe the gas prices; deduced the price stochastic process model based on the above load model and gas price model. This paper also presents methods for parameters estimation, and proposes some methods to solve the model.

  6. 燃油价格波动与汽车市场需求%Gasoline price volatility and auto market demand

    Institute of Scientific and Technical Information of China (English)

    苏子杉; 方兆本; 刘杰

    2012-01-01

    以离散选择模型为基础,通过引入心理学中的随机效用模型解释了整体效用中由不可观测因素带来的随机效用部分,结合包括燃油价格在内的多种市场因素及各车型自身属性,给出了一个市场份额模型,并讨论了燃油价格波动对于不同汽车款型市场份额的影响.区别于以往基于人口统计学数据的传统方法,直接模拟了总体市场选择行为,一方面使方法简化从而提高了可操作性,另一方面也避免了由于人口统计学数据中的误差对模型整体准确性的影响.%Based on the discrete choice model, this work adopted a random utility model from psychology theories to explain the random utility resulting from unobservable attributes in the overall utility. A market share model was constructed in view of various factors including gasoline prices, multiple market factors and the attributes of each model, and a discussion of the relationship between gasoline prices and market shares was performed. Different from the previous demographic data based approaches, this work simulated the choice behavior of the whole market, thereby presenting a simpler and more practical approach. Meanwhile, the possible error brought by demographic data was avoided consequently.

  7. A new approach for crude oil price prediction based on stream learning

    Directory of Open Access Journals (Sweden)

    Shuang Gao

    2017-01-01

    Full Text Available Crude oil is the world's leading fuel, and its prices have a big impact on the global environment, economy as well as oil exploration and exploitation activities. Oil price forecasts are very useful to industries, governments and individuals. Although many methods have been developed for predicting oil prices, it remains one of the most challenging forecasting problems due to the high volatility of oil prices. In this paper, we propose a novel approach for crude oil price prediction based on a new machine learning paradigm called stream learning. The main advantage of our stream learning approach is that the prediction model can capture the changing pattern of oil prices since the model is continuously updated whenever new oil price data are available, with very small constant overhead. To evaluate the forecasting ability of our stream learning model, we compare it with three other popular oil price prediction models. The experiment results show that our stream learning model achieves the highest accuracy in terms of both mean squared prediction error and directional accuracy ratio over a variety of forecast time horizons.

  8. 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.

  9. Oil Prices Take a Hike

    Institute of Scientific and Technical Information of China (English)

    2007-01-01

    The National Development and Reform Commission(NDRC),China’s top economic planner,announced at the end of October that the benchmark prices of gasoline,diesel oil and aviation kerosene would be raised by 500 yuan per ton. Recently,international oil prices have been rising continuously.Crude oil futures prices traded in New York surged to$93 per barrel on October 29. However,in China,oil prices are set by the government and not by the market. The recent hike on the price of oil in China is a measure implemented,to narrow the gap between soaring global crude oil prices and domestic fuel prices.NDRC officials answered questions posed by Xinhua News Agency about recent oil price hikes.The questions and answers follow:

  10. 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.

  11. Dynamic Volatility Arbitrage

    DEFF Research Database (Denmark)

    Dorn, Jochen

    profit on well-developed markets. Dynamic participation features on cross asset portfolios are at rst sight a remedy to that dilemma. Based on volatility thresholds and portfolio re-balancing, the fund engineers try to create a "volatility guaranteed" investment opportunity by surfing on the unusual high...... concepts, next to nothing is known about position reverting strategies and how, and -even more important- in which context they are applied in practice. In the recent market downturn only one sector generated signicant profits for the leading investment banks: Volatility trading activities, namely on Forex......, interest rates and commodities. If an investor positions himself on the (volatility) market within a long/short trading framework, he typically bets on a traditional mispricing arbitrage. However as this corresponds to a call spread with equal exercise prices, this strategy alone would not generate enough...

  12. Volatility Spillover and Correlations between Stock Prices of Chinese New Energy Companies and Crude Oil Prices%我国新能源公司股票价格与原油价格的波动率外溢与相关性研究

    Institute of Scientific and Technical Information of China (English)

    温晓倩; 魏宇; 黄登仕

    2012-01-01

    目前投资者对新能源公司股票的重视程度大大提高。本文使用非对称的(BV)GARCH模型研究了我国新能源股票和WTI原油期货收益的波动率外溢与相关性。非对称的(BV)GARCH模型不仅提供了两个市场之间存在波动率外溢的证据,而且发现这两项资产的价格波动存在非对称性。基于上述发现,我们进一步利用非对称的(BV)GARCH模型进行了两项资产的套期保值和投资组合构建分析。实证结果显示,平均来讲,1元的新能源股票多头头寸可以用0.2元的WTI原油期货空头头寸来避险.而对于一个1元的投资组合.则应该投资0.43元于新能源股票,0.57元于WTI原油期货。本文的实证结果为新能源公司股票的投资风险管控和投资决策提供了经验支持。%New energy companies have been paid much more attention by investors these days. In this paper, volatility spillover effect and correlations between stock prices of Chinese new energy companies and oil prices are investigated via Asymmetric (BV) GARCH. Asymmetric (BV) GARCH not only provides evidence of volatility spillover between the markets, but also the asymmetry in the assets volatilities. Based on the empirical results above, we further make hedging and portfolio investment decisions with Asymmetric (BV) GARCH. The results show that, on the average, a RMB 1 long position in new energy companies can be hedged for RMB0.2 with a short position in the crude oil futures market. And if there is a RMB 1 portfolio, then RMB0.43 should be invested in new energy company stocks and RMBO.57 in the crude oil futures. The results may provide empirical suggestions for new energy company stock investors in terms of risk management.

  13. Isothiazolone Volatility Study of a Water Bottom from Fuel Treated with Kathon(trade name) FP1.5 Biocide

    Science.gov (United States)

    1993-11-01

    specific biocides was evaluated. Pure cultures of Hormonoconis resinae (previously Cladosporium resinae ), Yarrowia lipolytica and Pseudomonas...R.A., "Growth of Cladosporium resinae in Sea Water/Fuel Systems", Developments in Industrial Microbiology, 22, 781 (1981). 5 MacGregor C. and Devitt S...Contractor Report CR/87/431, (1987). 8 Hebda A.J. and Jones G.M., "Conditions and Modifications to Conditions for Growth of C. resinae in Canadian

  14. An endophytic/pathogenic Phoma sp. from creosote bush producing biologically active volatile compounds having fuel potential.

    Science.gov (United States)

    Strobel, Gary; Singh, Sanjay K; Riyaz-Ul-Hassan, Syed; Mitchell, Angela M; Geary, Brad; Sears, Joe

    2011-07-01

    A Phoma sp. was isolated and characterized as endophytic and as a pathogen of Larrea tridentata (creosote bush) growing in the desert region of southern Utah, USA. This fungus produces a unique mixture of volatile organic compounds (VOCs), including a series of sesquiterpenoids, some alcohols and several reduced naphthalene derivatives. Trans-caryophyllene, a product in the fungal VOCs, was also noted in the VOCs of this pungent plant. The gases of Phoma sp. possess antifungal properties and is markedly similar to that of a methanolic extract of the host plant. Some of the test organisms with the greatest sensitivity to the Phoma sp. VOCs were Verticillium, Ceratocystis, Cercospora and Sclerotinia while those being the least sensitive were Trichoderma, Colletotrichum and Aspergillus. We discuss the possible involvement of VOC production by the fungus and its role in the biology/ecology of the fungus/plant/environmental relationship with implications for utilization as an energy source.

  15. Option Pricing when the Regime-Switching Risk is Priced

    Institute of Scientific and Technical Information of China (English)

    Tak Kuen Siu; Hailiang Yang

    2009-01-01

    We study the pricing of an option when the price dynamic of the underlying risky asset is governed by a Markov-modulated geometric Brownian motion. We suppose that the drift and volatility of the underlying risky asset are modulated by an observable continuous-time, finite-state Markov chain. We develop a twostage pricing model which can price both the diffusion risk and the regime-switching risk based on the Esscher transform and the minimization of the maximum entropy between an equivalent martingale measure and the real-world probability measure over different states. Numerical experiments are conducted and their results reveal that the impact of pricing regime-switching risk on the option prices is significant.

  16. Energy prices; Prix des energies

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    2007-01-15

    This folder presents a synthesis of the main energy tariffs and prices in January 2007 and their comparison with the average annual data for 2005 and 2006. Data are presented in tables by sector of activity and by energy source: transports (automotive fuels), residential (fuel oil, district heating, propane, coal, wood-fuel, electricity, natural gas), industry (natural gas, electricity, heavy fuel oil, coal). (J.S.)

  17. Biomass burning emissions and potential air quality impacts of volatile organic compounds and other trace gases from fuels common in the US

    Science.gov (United States)

    Gilman, J. B.; Lerner, B. M.; Kuster, W. C.; Goldan, P. D.; Warneke, C.; Veres, P. R.; Roberts, J. M.; de Gouw, J. A.; Burling, I. R.; Yokelson, R. J.

    2015-12-01

    A comprehensive suite of instruments was used to quantify the emissions of over 200 organic gases, including methane and volatile organic compounds (VOCs), and 9 inorganic gases from 56 laboratory burns of 18 different biomass fuel types common in the southeastern, southwestern, or northern US. A gas chromatograph-mass spectrometry (GC-MS) instrument provided extensive chemical detail of discrete air samples collected during a laboratory burn and was complemented by real-time measurements of organic and inorganic species via an open-path Fourier transform infrared spectroscopy (OP-FTIR) instrument and three different chemical ionization-mass spectrometers. These measurements were conducted in February 2009 at the US Department of Agriculture's Fire Sciences Laboratory in Missoula, Montana and were used as the basis for a number of emission factors reported by Yokelson et al. (2013). The relative magnitude and composition of the gases emitted varied by individual fuel type and, more broadly, by the three geographic fuel regions being simulated. Discrete emission ratios relative to carbon monoxide (CO) were used to characterize the composition of gases emitted by mass; reactivity with the hydroxyl radical, OH; and potential secondary organic aerosol (SOA) precursors for the 3 different US fuel regions presented here. VOCs contributed less than 0.78 % ± 0.12 % of emissions by mole and less than 0.95 % × 0.07 % of emissions by mass (on average) due to the predominance of CO2, CO, CH4, and NOx emissions; however, VOCs contributed 70-90 (±16) % to OH reactivity and were the only measured gas-phase source of SOA precursors from combustion of biomass. Over 82 % of the VOC emissions by mole were unsaturated compounds including highly reactive alkenes and aromatics and photolabile oxygenated VOCs (OVOCs) such as formaldehyde. OVOCs contributed 57-68 % of the VOC mass emitted, 41-54 % of VOC-OH reactivity, and aromatic-OVOCs such as benzenediols, phenols, and benzaldehyde

  18. 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.

  19. Biofuel and Food-Commodity Prices

    Directory of Open Access Journals (Sweden)

    David Zilberman

    2012-09-01

    Full Text Available The paper summarizes key findings of alternative lines of research on the relationship between food and fuel markets, and identifies gaps between two bodies of literature: one that investigates the relationship between food and fuel prices, and another that investigates the impact of the introduction of biofuels on commodity-food prices. The former body of literature suggests that biofuel prices do not affect food-commodity prices, but the latter suggests it does. We try to explain this gap, and then show that although biofuel was an important contributor to the recent food-price inflation of 2001–2008, its effect on food-commodity prices declined after the recession of 2008/09. We also show that the introduction of cross-price elasticity is important when explaining soybean price, but less so when explaining corn prices.

  20. 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)

  1. NONLINEAR ANALYSIS OF FINANCIAL SYSTEMS:EXPLORING THE NONLINEAR IMPACT OF THE TRADING VOLUME ON THE PRICE VOLATILITY%金融系统的非线性分析:交易量对股价波动的非线性影响

    Institute of Scientific and Technical Information of China (English)

    彭海伟; 卢祖帝

    2009-01-01

    Exploring the relationship between price volatility and trading volume in financial market has been a hot topic in the study of financial systems. Lamoureux and Lastrapes advance that the daily trading volume is a proper measure of the information arrivals at the market, but they assume that this impact of the trading volume on the price volatility is linear. In this paper, we propose a partially nonlinear GARCH model, together with local linear maximum likelihood estimation method, to examine the nonlinear relationship between the trading volume and the price volatility. Using the data sets of 20 stocks from the Chinese stock market, we empirically demonstrate that the impact of the trading volume on the stock price volatility is significantly nonlinear. An empirical parametric power function is also suggested for this nonlinear impact, which is more significantly reasonable than the linear impact hypothesis.%如何研究股价波动和成交量之间的关系一直是金融系统研究中感兴趣的话题.Lamoureux和Lastrapes认为选择日交易量度量每天流入市场的信息量是合理的,但他们假定交易量对波动率的影响是线性的.提出部分非线性GARCH模型分析交易量对股票市场波动率的影响,基于GARCH模型局部线性化非参数似然估计方法,对中国证券市场股票价格和交易量数据进行实证研究.结果表明,交易量对股价波动的影响具有显著的非线性性.

  2. A Hybrid Multi-Step Model for Forecasting Day-Ahead Electricity Price Based on Optimization, Fuzzy Logic and Model Selection

    Directory of Open Access Journals (Sweden)

    Ping Jiang

    2016-08-01

    Full Text Available The day-ahead electricity market is closely related to other commodity markets such as the fuel and emission markets and is increasingly playing a significant role in human life. Thus, in the electricity markets, accurate electricity price forecasting plays significant role for power producers and consumers. Although many studies developing and proposing highly accurate forecasting models exist in the literature, there have been few investigations on improving the forecasting effectiveness of electricity price from the perspective of reducing the volatility of data with satisfactory accuracy. Based on reducing the volatility of the electricity price and the forecasting nature of the radial basis function network (RBFN, this paper successfully develops a two-stage model to forecast the day-ahead electricity price, of which the first stage is particle swarm optimization (PSO-core mapping (CM with self-organizing-map and fuzzy set (PCMwSF, and the second stage is selection rule (SR. The PCMwSF stage applies CM, fuzzy set and optimized weights to obtain the future price, and the SR stage is inspired by the forecasting nature of RBFN and effectively selects the best forecast during the test period. The proposed model, i.e., CM-PCMwSF-SR, not only overcomes the difficulty of reducing the high volatility of the electricity price but also leads to a superior forecasting effectiveness than benchmarks.

  3. 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)

  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. Scaling Foreign Exchange Volatility

    OpenAIRE

    Jonathan Batten; Craig Ellis

    2001-01-01

    When asset returns are normally distributed the risk of an asset over a long return interval may be estimated by scaling the risk from shorter return intervals. While it is well known that asset returns are not normally distributed a key empirical question concerns the effect that scaling the volatility of dependent processes will have on the pricing of related financial assets. This study provides an insight into this issue by investigating the return properties of the most important currenc...

  6. Price Discrimination

    OpenAIRE

    Armstrong, Mark

    2008-01-01

    This paper surveys recent economic research on price discrimination, both in monopoly and oligopoly markets. Topics include static and dynamic forms of price discrimination, and both final and input markets are considered. Potential antitrust aspects of price discrimination are highlighted throughout the paper. The paper argues that the informational requirements to make accurate policy are very great, and with most forms of price discrimination a laissez-faire policy may be the best availabl...

  7. The Empirical Research of the Relationship on Underlying Stock Volatility in China Convertible Bonds Market

    Directory of Open Access Journals (Sweden)

    Youzhi Zeng

    2013-04-01

    Full Text Available The study tries to improve the pricing efficiency of pricing models for the convertible bond by calculating the volatility of the underlying stock more accurately. By deducing the relationship between the historical volatility before the convertible bond issue which can be calculated accurately and the historical volatility of the underlying stock after the convertible bond issue which is suitable for pricing models and can’t be calculated accurately in China, the after volatility can be calculated directly and accurately.

  8. 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...

  9. The Study on the Volatility Spillover Effect between RMB Exchange Rate and Stock Price Based on the MV-GARCH Model%人民币汇率与股票价格波动溢出效应的MV-GARCH分析

    Institute of Scientific and Technical Information of China (English)

    景海霞; 寇明婷; 史润玲

    2013-01-01

    基于二元VAR-BEKK-MVGARCH模型,以人民币兑美元汇率(RMB/USD)与上证综合指数每日收盘价为样本,分析了汇率制度改革后人民币汇率与A-股市场价格的波动溢出效应。我们的研究表明,汇率制度改革后,人民币兑美元汇率(RMB/USD)与中国A股市场股票价格指数之间的一阶价格溢出效应表现不明显,但存在显著的双向高阶波动溢出效应,且汇率市场对股票市场表现出更为强烈波动溢出效应。%T his paper investigates the impact of the spillover effect between RMB exchange rate and stock price after exchange rates reform in virtue of the VAR-BEKK-MVGARCH model. Our empirical analysis is based on the data from Shanghai A- share market and RMB exchange rates (RMB against US dollar RMB/USD). We have found that there are no price spillover effects between RMB exchange rate against US dollar and stock price, but a bi-directional volatility spillovers effect between RMB/USD and stock price, and the volatility spillover effect of RMB exchange rate to stock price is more significant than stock price to RMB exchange rate.

  10. 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...

  11. 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 vola

  12. 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 vola

  13. Modelling and forecasting electricity price variability

    Energy Technology Data Exchange (ETDEWEB)

    Haugom, Erik

    2012-07-01

    The liberalization of electricity sectors around the world has induced a need for financial electricity markets. This thesis is mainly focused on calculating, modelling, and predicting volatility for financial electricity prices. The four first essays examine the liberalized Nordic electricity market. The purposes in these papers are to describe some stylized properties of high-frequency financial electricity data and to apply models that can explain and predict variation in volatility. The fifth essay examines how information from high-frequency electricity forward contracts can be used in order to improve electricity spot-price volatility predictions. This essay uses data from the Pennsylvania-New Jersey-Maryland wholesale electricity market in the U.S.A. Essay 1 describes some stylized properties of financial high-frequency electricity prices, their returns and volatilities at the Nordic electricity exchange, Nord Pool. The analyses focus on distribution properties, serial correlation, volatility clustering, the influence of extreme events and seasonality in the various measures. The objective of Essay 2 is to calculate, model, and predict realized volatility of financial electricity prices for quarterly and yearly contracts. The total variation is also separated into continuous and jump variation. Various market measures are also included in the models in order potentially to improve volatility predictions. Essay 3 compares day-ahead predictions of Nord Pool financial electricity price volatility obtained from a GARCH approach with those obtained using standard time-series techniques on realized volatility. The performances of a total of eight models (two representing the GARCH family and six representing standard autoregressive models) are compared and evaluated. Essay 4 examines whether predictions of day-ahead and week-ahead volatility can be improved by additionally including volatility and covariance effects from related financial electricity contracts

  14. Labor Unions and Asset Prices

    DEFF Research Database (Denmark)

    Busato, Francesco; Addessi, William

    The paper investigates the nexus between labor and financial markets, focusing on the interaction between labor union behavior in setting wages, firms' investment strategy and asset prices. The way unions set wage claims after observing firm's financial performance increases the volatility of firms...

  15. DECOMPOSING PRODUCER PRICE RISK: A POLICY ANALYSIS TOOL WITH AN APPLICATION TO NORTHERN KENYAN LIVESTOCK MARKETS

    OpenAIRE

    2002-01-01

    This paper introduces a simple method of price risk decomposition that determines the extent to which producer price risk is attributable to volatile inter-market margins, intra-day variation, intra-week (day of week) variation, or terminal market price variability. We apply the method to livestock markets in northern Kenya, a setting of dramatic price volatility where price stabilization is a live policy issue. In this particular application, we find that large, variable inter-market basis i...

  16. DECOMPOSING PRODUCER PRICE RISK: AN ANALYSIS OF LIVESTOCK MARKETS IN NORTHERN KENYA

    OpenAIRE

    2001-01-01

    This paper introduces a simple method of price risk decomposition that determines the extent to which producer price risk is attributable to volatile inter-market margins, intra-day variation, intra-week (day of week) variation, or seasonality. We apply the method to livestock markets in northern Kenya, a setting of dramatic price volatility where price stabilization is a live policy issue. Large, variable inter-market basis is the single most important factor in explaining producer price ris...

  17. Household fuel demand analysis

    Energy Technology Data Exchange (ETDEWEB)

    Cohn, S.; Hirst, E.; Jackson, J.

    1976-01-01

    This study develops econometric models of residential demands for electricity, natural gas, and petroleum products. Fuel demands per household are estimated as functions of fuel prices, per capita income, heating degree days, and mean July temperature. Cross-sectional models are developed using a large data base containing observations for each state and year from 1951 through 1974. Long-run own-price elasticities for all three fuels are greater than unity with natural gas showing the greatest sensitivity to own-price changes. Cross-price elasticities are all less than unity except for the elasticity of demand for oil with respect to the price of gas (which is even larger than the own-price elasticity of demand for oil). The models show considerable stabiity with respect to own-price elasticities but much instability with respect to the cross-price and income elasticities.

  18. The economic value of realized volatility

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Feunou, Bruno; Jacobs, Kris

    2014-01-01

    Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added. To do so, we...... develop a new class of affine discrete-time option valuation models that use daily returns as well as realized volatility. We derive convenient closed-form option valuation formulas, and we assess the option valuation properties using Standard & Poor’s (S&P) 500 return and option data. We find...... that realized volatility reduces the pricing errors of the benchmark model significantly across moneyness, maturity, and volatility levels....

  19. 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...

  20. Volatile Metabolites

    Directory of Open Access Journals (Sweden)

    Daryl D. Rowan

    2011-11-01

    Full Text Available Volatile organic compounds (volatiles comprise a chemically diverse class of low molecular weight organic compounds having an appreciable vapor pressure under ambient conditions. Volatiles produced by plants attract pollinators and seed dispersers, and provide defense against pests and pathogens. For insects, volatiles may act as pheromones directing social behavior or as cues for finding hosts or prey. For humans, volatiles are important as flavorants and as possible disease biomarkers. The marine environment is also a major source of halogenated and sulfur-containing volatiles which participate in the global cycling of these elements. While volatile analysis commonly measures a rather restricted set of analytes, the diverse and extreme physical properties of volatiles provide unique analytical challenges. Volatiles constitute only a small proportion of the total number of metabolites produced by living organisms, however, because of their roles as signaling molecules (semiochemicals both within and between organisms, accurately measuring and determining the roles of these compounds is crucial to an integrated understanding of living systems. This review summarizes recent developments in volatile research from a metabolomics perspective with a focus on the role of recent technical innovation in developing new areas of volatile research and expanding the range of ecological interactions which may be mediated by volatile organic metabolites.

  1. Nuclear Fuel Cycle Evaluation and Real Options

    Directory of Open Access Journals (Sweden)

    L. Havlíček

    2008-01-01

    Full Text Available The first part of this paper describes the nuclear fuel cycle. It is divided into three parts. The first part, called Front-End, covers all activities connected with fuel procurement and fabrication. The middle part of the cycle includes fuel reload design activities and the operation of the fuel in the reactor. Back-End comprises all activities ensuring safe separation of spent fuel and radioactive waste from the environment. The individual stages of the fuel cycle are strongly interrelated. Overall economic optimization is very difficult. Generally, NPV is used for an economic evaluation in the nuclear fuel cycle. However the high volatility of uranium prices in the Front-End, and the large uncertainty of both economic and technical parameters in the Back-End, make the use of NPV difficult. The real option method is able to evaluate the value added by flexibility of decision making by a company under conditions of uncertainty. The possibility of applying this method to the nuclear fuel cycle evaluation is studied. 

  2. A Generalized Schwartz Model for Energy Spot Prices - Estimation using a Particle MCMC Method

    DEFF Research Database (Denmark)

    Lunde, Asger; Brix, Anne Floor; Wei, Wei

    We propose an energy spot price model featuring a two-factor price process and a two-component stochastic volatility process. The first factor in the price process captures the normal variations; the second accounts for spikes. The two-component volatility allows for a flexible autocorrelation st...

  3. Option pricing during post-crash relaxation times

    Science.gov (United States)

    Dibeh, Ghassan; Harmanani, Haidar M.

    2007-07-01

    This paper presents a model for option pricing in markets that experience financial crashes. The stochastic differential equation (SDE) of stock price dynamics is coupled to a post-crash market index. The resultant SDE is shown to have stock price and time dependent volatility. The partial differential equation (PDE) for call prices is derived using risk-neutral pricing. European call prices are then estimated using Monte Carlo and finite difference methods. Results of the model show that call option prices after the crash are systematically less than those predicted by the Black-Scholes model. This is a result of the effect of non-constant volatility of the model that causes a volatility skew.

  4. The impact of wind power on electricity prices

    Energy Technology Data Exchange (ETDEWEB)

    Brancucci Martinez-Anido, Carlo; Brinkman, Greg; Hodge, Bri-Mathias

    2016-08-01

    This paper investigates the impact of wind power on electricity prices using a production cost model of the Independent System Operator - New England power system. Different scenarios in terms of wind penetration, wind forecasts, and wind curtailment are modeled in order to analyze the impact of wind power on electricity prices for different wind penetration levels and for different levels of wind power visibility and controllability. The analysis concludes that electricity price volatility increases even as electricity prices decrease with increasing wind penetration levels. The impact of wind power on price volatility is larger in the shorter term (5-min compared to hour-to-hour). The results presented show that over-forecasting wind power increases electricity prices while under-forecasting wind power reduces them. The modeling results also show that controlling wind power by allowing curtailment increases electricity prices, and for higher wind penetrations it also reduces their volatility.

  5. Predicting Argentine Jet Fuel Prices

    Science.gov (United States)

    2007-03-01

    Juan Angel Salaverry iv AFIT/GLM/ENC/07M-01 Abstract Oil distillates are considered important elements to accomplish the missions of the...1 for calculations from February 2006 and zero otherwise. ŷ v Table of Contents Page Acknowledgements iv Abstract v...Book of Economy, Volume 40, Number 121, Pages 762-767, December. 2003. ISSN 0717-6821 De Dicco Ricardo Andrés. El costo del barril de petróleo crudo

  6. Preface to the Issue: Transformations of Biomass and its Derivatives to Fuels and Chemicals

    Energy Technology Data Exchange (ETDEWEB)

    Lin, Hongfei; Biddinger, Elizabeth J.; Mukarakate, Calvin; Nimlos, Mark; Liu, Haichao

    2016-07-01

    The research activities on biofuels and bio-products have been growing steadily regardless the volatility of the crude oil price in the past decade. The major driver is the imperative need of tackling the challenge of climate change. With the low carbon footprints, fuels and chemicals produced from renewable biomass resources, as the replacement of their petroleum counterparts, can contribute significantly on carbon emission reduction.

  7. 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 whic

  8. New empirical generalizations on the determinants of price elasticity

    NARCIS (Netherlands)

    Bijmolt, THA; Van Heerde, HJ; Pieters, RGM

    2005-01-01

    The importance of pricing decisions for firms has fueled an extensive stream of research on price elasticities. In an influential meta-analytical study, Tellis (1988) summarized price elasticity research findings until 1986. However, empirical generalizations on price elasticity require modification

  9. Private sector responses to price volatility

    OpenAIRE

    Cordier, Jean

    2014-01-01

    Le risque agricole spécifique concerne le risque exogène (climatique, sanitaire et médiatique) et le risque endogène (transfert de risque entre classes d'actifs financiers). Le marché privé du risque est crucial. Il concerne l'assurance pour les risques indépendants et la finance pour les risques systémiques. Les instruments publics et privés doivent être coordonnés pour éviter l'éviction des contrats privés de gestion du risque.

  10. Assessment of bio-fuel options for solid oxide fuel cell applications

    Science.gov (United States)

    Lin, Jiefeng

    Rising concerns of inadequate petroleum supply, volatile crude oil price, and adverse environmental impacts from using fossil fuels have spurred the United States to promote bio-fuel domestic production and develop advanced energy systems such as fuel cells. The present dissertation analyzed the bio-fuel applications in a solid oxide fuel cell-based auxiliary power unit from environmental, economic, and technological perspectives. Life cycle assessment integrated with thermodynamics was applied to evaluate the environmental impacts (e.g., greenhouse gas emission, fossil energy consumption) of producing bio-fuels from waste biomass. Landfill gas from municipal solid wastes and biodiesel from waste cooking oil are both suggested as the promising bio-fuel options. A nonlinear optimization model was developed with a multi-objective optimization technique to analyze the economic aspect of biodiesel-ethanol-diesel ternary blends used in transportation sectors and capture the dynamic variables affecting bio-fuel productions and applications (e.g., market disturbances, bio-fuel tax credit, policy changes, fuel specification, and technological innovation). A single-tube catalytic reformer with rhodium/ceria-zirconia catalyst was used for autothermal reformation of various heavy hydrocarbon fuels (e.g., diesel, biodiesel, biodiesel-diesel, and biodiesel-ethanol-diesel) to produce a hydrogen-rich stream reformates suitable for use in solid oxide fuel cell systems. A customized mixing chamber was designed and integrated with the reformer to overcome the technical challenges of heavy hydrocarbon reformation. A thermodynamic analysis, based on total Gibbs free energy minimization, was implemented to optimize the operating environment for the reformations of various fuels. This was complimented by experimental investigations of fuel autothermal reformation. 25% biodiesel blended with 10% ethanol and 65% diesel was determined to be viable fuel for use on a truck travelling with

  11. 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...... volatility indicates a nontrivial degree of market integration....

  12. Análisis de combustibles fósiles en el mercado de generación de energía eléctrica en Colombia: un contraste entre modelos de volatilidad // Analysis of Fossil Fuels in the Market for Electricity Generation in Colombia: A Contrast between Models of Volatility

    Directory of Open Access Journals (Sweden)

    Mónica Andrea Arango A.

    2016-12-01

    Full Text Available La importancia del sector eléctrico en el crecimiento de las economías incentiva el estudio sobre las variables que determinan la ejecución de nuevos proyectos de inversión en el sector. Las barreras en la disponibilidad de los combustibles se traducen en un incremento de la incertidumbre, convirtiéndose en un aspecto fundamental en la toma de decisiones en los mercados de generación de energía. Ante esto, se realiza un contraste entre un modelo de volatilidad determinística y dos modelos de volatilidad estocástica paramétrica GARCH y EWMA, aplicados en el precio de los combustibles fósiles, con el fin de identificar trade off, entre costos y riesgo, enfrentado por los generadores en una matriz energética conformada por tecnologías basadas en carbón, gas y petróleo. Los tres modelos permiten contrastar los resultados empíricos de las covarianzas obtenidas a través de la metodología de Pearson, EWMA y Vech. La evidencia sugiere que en un contexto en el que sea necesario seleccionar uno de los combustibles, el carbón presenta menor exposición al riesgo y menor variación en su precio, implicando un menor egreso en los mercados de generación. Sin embargo, contar con la matriz energética conformada por los tres combustibles fósiles permite una menor exposición al riesgo para el mercado global. ------------------------------------ The importance of the electricity sector in the growth of economies encourages the study of the variables that determine the implementation of new investment projects in the sector. The barriers in the availability of fuels result in increased uncertainty, becoming a key issue in making decisions in the markets for power generation. Regarding this, a contrast is performed between a deterministic volatility model and two parametric stochastic volatility models, GARCH and EWMA, applied to the price of fossil fuels, in order to identify trade off between cost and risk faced by generators in an energy

  13. 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...

  14. Pricing Options.

    Science.gov (United States)

    Tenopir, Carol

    1998-01-01

    Presents results of a recent survey of over 100 public and academic libraries about pricing options from online companies. Most options fall into three categories: pay-as-you-go, fixed-rate, and user-based. Results are discussed separately for public and academic libraries and for consortial discounts. Trends in pricing options preferred by…

  15. Simulation Analysis on Reaction of China's Monetary Policy to Asset Price Volatility%中国货币政策对资产价格波动反应的模拟分析

    Institute of Scientific and Technical Information of China (English)

    王胜; 田涛

    2013-01-01

    By introducing the fluctuation of exchange rate and inflation expectation,this paper uses the IS-Philips model to deduce the monetary policy reaction function considering asset price. Then taking stock price and house price as the proxy variable of asset price respectively.it simulates the effect of fluctuation of asset price on China's economy. The result shows as follows: monetary policy considering house price has significant effects on stabilizing output and price fluctuation, but causes the fluctuation of interest rate to increase; compared with monetary policy considering stock price, monetary policy considering house price has a better effect on stabilizing output and price fluctuation s compared with monetary policy considering stock price, monetary policy considering house price has smaller shock on the fluctuation of interest rate.%利用包含汇率波动和通胀预期的IS-Philips模型推导考虑资产价格的货币政策反应函数.在此基础上,分别以股价和房价作为资产价格的代理变量,模拟分析了资产价格波动对中国经济的影响.研究结果表明:考虑资产价格的货币政策在平抑产出和物价波动方面具有显著作用,但会增大利率波动幅度;考虑房价波动的货币政策比考虑股价波动的货币政策在平抑产出和物价波动方面具有更好的效果;与考虑股价波动的货币政策相比,考虑房价波动的货币政策对利率的冲击更小.

  16. The International oil price and hydrogen competitiveness

    OpenAIRE

    Hansen, Anders Chr.

    2007-01-01

    Natural gas based hydrogen is expected to provide most of the hydrogen supply in the period prior to and during at least the first years of market introduction of automotive hydrogen and fuel cell technology in large scale. Due to the natural gas price dependency of the international oil price the hydrogen cost level that is required for competitiveness of hydrogen and fuel cell technology depends on the oil price. This gives rise to the question: At which oil price will natural gas based ...

  17. 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.

  18. Virtual volatility

    OpenAIRE

    A. Christian Silva; Prange, Richard E.

    2006-01-01

    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 st...

  19. Exchange Rate Policy and Endogenous Price Flexibility

    OpenAIRE

    Devereux, Michael B.

    2004-01-01

    A fixed exchange rate limits the ability of the real exchange rate to adjust to shocks, and tends to raise the volatility of real GDP. But adjustment may be enhanced if internal prices are more flexible under a fixed exchange rate. This Paper develops a model in which price setters incur a cost to retain the option of ex-post price flexibility. The benefit of flexibility is increasing in the variance of demand facing price-setters. We ask whether fixing the exchange rate is likely to increase...

  20. Plant volatiles.

    Science.gov (United States)

    Baldwin, Ian T

    2010-05-11

    Plant volatiles are the metabolites that plants release into the air. The quantities released are not trivial. Almost one-fifth of the atmospheric CO2 fixed by land plants is released back into the air each day as volatiles. Plants are champion synthetic chemists; they take advantage of their anabolic prowess to produce volatiles, which they use to protect themselves against biotic and abiotic stresses and to provide information - and potentially disinformation - to mutualists and competitors alike. As transferors of information, volatiles have provided plants with solutions to the challenges associated with being rooted in the ground and immobile.

  1. The pricing of long and short run variance and correlation risk in stock returns

    OpenAIRE

    Cosemans, M.

    2011-01-01

    This paper studies the pricing of long and short run variance and correlation risk. The predictive power of the market variance risk premium for returns is driven by the correlation risk premium and the systematic part of individual variance premia. Furthermore, I find that aggregate volatility risk is priced in the cross-section because shocks to average stock volatility and correlation are priced. Both long and short run volatility and correlation factors have explanatory power for returns....

  2. Discrimination of Cross-Market Price Manipulations in Stock Index Futures Market:Evidences from Volatility and Liquidity%从波动性和流动性判别股指期货跨市场价格操纵行为

    Institute of Scientific and Technical Information of China (English)

    张维; 韦立坚; 熊熊; 李根; 马正欣

    2011-01-01

    股指期货价格操纵一般具有期现跨市场联合操纵的特点,仅按单一市场从波动性分析去判别价格操纵行为是不够充分的。本文引入流动性分析为判别提供了更充分的依据:首先运用GARCH模型分析被操纵资产在波动性的异常变化,判断价格序列偏离了"自然特性",具有被操纵的嫌疑;然后利用日交易量、日持仓量和Amivest流动性比率等指标分析流动性的异常变化,发现与根据跨市场操纵过程推测的变化一致,从而构成价格操纵行为的事实依据。%This paper aims to expand the method that we usually discriminate price manipulation behavior in accordance with the analysis of market volatility in the single market in view of the fact that stock index futures price manipulation bears the characteristics of cross-market.This paper firstly uses GARCH model to analyze the abnormal changes concerning the volatility of the manipulated assets,then comes to the conclusion that the price series deviate from the"natural characteristics" and are suspected of being manipulated.Following this,it analyses the abnormal change of volatility by use of the daily trading volume daily positions and Amivest liquidity ratios indicators and finds out that price manipulation behavior exerts a big impact upon the liquidity changes.And then,it comes to the final conclusion that the liquidity changes are consistent with the manipulation processes,so it forms the factual basis of the existence of the price manipulation behavior.

  3. Arbitrage and Volatility in Chinese Stock's Markets

    Science.gov (United States)

    Lu, Shu Quan; Ito, Takao; Zhang, Jianbo

    From the point of view of no-arbitrage pricing, what matters is how much volatility the stock has, for volatility measures the amount of profit that can be made from shorting stocks and purchasing options. With the short-sales constraints or in the absence of options, however, high volatility is likely to mean arbitrage from stock market. As emerging stock markets for China, investors are increasingly concerned about volatilities of Chinese two stock markets. We estimate volatility's models for Chinese stock markets' indexes using Markov chain Monte Carlo (MCMC) method and GARCH. We find that estimated values of volatility parameters are very high for all data frequencies. It suggests that stock returns are extremely volatile even at long term intervals in Chinese markets. Furthermore, this result could be considered that there seems to be arbitrage opportunities in Chinese stock markets.

  4. Essays on price dynamics and consumer search

    Science.gov (United States)

    Lewis, Matthew Stephen

    It has been documented that retail gasoline prices respond more quickly to increases in wholesale price than to decreases. However, there is very little theoretical or empirical evidence identifying the market characteristics responsible for this behavior. Chapter 2 presents a new theoretical model of asymmetric adjustment that empirically matches observed retail gasoline price behavior better than previously suggested explanations. I develop a "reference price" consumer search model that assumes consumers' expectations of prices are based on prices observed during previous purchases. The model predicts that consumers search less when prices are falling. This reduced search results in higher profit margins and therefore causes a slower price response to cost decreases than to cost increases. Chapter 3 discusses the robustness of some of the important assumptions of the reference price search model, and describes the effects of altering these assumptions. Chapter 4 develops testable implications that distinguish my model from two alternative explanations of asymmetric adjustment. The first is a model in which firms temporarily collude using past prices as a focal price. The second theory suggests that increases in wholesale cost volatility reduce consumer search behavior. Using a panel of gas station prices, I estimate the response pattern of prices to a change in costs. Estimates are consistent with the predictions of the reference price search model and contradict the previously suggested explanations of asymmetric price adjustment. Chapter 5 examines the empirical fact that price response varies depending on the current level of profit margins. This fact is contrasted with the common empirical observation that response differs based on the direction of the change in cost. I go on to document that this relationship between price response and margins is observed in gasoline markets across the country.

  5. Price increase

    CERN Multimedia

    2006-01-01

    Please take note that after five years of stable prices at Restaurant No 1 a price increase will come into force on 1st January 2006. This increase has been agreed after discussions between the CSR (Comité de Surveillance des Restaurants) and the catering company Novae and will reflect the inflation rate of the last few years. In addition, a new children's menu will be introduced, as well as 'Max Havelaar' fair-trade coffee at a price of 1.70 CHF.

  6. Price increase

    CERN Multimedia

    2005-01-01

    Please take note that after five years of stable prices at Restaurant No 1 a price increase will come into force on 1st January 2006. This increase has been agreed after discussions between the CSR (Comité de Surveillance des Restaurants) and the catering company Novae and will reflect the inflation rate of the last few years. In addition, a new children's menu will be introduced as well as 'Max Havelaar' fair-trade coffee at a price of 1.70 CHF.

  7. Optimized determination of trace jet fuel volatile organic compounds in human blood using in-field liquid-liquid extraction with subsequent laboratory gas chromatographic-mass spectrometric analysis and on-column large-volume injection.

    Science.gov (United States)

    Liu, S; Pleil, J D

    2001-03-05

    A practical and sensitive method to assess volatile organic compounds (VOCs) from JP-8 jet fuel in human whole blood was developed by modifying previously established liquid-liquid extraction procedures, optimizing extraction times, solvent volume, specific sample processing techniques, and a new on-column large-volume injection method for GC-MS analysis. With the optimized methods, the extraction efficiency was improved by 4.3 to 20.1 times and the detection sensitivity increased up to 660 times over the standard method. Typical detection limits in the parts-per-trillion (ppt) level range were achieved for all monitored JP-8 constituents; this is sufficient for assessing human fuels exposures at trace environmental levels as well as occupational exposure levels. The sample extractions are performed in the field and only solvent extracts need to be shipped to the laboratory. The method is implemented with standard biological laboratory equipment and a modest bench-top GC-MS system.

  8. Option Pricing Method in a Market Involving Interval Number Factors

    Institute of Scientific and Technical Information of China (English)

    2005-01-01

    The method for pricing the option in a market with interval number factors is proposed. The no-arbitrage principle in the interval number valued market and the rule to judge the reasonability of a price interval are given. Using the method, the price interval where the riskless interest and the volatility under B-S setting is given. The price interval from binomial tree model when the key factors u, d, R are all interval numbers is also discussed.

  9. State energy-price system: 1981 update

    Energy Technology Data Exchange (ETDEWEB)

    Fang, J.M.; Imhoff, K.L.; Hood, L.J.

    1983-08-01

    This report updates the State Energy Price Data System (STEPS) to include state-level energy prices by fuel and by end-use sectors for 1981. Both physical unit prices and Btu prices are presented. Basic documentation of the data base remains generally the same as in the original report: State Energy Price System; Volume 1: Overview and Technical Documentation (DOE/NBB-0029 Volume 1 of 2, November 1982). The present report documents only the changes in procedures necessitated by the update to 1981 and the corrections to the basic documentation.

  10. Labor Unions and Asset Prices

    DEFF Research Database (Denmark)

    Busato, Francesco; Addessi, William

    The paper investigates the nexus between labor and financial markets, focusing on the interaction between labor union behavior in setting wages, firms' investment strategy and asset prices. The way unions set wage claims after observing firm's financial performance increases the volatility of firms......' returns and the riskiness of corporate ownership. To remunerate this higher volatility and stronger risk, firms' equities have to grant high return. This mechanism is able to offer an explanation of for the "equity puzzle", that is it can explain the difference between equity returns and the risk free...

  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. China Hikes Refined Products Price to Narrow Gap

    Institute of Scientific and Technical Information of China (English)

    Dai Yanling

    2006-01-01

    @@ Rising international prices and China's increasing demand for oil, fueled by the country's fast economic growth, prompted it to hike the price of processed petroleum fuels several times in recent months. The price of gasoline, diesel and aviation kerosene jumped 500 yuan(62.4 U.S. dollars) per ton in late-May. The price increase,the second in the last two months, aims to narrow the gap between international oil prices and domestic prices, a spokesperson with the National Development and Reform Commission (NDRC), the industry watchdog, recently told news media.

  13. Assessing Relative Volatility/Intermittency/Energy Dissipation

    DEFF Research Database (Denmark)

    Barndorff-Nielsen, Ole E.; Pakkanen, Mikko; Schmiegel, Jürgen

    We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volatility/intermittency even when the data of interest are generated by a non-semimartingale, or a Brownian semistationary...... process in particular. While this estimation method is motivated by the assessment of relative energy dissipation in empirical data of turbulence, we apply it also to energy price data. Moreover, we develop a probabilistic asymptotic theory for relative power variations of Brownian semistationary...... processes and Ito semimartingales and discuss how it can be used for inference on relative volatility/intermittency....

  14. 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 i...

  15. 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 i...

  16. Food Price Policy in an Era of Market Instability: A Political Economy Analysis

    OpenAIRE

    Pinstrup-Andersen, Per

    2016-01-01

    Food price volatility is one of the major challenges facing the global agricultural system today. This was most vividly illustrated during the global food crisis of 2007–9 when price spikes occurred for key staple food commodities—such as wheat, rice, maize, and soybeans. Given the variety of reactions by governments of countries experiencing similar food price shocks, the 2007–9 crisis offered an excellent natural experiment for generating knowledge on responses to price volatility in partic...

  17. Implied volatility transmissions between Thai and selected advanced stock markets

    OpenAIRE

    Thakolsri, Supachok; Sethapramote, Yuthana; Jiranyakul, Komain

    2015-01-01

    This paper investigates the impacts of changes in the U. S. implied volatility on the changes in implied volatilities of the Euro and Thai stock markets. For that purpose, volatilities implicit in stock index option prices from the U. S., Euro and Thai stock markets are analyzed using the standard Granger causality test, impulse response analysis, and variance decompositions. The results found in this study suggest that the U. S. stock market is the leading source of volatility transmissions ...

  18. Forecasting Exchange Rate Volatility in the Presence of Jumps

    OpenAIRE

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

    2005-01-01

    We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample path and jump components, and measures based on prices of exchange rate futures options, allowing calculation of option implied volatility. We find that implied volatility is an informationally efficient but biased forecast of future realized exchange rate v...

  19. State Energy Price System: 1982 update

    Energy Technology Data Exchange (ETDEWEB)

    Imhoff, K.L.; Fang, J.M.

    1984-10-01

    The State Energy Price System (STEPS) contains estimates of energy prices for ten major fuels (electricity, natural gas, metallurgical coal, steam coal, distillate, motor gasoline, diesel, kerosene/jet fuel, residual fuel, and liquefied petroleum gas), by major end-use sectors (residential, commercial, industrial, transportation, and electric utility), and by state through 1982. Both physical unit prices and prices per million Btu are included in STEPS. Major changes in STEPS data base for 1981 and 1982 are described. The most significant changes in procedures for the updates occur in the residential sector distillate series and the residential sector kerosene series. All physical unit and Btu prices are shown with three significant digits instead of with four significant digits as shown in the original documentation. Details of these and other changes are contained in this report, along with the updated data files. 31 references, 65 tables.

  20. Future Fuels

    Science.gov (United States)

    2006-04-01

    Storage Devices, Fuel Management, Gasification, Fischer-Tropsch, Syngas , Hubberts’s Peak UNCLAS UNCLAS UNCLAS UU 80 Dr. Sujata Millick (703) 696...prices ever higher, and perhaps lead to intermittent fuel shortages as production fluctuates. Clearly, this competition for resources also provides oil...producers multiple options for selling their products, and raises the possibility that the US could face shortages resulting from shifts in

  1. State energy price and expenditure report 1994

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    1997-06-01

    The State Energy Price and Expenditure Report (SEPER) presents energy price and expenditure estimates individually for the 50 States and the District of Columbia and in aggregate for the United States. The price and expenditure estimates developed in the State Energy Price and Expenditure Data System (SEPEDS) are provided by energy source and economic sector and are published for the years 1970 through 1994. Consumption estimates used to calculate expenditures and the documentation for those estimates are taken from the State Energy Data Report 1994, Consumption Estimates (SEDR), published in October 1996. Expenditures are calculated by multiplying the price estimates by the consumption estimates, which are adjusted to remove process fuel; intermediate petroleum products; and other consumption that has no direct fuel costs, i.e., hydroelectric, geothermal, wind, solar, and photovoltaic energy sources. Documentation is included describing the development of price estimates, data sources, and calculation methods. 316 tabs.

  2. Does credit for equity investments feedback on stock market volatility? Evidence from an emerging stock market

    OpenAIRE

    Onour, Ibrahim

    2011-01-01

    This paper investigates the causal relationships between volatility in Saudi stock market and banks credit for equity investments. Our finding indicate there is a bi-directional feedback effects between the stock price volatility and banks credit loans. In other words, volatility in private credit for equity investments influence volatility in stock price and vice versa. A policy implication of such result is that regulating private credit loans in banking sector could reduce the upn...

  3. Variations in the relationship between fuel price and bus ridership among U.S. transit systems[Includes the CSCE forum on professional practice and career development : 1. international engineering mechanics and materials specialty conference : 1. international/3. coastal, estuarine and offshore engineering specialty conference : 2. international/8. construction specialty conference

    Energy Technology Data Exchange (ETDEWEB)

    Haire, A.R.; Machemehl, R.B. [Texas Univ., Austin, TX (United States). Dept. of Civil Architectural, and Environmental Engineering

    2009-07-01

    This study examined several characteristics of bus transit systems to explore potential relationships regarding how system characteristics may affect travelers' choice to use public transportation. A clear relationship exists between bus ridership and fuel price, although many other factors contribute to ridership growth and fluctuation. The external factors include 6 broad categories (1) population characteristics and changes, (2) economic conditions, (3) cost and availability of alternative modes of transport including toll pricing, parking pricing, taxi fares, automobile costs and availability of commuter benefits programs by employers, (4) land use development patterns and policies, (5) travel conditions, and (6) public funding initiatives. These supplementary factors vary and many lend themselves to service quality measurement. Perceived service quality is an important contributor to public transportation ridership. The study explored community and bus system characteristics associated with perceived service quality and how these characteristics relate to correlation coefficients between fuel price and ridership, using an unconventional trivariate comparison method. Seasonally-adjusted correlation coefficients between ridership and fuel price for 340 bus systems across the United States were plotted against route density, operating speed, peak-hour service frequency, average travel speed, and average total travel time. The study showed that cost-conscious travelers using transit systems in the United States appear willing to compromise on aspects normally linked to convenience in order to use public transit and minimize their fuel expenditures. 10 refs., 1 tab., 6 figs.

  4. Does a Change in Price of Fuel Affect GDP Growth? An Examination of the U.S. Data from 1950–2013

    Directory of Open Access Journals (Sweden)

    Michael Aucott

    2014-10-01

    Full Text Available We examined data on fuel consumption and costs for the years 1950 through 2013, along with economic and population data, to determine the percent of U.S. gross domestic product (GDP spent each year on fuels, including fossil fuels and nuclear ore, and the growth of the economy. We found that these variables are inversely correlated. This suggests that the availability and cost of energy is a significant determinant of economic performance. We believe this relation is consistent with analyses based on the energy return on investment (EROI concept in that increasingly scarce, and hence expensive, fuels are a drag on economic growth. The best-fitting linear equation relating the percent of GDP (energy cost share and year-over-year (YoY GDP change variables suggests that a threshold exists in the vicinity of 4%; if the percent of GDP spent on fuels is greater than this, poorer economic performance has been likely. Currently, about 5% of GDP is spent on fuels; most of this is for liquids. Continued weak economic performance appears likely unless improvements in energy efficiency, on the order of a factor of 3 for liquid fuels, and/or a more rapid adoption of renewable or nuclear energy sources can be achieved, provided that the EROI of these new sources proves to be sufficiently high.

  5. Fair pricing, and pricing paradoxes

    Directory of Open Access Journals (Sweden)

    Barbara Swart

    2016-05-01

    Full Text Available The St Petersburg Paradox revolves round the determination of a fair price for playing the St Petersburg Game. According to the original formulation, the price for the game is infinite, and, therefore, paradoxical. Although the St Petersburg Paradox can be seen as concerning merely a game, Paul Samuelson (1977 calls it a “fascinating chapter in the history of ideas”, a chapter that gave rise to a considerable number of papers over more than 200 years involving fields such as probability theory and economics. In a paper in this journal, Vivian (2013 undertook a numerical investigation of the St Petersburg Game. In this paper, the central issue of the paradox is identified as that of fair (risk-neutral pricing, which is fundamental in economics and finance and involves important concepts such as no arbitrage, discounting, and risk-neutral measures. The model for the St Petersburg Game as set out in this paper is new and analytical and resolves the so-called pricing paradox by applying a discounting procedure. In this framework, it is shown that there is in fact no infinite price paradox, and simple formulas for obtaining a finite price for the game are also provided.

  6. Engineering organisms for industrial fuel production.

    Science.gov (United States)

    Berry, David A

    2010-01-01

    Volatile fuel costs, the need to reduce greenhouse gas emissions and fuel security concerns are driving efforts to produce sustainable renewable fuels and chemicals. Petroleum comes from sunlight, CO(2) and water converted via a biological intermediate into fuel over a several million year timescale. It stands to reason that using biology to short-circuit this time cycle offers an attractive alternative--but only with relevant products at or below market prices. The state of the art of biological engineering over the past five years has progressed to allow for market needs to drive innovation rather than trying to adapt existing approaches to the market. This report describes two innovations using synthetic biology to dis-intermediate fuel production. LS9 is developing a means to convert biological intermediates such as cellulosic hydrolysates into drop-in hydrocarbon product replacements such as diesel. Joule Unlimited is pioneering approaches to eliminate feedstock dependency by efficiently capturing sunlight, CO(2) and water to produce fuels and chemicals. The innovations behind these companies are built with the market in mind, focused on low cost biosynthesis of existing products of the petroleum industry. Through successful deployment of technologies such as those behind LS9 and Joule Unlimited, alternative sources of petroleum products will mitigate many of the issues faced with our petroleum-based economy.

  7. Vented nuclear fuel element

    Science.gov (United States)

    Grossman, Leonard N.; Kaznoff, Alexis I.

    1979-01-01

    A nuclear fuel cell for use in a thermionic nuclear reactor in which a small conduit extends from the outside surface of the emitter to the center of the fuel mass of the emitter body to permit escape of volatile and gaseous fission products collected in the center thereof by virtue of molecular migration of the gases to the hotter region of the fuel.

  8. 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

  9. Transport fuel

    DEFF Research Database (Denmark)

    Ronsse, Frederik; Jørgensen, Henning; Schüßler, Ingmar

    2014-01-01

    Worldwide, the use of transport fuel derived from biomass increased four-fold between 2003 and 2012. Mainly based on food resources, these conventional biofuels did not achieve the expected emission savings and contributed to higher prices for food commod - ities, especially maize and oilseeds...

  10. Current status of fluoride volatility method development

    Energy Technology Data Exchange (ETDEWEB)

    Uhlir, J.; Marecek, M.; Skarohlid, J. [UJV - Nuclear Research Institute, Research Centre Rez, CZ-250 68 Husinec - Rez 130 (Czech Republic)

    2013-07-01

    The Fluoride Volatility Method is based on a separation process, which comes out from the specific property of uranium, neptunium and plutonium to form volatile hexafluorides whereas most of fission products (mainly lanthanides) and higher transplutonium elements (americium, curium) present in irradiated fuel form nonvolatile tri-fluorides. Fluoride Volatility Method itself is based on direct fluorination of the spent fuel, but before the fluorination step, the removal of cladding material and subsequent transformation of the fuel into a powdered form with a suitable grain size have to be done. The fluorination is made with fluorine gas in a flame fluorination reactor, where the volatile fluorides (mostly UF{sub 6}) are separated from the non-volatile ones (trivalent minor actinides and majority of fission products). The subsequent operations necessary for partitioning of volatile fluorides are the condensation and evaporation of volatile fluorides, the thermal decomposition of PuF{sub 6} and the finally distillation and sorption used for the purification of uranium product. The Fluoride Volatility Method is considered to be a promising advanced pyrochemical reprocessing technology, which can mainly be used for the reprocessing of oxide spent fuels coming from future GEN IV fast reactors.

  11. 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...... 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....

  12. The tributary reformulation: the CIDE and the fuel price variations in Brazil; Reforma tributaria: a CIDE e a variacao de precos de combustiveis no Brasil

    Energy Technology Data Exchange (ETDEWEB)

    Silva, Carla Maria de Souza e

    2007-07-01

    The proposal for the tributary reformulation running on the Brazilian Congress establishes the compromising of the federal government with the transfer of the parcel of the collection obtained with the CIDE to the states. This element adds a complication to the functioning of the contribution as a mechanism of price weakening, as the 'freezing' effect on the transfer, making more vulnerable to political pressures.

  13. Forecasting of the Egg Price Based on EEMD

    Institute of Scientific and Technical Information of China (English)

    Dan; WANG; Yucheng; HE

    2015-01-01

    In the transitional period of " new normal",the target price is put forward to deepen the reform system of agricultural product price. Egg is the main agricultural product and its price has fluctuated violently in recent years. Setting up a target price for egg will reduce the price fluctuations. This article brings up a three-step agricultural price forecasting model based on EEMD and applies it to the analysis of egg price. It shows that the upward trend can be divided into three stages,and the fluctuation is greater than that of food consumer price in the foreseeable future. The volatility of egg price is bad for the development of the fresh market and stable life of the residents. This article finally puts forward some recommendations.

  14. Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis

    Energy Technology Data Exchange (ETDEWEB)

    Du Xiaodong, E-mail: xdu23@wisc.ed [Department of Agricultural and Applied Economics, University of Wisconsin-Madison, WI (United States); Yu, Cindy L., E-mail: cindyyu@iastate.ed [Department of Statistics, Iowa State University, IA (United States); Hayes, Dermot J., E-mail: dhayes@iastate.ed [Department of Economics and Department of Finance, Iowa State University, IA (United States)

    2011-05-15

    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.

  15. Fuel cell : prime movers for the hydrogen economy

    Energy Technology Data Exchange (ETDEWEB)

    Jain, Ashish [Oil and Natural Gas Corp. Ltd., Laxmi, Nagar, New Delhi (India). Energy Center

    2007-07-01

    Energy is an important part of modern life in India. However, more energy resources are required in order to sustain the country's high growth momentum. Alternative energy programs also need to be initiated in order to mitigate the consequences of climatic changes and oil price volatility. These programs include ways of reducing carbon emissions, saving energy, increasing energy efficiency, and offering cleaner energy through distributed energy generation. Alternate fuel technologies are also needed in India because of high fuel consumption in the transportation sector. Cleaner technologies such as hydrogen for hybrid vehicles and fuel cell vehicles are needed for a real shift away from oil. This paper discussed the fuel cell market in India and identified Indian organizations investigating fuel cell technologies. It also presented the experience of the country's largest exploration and production enterprise, the Oil and Natural Gas Corporation (ONGC). Hydrogen availability and key application areas of fuel cells in automotive and power generation were presented. It was concluded that fuel cells will provide a great potential for local pollution prevention, sustainable development and enhancing energy security for a developing economy like India. In addition, India was also a potential market for smaller fuel cell vehicles such as two and three wheelers. 5 refs., 5 tabs.

  16. Volatility at Karachi Stock Exchange

    OpenAIRE

    Aslam Farid; Javed Ashraf

    1995-01-01

    Frequent “crashes” of the stock market reported during the year 1994 suggest that the Karachi bourse is rapidly converting into a volatile market. This cannot be viewed as a positive sign for this developing market of South Asia. Though heavy fluctuations in stock prices are not an unusual phenomena and it has been observed at almost all big and small exchanges of the world. Focusing on the reasons for such fluctuations is instructive and likely to have important policy implications. Proponen...

  17. Three essays on the effects of oil prices on state economies

    Science.gov (United States)

    Kang, Wei

    2011-12-01

    This dissertation consists of three chapters that examine the effects of oil prices on state economies. The first chapter, "Asymmetric Effects of Oil Prices on State Economies," examines the impact of oil price changes on state-level income growth. I find strong evidence of asymmetry in the impacts of oil prices and that states vary considerably in terms of sensitivity to oil price shocks. Further analysis shows that states with a higher prevalence of manufacturing and higher coal production are more likely to be negatively affected by positive oil price shocks, while states with a high prevalence of petroleum and natural gas production tend to benefit from positive oil price shocks. The second chapter, "Regime-Switching Analysis of a State Economy's Response to An Oil Price Shock," analyzes the effects of oil price changes on state economies using a smooth transition autoregressive (STAR) approach. States are shown to present differences in both the tolerance and speed of response to an oil price shock. The differences are further explained by state-specific economic characteristics. The third chapter, "Multivariate Unobserved Component Analysis of State Employment with Oil Price Volatility," investigates whether and how oil price volatility affects state employment, with a focus on regional similarities and differences. Results show that oil price volatility has significant negative impacts on most states. Further, states with a higher prevalence of motor vehicle production are likely to experience larger job losses during periods of high oil price volatility.

  18. State energy price system. Volume I: overview and technical documentation

    Energy Technology Data Exchange (ETDEWEB)

    Fang, J.M.; Nieves, L.A.; Sherman, K.L.; Hood, L.J.

    1982-06-01

    This study utilizes existing data sources and previous analyses of state-level energy prices to develop consistent state-level energy prices series by fuel type and by end-use sector. The fuels are electricity, natural gas, coal, distillate fuel oil, motor gasoline, diesel, kerosene, jet fuel, residual fuel, and liquefied petroleum gas. The end-use sectors are residential, commercial, industrial, transportation, and electric utility. Based upon an evaluation of existing data sources, recommendations were formulated on the feasible approaches for developing a consistent state energy price series. The data series were compiled based upon the approaches approved after a formal EIA review. Detailed documentation was provided, including annual updating procedures. Recommendations were formulated for future improvements in the collection of data or in data processing. Generally, the geographical coverage includes the 50 states and the District of Columbia. Information on state-level energy use was generally taken from the State Energy Data System (SEDS). Corresponding average US prices are also developed using volumes reported in SEDS. To the extent possible, the prices developed are quantity weighted average retail prices. Both a Btu price series and a physical unit price series are developed for each fuel. The period covered by the data series is 1970 through 1980 for most fuels, though prices for electricity and natural gas extend back to 1960. (PSB)

  19. Analyzing Crude Oil Spot Price Dynamics versus Long Term Future Prices: A Wavelet Analysis Approach

    Directory of Open Access Journals (Sweden)

    Josué M. Polanco-Martínez

    2016-12-01

    Full Text Available The West Texas Intermediate (WTI spot price shows high volatility and in 2014 and 2015 when quoted prices declined sharply, long-term prices in future markets were less volatile. These prices are different and diverge depending on how they process fundamental and transitory factors. US tight oil production has been a major innovation with significant macroeconomic effects. In this paper we use WTI spot prices and long-term futures prices, the latter calculated as the expected value with a stochastic model calibrated with the futures quotes of each sample day. These long-term prices are the long-term equilibrium value under risk neutral measurement. In order to analyze potential time-scale relationships between spots and future, we perform a wavelet cross-correlation analysis using a novel wavelet graphical tool recently proposed. To check the direction of the causality, we apply non-linear causality tests to raw data and log returns as well as to the wavelet transform of the spot and futures prices. Our results show that in the spot and futures markets for the period 24 February 2006–2 April 2016 there is a bi-directional causality effect for most time scales (from intra-week to biannual. This suggests that spot and futures prices react simultaneously to new information.

  20. The Role of Nuclear Power in Reducing Risk of the Fossil Fuel Prices and Diversity of Electricity Generation in Tunisia: A Portfolio Approach

    Science.gov (United States)

    Abdelhamid, Mohamed Ben; Aloui, Chaker; Chaton, Corinne; Souissi, Jomâa

    2010-04-01

    This paper applies real options and mean-variance portfolio theories to analyze the electricity generation planning into presence of nuclear power plant for the Tunisian case. First, we analyze the choice between fossil fuel and nuclear production. A dynamic model is presented to illustrate the impact of fossil fuel cost uncertainty on the optimal timing to switch from gas to nuclear. Next, we use the portfolio theory to manage risk of the electricity generation portfolio and to determine the optimal fuel mix with the nuclear alternative. Based on portfolio theory, the results show that there is other optimal mix than the mix fixed for the Tunisian mix for the horizon 2010-2020, with lower cost for the same risk degree. In the presence of nuclear technology, we found that the optimal generating portfolio must include 13% of nuclear power technology share.

  1. There's more to volatility than volume

    CERN Document Server

    Gillemot, L; Lillo, F; Gillemot, Laszlo; Lillo, Fabrizio

    2005-01-01

    It is widely believed that fluctuations in transaction volume, as reflected in the number of transactions and to a lesser extent their size, are the main cause of clustered volatility. Under this view bursts of rapid or slow price diffusion reflect bursts of frequent or less frequent trading, which cause both clustered volatility and heavy tails in price returns. We investigate this hypothesis using tick by tick data from the New York and London Stock Exchanges and show that only a small fraction of volatility fluctuations are explained in this manner. Clustered volatility is still very strong even if price changes are recorded on intervals in which the total transaction volume or number of transactions is held constant. In addition the distribution of price returns conditioned on volume or transaction frequency being held constant is similar to that in real time, making it clear that neither of these are the principal cause of heavy tails in price returns. We analyze recent results of Ane and Geman (2000) an...

  2. Real prices from spot foreign exchange market

    Science.gov (United States)

    Petroni, Filippo; Serva, Maurizio

    2004-12-01

    In this work we discuss the problem of price definition when using high frequency foreign exchange data. If one uses the spot mid price a strong autocorrelation of returns, at one lag, is found which is only due to microstructure effect and does not capture the real behavior of price dynamics. This autocorrelation increases the intraday volatility estimated from this type of data. To solve this problem we introduce an algorithm which is able, by using the no-arbitrage principle, of eliminating every microstructure effects.

  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. The Potential of Turboprops to Reduce Aviation Fuel Consumption

    OpenAIRE

    2009-01-01

    Aviation system planning, particularly fleet selection and adoption, is challenged by fuel price uncertainty. Fuel price uncertainty is due fuel and energy price fluctuations and a growing awareness of the environmental externalities related to transportation activities, particularly as they relate to climate change. To assist in aviation systems planning under such fuel price uncertainty and environmental regulation, this study takes a total logistic cost approach and evaluates three represe...

  5. Policy Dilemmas in India - The Impact of Changes in Agricultural Prices on Rural and Urban Poverty

    OpenAIRE

    2008-01-01

    Trade policy reforms which lead to changes in world prices of agricultural commodities or domestic policies aimed at affecting agricultural prices are often seen as causing a policy dilemma : a fall in agricultural prices benefits poor urban consumers but hurts poor rural producers, while a rise yields the converse. Poor countries have argued that they need to be able to use import protection and/or price support policies to protect themselves against volatility in world agricultural prices i...

  6. Policy dilemmas in India: The Impact of changes in agricultural prices on rural and urban poverty

    OpenAIRE

    2008-01-01

    Trade policy reforms which lead to changes in world prices of agricultural commodities or domestic policies aimed at affecting agricultural prices are often seen as causing a policy dilemma: a fall in agricultural prices benefits poor urban consumers but hurts poor rural producers, while a rise yields the converse. Poor countries have argued that they need to be able to use import protection and/or price support policies to protect themselves against volatility in world agricultural prices in...

  7. 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)

  8. 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

  9. European bond markets: do illiquidity and concentration aggravate price shocks?

    NARCIS (Netherlands)

    Boermans, M.A.; Frost, Jon; Steins Bisschop, Sophie

    2016-01-01

    We study the effects of market liquidity and ownership concentration of European bonds on price volatility during periods of market stress. Specifically, using security-by-security data from euro area investors we examine if market illiquidity and concentrated holdings explain the large price shocks

  10. Pricing to Market: Chinese Export Pricing to the USA after the Peg

    Institute of Scientific and Technical Information of China (English)

    Mark David Witte

    2009-01-01

    In July 2005, the Chinese Govermnent unpegged the RMB from the US dollar. As the RMB has followed a remarkably predictable appreciation over time, I examine the price of Chinese exports to the USA after unpegging the exchange rate. Results suggest that the Chinese industries with greater import market share were able to raise their prices after the removal of the pegged exchange rate regime; however, over time there is a significant deflationary trend Chinese export prices tended to decrease under an unanticipated RMB appreciation; this effect was more pronounced for industries with more pricing flexibility. This suggests that Chinese exporters are consistently "pricing to market" and thus creating a significant foreign exchange policy implication. Specifically, a more flexible exchange rate regime will likely have little impact on the prices of Chinese exports to the USA but might increase the profit volatility of Chinese firms.

  11. The Effect of Long Memory in Volatility on Stock Market Fluctuations

    DEFF Research Database (Denmark)

    Christensen, Bent Jesper; Nielsen, Morten Ørregaard

    on returns. Asset pricing theory imposes testable cross- equation restrictions on the system that are not rejected in our preferred specifications, which include a strong financial leverage effect. We show that the impact of volatility shocks on stock prices is small and short-lived, in spite of a positive...... risk-return trade-off and long memory in volatility....

  12. Food security in an era of economic volatility.

    Science.gov (United States)

    Naylor, Rosamond L; Falcon, Walter P

    2010-01-01

    This article analyzes international commodity price movements, assesses food policies in response to price fluctuations, and explores the food security implications of price volatility on low-income groups. It focuses specifically on measurements, causes, and consequences of recent food price trends, variability around those trends, and price spikes. Combining these three components of price dynamics shows that the variation in real prices post-2000 was substantially greater than that in the 1980s and 1990s, and was approximately equal to the extreme volatility in commodity prices that was experienced in the 1970s. Macro policy, exchange rates, and petroleum prices were important determinants of price variability over 2005–2010, highlighting the new linkages between the agriculture-energy and agriculture-finance markets that affect the world food economy today. These linkages contributed in large part to misguided expectations and uncertainty that drove prices to their peak in 2008. The article also argues that there is a long-lasting effect of price spikes on food policy around the world, often resulting in self-sufficiency policies that create even more volatility in international markets. The efforts by governments to stabilize prices frequently contribute to even greater food insecurity among poor households, most of which are in rural areas and survive on the margin of net consumption and net production. Events of 2008—and more recently in 2010—underscore the impact of price variability for food security and the need for refocused policy approaches to prevent and mitigate price spikes.

  13. Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH

    OpenAIRE

    Syed Abul, Basher; Perry, Sadorsky

    2015-01-01

    While much research uses multivariate GARCH to model volatility dynamics and risk measures, one particular type of multivariate GARCH model, GO-GARCH, has been underutilized. This paper uses DCC, ADCC and GO-GARCH to model volatilities and conditional correlations between emerging market stock prices, oil prices, VIX, gold prices and bond prices. A rolling window analysis is used to construct out-of-sample onestep-ahead forecasts of dynamic conditional correlations and optimal hedge rat...

  14. On the Pricing of Options in Incomplete Markets

    OpenAIRE

    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 which encapsulates other definitions in the literature.Our method of proof is subsequently generalized to other forms of incompleteness and systematic (i.e. non-idiosyncratic) information.Generally thi...

  15. Incomplete Financial Markets and Jumps in Asset Prices

    DEFF Research Database (Denmark)

    Crès, Hervé; Markeprand, Tobias Ejnar; Tvede, Mich

    A dynamic pure-exchange general equilibrium model with uncertainty is studied. Fundamentals are supposed to depend continuously on states of nature. It is shown that: 1. if financial markets are complete, then asset prices vary continuously with states of nature, and; 2. if financial markets...... are incomplete, jumps in asset prices may be unavoidable. Consequently incomplete financial markets may increase volatility in asset prices significantly....

  16. Global Versus Local Shocks in Micro Price Dynamics

    OpenAIRE

    Marios Zachariadis

    2012-01-01

    A number of recent papers point to the importance of distinguishing between the price reaction to micro and macro shocks in order to reconcile the volatility of individual prices with the observed persistence of aggregate inflation. We emphasize instead the importance of distinguishing between global and local shocks. We exploit a panel of 276 micro price levels collected on a semi-annual frequency from 1990 to 2010 across 88 cities in 59 countries around the world, that enables us to disting...

  17. Modeling the relationship between the oil price and global food prices

    Energy Technology Data Exchange (ETDEWEB)

    Chen, Sheng-Tung [Department of Public Finance, Feng Chia University (China); Kuo, Hsiao-I [Department of Senior Citizen Service Management, Chaoyang University of Technology (China); Chen, Chi-Chung [Department of Applied Economics, National Chung-Hsing University, Taiwan, 250 Kuo-Kuang Road, Taichung (China)

    2010-08-15

    The growth of corn-based ethanol production and soybean-based bio-diesel production following the increase in the oil prices have significantly affect the world agricultural grain productions and its prices. The main purpose of this paper is to investigate the relationships between the crude oil price and the global grain prices for corn, soybean, and wheat. The empirical results show that the change in each grain price is significantly influenced by the changes in the crude oil price and other grain prices during the period extending from the 3rd week in 2005 to the 20th week in 2008 which implies that grain commodities are competing with the derived demand for bio-fuels by using soybean or corn to produce ethanol or bio-diesel during the period of higher crude oil prices in these recent years. The subsidy policies in relation to the bio-fuel industries in some nations engaging in bio-fuel production should be considered to avoid the consequences resulting from high oil prices. (author)

  18. 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.

  19. Determining Price Reasonableness in Federal ESPCs

    Energy Technology Data Exchange (ETDEWEB)

    Shonder, J.A.

    2005-03-08

    This document reports the findings and implementation recommendations of the Price Reasonableness Working Group to the Federal ESPC Steering Committee. The working group was formed to address concerns of agencies and oversight organizations related to pricing and fair and reasonable price determination in federal energy savings performance contracts (ESPCs). This report comprises the working group's recommendations and is the proposed draft of a training curriculum on fair and reasonable price determination for users of federal ESPCs. The report includes: (1) A review of federal regulations applicable to determining price reasonableness of federal ESPCs (section 2), (2) Brief descriptions of the techniques described in Federal Acquisition Regulations (FAR) 15.404-1 and their applicability to ESPCs (section 3), and (3) Recommended strategies and procedures for cost-effectively completing price reasonableness determinations (sections 4). Agencies have struggled with fair and reasonable price determinations in their ESPCs primarily because this alternative financing vehicle is relatively new and relatively rare in the federal sector. The methods of determining price reasonableness most familiar to federal contracting officers (price competition based on the government's design and specifications, in particular) are generally not applicable to ESPCs. The regulatory requirements for determining price reasonableness in federal ESPCs have also been misunderstood, as federal procurement professionals who are inexperienced with ESPCs are further confused by multiple directives, including Executive Order 13123, which stresses life-cycle cost-effectiveness. Uncertainty about applicable regulations and inconsistent practice and documentation among agencies have fueled claims that price reasonableness determinations have not been sufficiently rigorous in federal ESPCs or that the prices paid in ESPCs are generally higher than the prices paid for similar goods and

  20. Option Valuation with Observable Volatility and Jump Dynamics

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Feunou, Bruno; Jeon, Yoontae

    Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity dy...

  1. Outside Shock, Structural Change and Domestic Agricultural Product Price Volatility%外部冲击对国内农产品价格波动影响分析

    Institute of Scientific and Technical Information of China (English)

    李显戈; 周应恒

    2013-01-01

    On the background of continuing market reform, especially accession into WTO in 2001, reduction of import duty and non-tariff trade barrier、 increase of import of agricultural commodity, construction and completion of future market, agricultural product market become more and more interrelated. Based on monthly data from Jan 2005 to Nov. 2010, the paper establishes regression model to research the impact of international agricultural product price, oil price, global liquidity (money supply) and U.S-RMB exchange rate on domestic agricultural product price. The research indicates that international agricultural product price does not have an obvious effect on domestic agricultural product. However, 1% increase of oil price will increase domestic agricultural product price by 0.43%. One percent increase of global liquidity index will correspondingly increase domestic agricultural product price by 2.252% and 1% rise of current and lagged one period U.S-RMB exchange rate will reduce domestic agricultural product price respectively by 3.497%and 1.234%.%  在我国农产品持续市场化改革背景下,尤其是2001年加入世界贸易组织,进口关税和非关税壁垒不断削减、农产品进口量不断增加、农产品期货市场的建立和完善导致国内外农产品市场的联系日益紧密.全球农产品价格在2006-2008年上半年大幅上涨,大豆、玉米、小麦期货价格均创30年来新高;同期在国内,大豆、豆粕价格接近翻番,豆油价格涨幅达76%.本文基于2005.1-2010.11的月度数据,采用回归模型考察国际农产品价格、石油价格、全世界流动性(货币供应量)和美元/人民币汇率等外部因素对国内农产品价格的整体影响.在控制其它变量不变的情况下,研究表明国际农产品价格对我国农产品价格的影响并不显著,而石油价格每上升1%将带动国内农产品价格整体上升0.43%;国际流动性指数上升1%,国内

  2. Theory of Financial Risk and Derivative Pricing

    Science.gov (United States)

    Bouchaud, Jean-Philippe; Potters, Marc

    2009-01-01

    Foreword; Preface; 1. Probability theory: basic notions; 2. Maximum and addition of random variables; 3. Continuous time limit, Ito calculus and path integrals; 4. Analysis of empirical data; 5. Financial products and financial markets; 6. Statistics of real prices: basic results; 7. Non-linear correlations and volatility fluctuations; 8. Skewness and price-volatility correlations; 9. Cross-correlations; 10. Risk measures; 11. Extreme correlations and variety; 12. Optimal portfolios; 13. Futures and options: fundamental concepts; 14. Options: hedging and residual risk; 15. Options: the role of drift and correlations; 16. Options: the Black and Scholes model; 17. Options: some more specific problems; 18. Options: minimum variance Monte-Carlo; 19. The yield curve; 20. Simple mechanisms for anomalous price statistics; Index of most important symbols; Index.

  3. Forecasting Exchange Rate Volatility in the Presence of Jumps

    DEFF Research Database (Denmark)

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

    of exchange rate futures options, allowingcalculation of option implied volatility. We find that implied volatility is an informationallyefficient but biased forecast of future realized exchange rate volatility. Furthermore,we show that log-normality is an even better distributional approximation...... for impliedvolatility than for realized volatility in this market. Finally, we show that the jump componentof future realized exchange rate volatility is to some extent predictable, and thatoption implied volatility is the dominant forecast of the future jump component.......We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniquesto compute realized return volatility and its separate continuous sample path and jumpcomponents, and measures based on prices...

  4. Volatility of an Indian stock market A random matrix approach

    CERN Document Server

    Kulkarni, V

    2005-01-01

    We examine volatility of an Indian stock market in terms of aspects like participation, synchronization of stocks and quantification of volatility using the random matrix approach. Volatility pattern of the market is found using the BSE index for the three-year period 2000-2002. Random matrix analysis is carried out using daily returns of 70 stocks for several time windows of 85 days in 2001 to (i) do a brief comparative analysis with statistics of eigenvalues and eigenvectors of the matrix C of correlations between price fluctuations, in time regimes of different volatilities. While a bulk of eigenvalues falls within RMT bounds in all the time periods, we see that the largest (deviating) eigenvalue correlates well with the volatility of the index, the corresponding eigenvector clearly shows a shift in the distribution of its components from volatile to less volatile periods and verifies the qualitative association between participation and volatility (ii) observe that the Inverse participation ratio for the ...

  5. Uma avaliação da volatilidade dos preços da soja no mercado internacional com dados de alta frequência An evaluation of the volatility of soybeans prices in the international market using high frequency data

    Directory of Open Access Journals (Sweden)

    Mario Domingues Simões

    2012-01-01

    Full Text Available Neste trabalho foram avaliados os ajustes de cinco modelos para previsão da variância, utilizando-se uma série de preços de soja, uma commodity negociada na bolsa de mercadorias de Chicago (CBOT, com dados de alta frequência. Os modelos utilizados foram do tipo GARCH, FIGARCH e ARFIMA. Foi possível observar características desta série de preços de uma commodity negociada globalmente que se apresentaram inteiramente diferentes daquelas de ativos financeiros anteriormente estudados, possivelmente em virtude da característica contínua dos preços observados, induzida pela sua negociação global independente de pregões com início e fim. Foi possível concluir que a série de dados de alta frequência encerra informações adicionais às séries de dados diários, também no caso estudado de preços da soja, e que o tradicional modelo GARCH(1,1 tem um bom desempenho também no caso dos dados de alta frequência, assim como aqueles da família ARFIMA. Recomenda-se mais investigação para o caso dos modelos FIGARCH, procurando um melhor ajuste.In the present study, five volatility prediction models were evaluated using a series of soybeans prices, a commodity traded in the Chicago Board of Trade (CBOT, using high-frequency data. The models used belonged to the GARCH, FIGARCH and ARFIMA families. It was possible to observe entirely different characteristics of this commodity price series, which is negotiated on a global scale, from those of the financial assets previously studied, possibly due to the continuity of the price series studied allowed by the global negotiation nature of this trade, fully independent of daily exchange markets subject to opening and closing times. It was possible to conclude that the high-frequency price data do provide additional information to the traditional daily time series, also in the case of soybeans, and that the traditional GARCH(1,1 model also has good performance on the high-frequency price data just

  6. Volatility and cross correlation across asset markets: Evidence from the French and US markets over the 1997-2000 period

    OpenAIRE

    Laborde, David; Rey, Serge

    2001-01-01

    This paper analyzes the causal relationships between returns and volatilities of assets prices in U.S. and French markets. The period for the study has been taken from January 1997 to December 2000, using daily and weekly data. Initial results show that U.S. stock prices "Granger-cause" French stock prices, while changes in French and American stock prices influence significatively the euro/dollar exchange rate. Moreover, it appears that the volatilities of stock markets are linked (with caus...

  7. Financial market volatility and inflation uncertainty: An empirical investigation

    OpenAIRE

    Döpke, Jörg; Pierdzioch, Christian

    1999-01-01

    Using monthly data for Germany from 1968 through 1998, the relationship betweenfluctuations of prices in financial markets and inflation is analyzed. The results of Granger-causality tests reveal that stock market has no predictive power volatility for inflation uncertainty, et vice versa. Regarding the subsequent volatility of short-term and of long-term interest rate. In contrast, inflation uncertainty provides some information. The hypothesis of a causality running from the volatility of t...

  8. The crucial relationship among energy commodity prices: Evidence from the Spanish electricity market

    Energy Technology Data Exchange (ETDEWEB)

    Moutinho, Victor, E-mail: vmoutinho@ua.pt [Department of Economics, Management and Industrial Engineering, University of Aveiro, Campus universitario de Santiago, 3810-193 Aveiro (Portugal); Vieira, Joel, E-mail: jmv@ua.pt [Department of Economics, Management and Industrial Engineering, University of Aveiro, Campus universitario de Santiago, 3810-193 Aveiro (Portugal); Carrizo Moreira, Antonio, E-mail: amoreira@ua.pt [Department of Economics, Management and Industrial Engineering, GOVCOPP, University of Aveiro, Campus universitario de Santiago, 3810-193 Aveiro (Portugal)

    2011-10-15

    The main purpose of this article is twofold to analyze: (a) the long-term relation among the commodities prices and between spot electricity market price and commodity prices, and (b) the short-term dynamics among commodity prices and between electricity prices and commodity prices. Data between 2002 and 2005 from the Spanish electricity market was used. Econometric methods were used in the analysis of the commodity spot price, namely the vector autoregression model, the vector error correction model and the granger causality test. The co-integration approach was used to analyze the long-term relationship between the common stochastic trends of four fossil fuel prices. One of the findings in the long-term relation is that the prices of fuel and the prices of Brent are intertwined, though the prices of Brent ten to 'move' to reestablish the price equilibrium. Another finding is that the price of electricity is explained by the evolution of the natural gas series. - Highlights: > We model energy commodity prices in the Spanish electricity market. > We examine the short and long-term relationships among commodities prices. > We examine short and long-term relationships using co-integration techniques. > We found that in the long run the prices of fuel and Brent are intertwined. > The evolution of price of electricity is explained by the evolution of price of gas.

  9. Welfare Effects of Higher Energy and Food Prices in Botswana: A ...

    African Journals Online (AJOL)

    emerging market economies those contributing to higher food prices include global warming and the shift to ... Botswana has allowed energy and food prices to be transmitted to domestic markets in the form of higher ..... Responding to global food price volatility and its impact on food security ... Poverty and Equity. Group.

  10. Evidence of the Price Discovery and Volatility Spillover of the CSI 300 Stock Index Futures Based on the BEEK-GARCH Model%沪深300股指期货的价格发现能力及波动溢出效应研究--基于BEEK-GARCH 模型的证据

    Institute of Scientific and Technical Information of China (English)

    陶启智; 李亮; 郭姝辛

    2015-01-01

    以沪深300股指期货自推出至今的1分钟数据作为研究样本,使用BEEK‐GARCH模型量化沪深300股指期货和现货市场的价格发现能力及波动溢出效应。研究发现,我国期货市场成立初期并未发挥其价格发现功能,这一现象随着市场成熟度增加而逐渐改善,期货市场在价格发现过程中占主要地位。通过GARCH 模型对收益率调整过程进行估计,发现市场之间存在双向波动溢出效应:短期内表现出均值回归;长期来看,误差修正项系数显著异于0,符合调整的负反馈性质,价格偏差会被纠正从而达到长期均衡。%With the 1 minute interval data up to the present time of the CSI 300 stock index futures as the samples ,this paper quantitatively studies the price discovery and volatility spillover of the CSI 300 stock index futures and spot markets ,using the BEEK‐GARCH model .The impulse response function and vari‐ance decomposition are used to imply the price discovery ,w hich show s that the future market plays a more important role .A vector error correction model is built to describe the dynamic adjustment of the futures and spot price of stock indexes .The result shows that there exists a two‐way granger causal relationship between the futures and the spots ,as well as a volatility spillover effect .The regression will return to the mean in the short run and satisfies the negative feedback of the correction that the existence of arbitrage will adjust the bias to the equilibrium in the long run .

  11. PARAMETER ESTIMATION FOR A DISCRETELY OBSERVED STOCHASTIC VOLATILITY MODEL WITH JUMPS IN THE VOLATILITY

    Institute of Scientific and Technical Information of China (English)

    2003-01-01

    In this paper a stochastic volatility model is considered. That is, a log price process Y whichis given in terms of a volatility process V is studied. The latter is defined such that the logprice possesses some of the properties empirically observed by Barndorff-Nielsen & Jiang[6]. Inthe model there are two sets of unknown parameters, one set corresponding to the marginaldistribution of V and one to autocorrelation of V. Based on discrete time observations ofthe log price the authors discuss how to estimate the parameters appearing in the marginaldistribution and find the asymptotic properties.

  12. Modeling and forecasting petroleum futures volatility

    Energy Technology Data Exchange (ETDEWEB)

    Sadorsky, Perry [York Univ., Schulich School of Business, Toronto, ON (Canada)

    2006-07-15

    Forecasts of oil price volatility are important inputs into macroeconometric models, financial market risk assessment calculations like value at risk, and option pricing formulas for futures contracts. This paper uses several different univariate and multivariate statistical models to estimate forecasts of daily volatility in petroleum futures price returns. The out-of-sample forecasts are evaluated using forecast accuracy tests and market timing tests. The TGARCH model fits well for heating oil and natural gas volatility and the GARCH model fits well for crude oil and unleaded gasoline volatility. Simple moving average models seem to fit well in some cases provided the correct order is chosen. Despite the increased complexity, models like state space, vector autoregression and bivariate GARCH do not perform as well as the single equation GARCH model. Most models out perform a random walk and there is evidence of market timing. Parametric and non-parametric value at risk measures are calculated and compared. Non-parametric models outperform the parametric models in terms of number of exceedences in backtests. These results are useful for anyone needing forecasts of petroleum futures volatility. (author)

  13. China Gradually Deregulates Aviation Fuels Market

    Institute of Scientific and Technical Information of China (English)

    2002-01-01

    @@ China will gradually deregulate the aviation fuels market to allow the oil and petrochemical enterprises to become shareholders of China Aviation Fuels Corporation (CAFC) so that the aviation fuels suppliers can operate at a lower cost. Deregulation of the air fuels market aims at reduction of aviation fuels price to spur development of China's air transportation industry.

  14. Volatility and covariation of financial assets: a high-frequency analysis

    OpenAIRE

    Cartea, Alvaro; Karyampas, Dimitrios

    2009-01-01

    Using high frequency data for the price dynamics of equities we measure the impact that market microstructure noise has on estimates of the: (i) volatility of returns; and (ii) variance-covariance matrix of n assets. We propose a Kalman-filter-based methodology that allows us to deconstruct price series into the true efficient price and the microstructure noise. This approach allows us to employ volatility estimators that achieve very low Root Mean Squared Errors (RMSEs) compared to other est...

  15. 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...... features for representing the surface and its dynamics: a general dynamic factor model, restricted factor models designed to capture the key features of the surface along the moneyness and maturity dimensions, and in-between spline-based methods. Key findings are that: (i) the restricted and spline......-based models are both rejected against the general dynamic factor model, (ii) the factors driving the surface are highly persistent, (iii) for the restricted models option Delta is preferred over the more often used strike relative to spot price as measure for moneyness....

  16. State energy price and expenditure report, 1995

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    1998-08-01

    The State Energy Price and Expenditure Report (SEPER) presents energy price and expenditure estimates individually for the 50 States and the District of Columbia and in aggregate for the US. The estimates developed in the State Energy Price and Expenditure Data System (SEPEDS) are provided by energy source and economic sector and are published for the years 1970 through 1995. Data for all years are available on a CD-ROM and via Internet. Consumption estimates used to calculate expenditures and the documentation for those estimates are taken from the State Energy Data Report 1995, Consumption Estimates (SEDR), published in December 1997. Expenditures are calculated by multiplying the price estimates by the consumption estimates, which are adjusted to remove process fuel; intermediate petroleum products; and other consumption that has no direct fuel costs, i.e., hydroelectric, geothermal, wind, solar, and photovoltaic energy sources.

  17. A Meta-analysis of the Price Elasticity of Gasoline Demand. A System of Equations Approach

    NARCIS (Netherlands)

    Brons, Martijn; Nijkamp, Peter; Pels, Eric; Rietveld, Piet

    2006-01-01

    Automobile gasoline demand can be expressed as a multiplicative function of fuel efficiency, mileage per car and car ownership. This implies a linear relationship between the price elasticity of total fuel demand and the price elasticities of fuel efficiency, mileage per car and car ownership. In th

  18. A Meta-analysis of the Price Elasticity of Gasoline Demand. A System of Equations Approach

    NARCIS (Netherlands)

    Brons, Martijn; Nijkamp, Peter; Pels, Eric; Rietveld, Piet

    2006-01-01

    Automobile gasoline demand can be expressed as a multiplicative function of fuel efficiency, mileage per car and car ownership. This implies a linear relationship between the price elasticity of total fuel demand and the price elasticities of fuel efficiency, mileage per car and car ownership. In th

  19. A Meta-analysis of the Price Elasticity of Gasoline Demand. A System of Equations Approach

    NARCIS (Netherlands)

    Brons, Martijn; Nijkamp, Peter; Pels, Eric; Rietveld, Piet

    2006-01-01

    Automobile gasoline demand can be expressed as a multiplicative function of fuel efficiency, mileage per car and car ownership. This implies a linear relationship between the price elasticity of total fuel demand and the price elasticities of fuel efficiency, mileage per car and car ownership. In

  20. Reductions in aircraft particulate emissions due to the use of Fischer-Tropsch fuels

    Science.gov (United States)

    Beyersdorf, A. J.; Timko, M. T.; Ziemba, L. D.; Bulzan, D.; Corporan, E.; Herndon, S. C.; Howard, R.; Miake-Lye, R.; Thornhill, K. L.; Winstead, E.; Wey, C.; Yu, Z.; Anderson, B. E.

    2013-06-01

    The use of alternative fuels for aviation is likely to increase due to concerns over fuel security, price stability and the sustainability of fuel sources. Concurrent reductions in particulate emissions from these alternative fuels are expected because of changes in fuel composition including reduced sulfur and aromatic content. The NASA Alternative Aviation Fuel Experiment (AAFEX) was conducted in January-February 2009 to investigate the effects of synthetic fuels on gas-phase and particulate emissions. Standard petroleum JP-8 fuel, pure synthetic fuels produced from natural gas and coal feedstocks using the Fischer-Tropsch (FT) process, and 50% blends of both fuels were tested in the CFM-56 engines on a DC-8 aircraft. To examine plume chemistry and particle evolution with time, samples were drawn from inlet probes positioned 1, 30, and 145 m downstream of the aircraft engines. No significant alteration to engine performance was measured when burning the alternative fuels. However, leaks in the aircraft fuel system were detected when operated with the pure FT fuels as a result of the absence of aromatic compounds in the fuel. Dramatic reductions in soot emissions were measured for both the pure FT fuels (reductions of 84% averaged over all powers) and blended fuels (64%) relative to the JP-8 baseline with the largest reductions at idle conditions. The alternative fuels also produced smaller soot (e.g. at 85% power, volume mean diameters were reduced from 78 nm for JP-8 to 51 nm for the FT fuel), which may reduce their ability to act as cloud condensation nuclei (CCN). The reductions in particulate emissions are expected for all alternative fuels with similar reductions in fuel sulfur and aromatic content regardless of the feedstock. As the plume cools downwind of the engine, nucleation-mode aerosols form. For the pure FT fuels, reductions (94% averaged over all powers) in downwind particle number emissions were similar to those measured at the exhaust plane (84

  1. ECONOMICAL PLANS EFFECTS ON CHARCOAL PRICES

    Directory of Open Access Journals (Sweden)

    José Luiz Pereira Rezende

    2007-06-01

    Full Text Available Energy is essential for human needs satisfaction. With the evolution of machinery, man becomes more and more dependent on the energy stocked in fossil fuels, comparatively to the primitive economy. Wood charcoal is a thermal-reducer used in Brazilian pig iron and steel industries, and its price is formed in an oligopsonic market. Over time, the charcoal prices have varied in function of endogenous and exogenous factors, needing, therefore, to be deflated so that they can be compared in two or more points in time. This work analyzed the variations of charcoal real prices, in national currency; compared and analyzed the real charcoal price in nominal and in real US Dollar and; analyzed the real prices of charcoal, comparatively to the real oil prices. The analyses were accomplished in the period from January 1975 to December 2002. The time series of charcoal prices, in domestic currency were deflated using IGP-DI, considering august, 1994=100, and charcoal prices were also converted to American dollar and deflated using CPI, considering the period 1982-84=100. It was compared, then, the real and nominal charcoal prices. It concluded that the real charcoal prices in Brazilian domestic currency, or in American dollar, presented a decreasing tendency along time. The inflationary disarray, in the 80´s and the first half of the 90 ´s, provoked a big price variation in the period; from the beginning the XXI century, charcoal prices were more influenced by the exchange rate; in the energy crisis period, charcoal prices suffered big changes that, however, did not persist along time.

  2. The Green Shoe Option’s Effectiveness at Stabilizing the IPO’S Stock Price on the Indonesian Stock Exchange (2000-2013

    Directory of Open Access Journals (Sweden)

    Siti Saadah

    2016-02-01

    Full Text Available The increased of price volatility due to positive initial returns will reduce investor confidence and impact on the overall market. Market stabilization mechanism is needed to control the price volatility. This research is intended to explore the effectiveness of Green-Shoe Option in reducing stock price volatility after IPO. This study is done through GARCH model development intended to identify the volatility of IPO shares price. This research compares the volatility price of company shares that apply Green shoe option at IPO with companies that do not apply it. The result of this research on companies that conduct IPO on 2000-2013 periods showed that the green shoe option stabilization program which was used by the issuers was effective in muffing the stock prices’ volatility. Therefore, according to researchers Green Shoe Option stabilization program can be used to prevent or ease the drop of shares price under Public offering.

  3. Bioethanol: fuel or feedstock?

    DEFF Research Database (Denmark)

    Rass-Hansen, Jeppe; Falsig, Hanne; Jørgensen, Betina

    2007-01-01

    Increasing amounts of bioethanol are being produced from fermentation of biomass, mainly to counteract the continuing depletion of fossil resources and the consequential escalation of oil prices. Today, bioethanol is mainly utilized as a fuel or fuel additive in motor vehicles, but it could also...

  4. The Influence of Signed Order Volume on Stock Prices

    Science.gov (United States)

    Gerig, Austin; Farmer, Doyne; Lillo, Fabrizio; Mike, Szabolcs

    2007-03-01

    Using data from the London Stock Exchange we investigate the influence of signed transaction order volume on current and future price changes. (Buy orders are given a positive sign, sell orders a negative sign). Empirical studies have shown that transaction order signs display long memory. Because buying tends to move the price up and selling tends to move the price down, this creates a puzzle regarding efficiency -- if transaction order signs are highly predictable, why aren't prices predictable? We show that efficiency is maintained by correlated fluctuations in the response of prices to orders. We also study whether or not this is an important effect causing clustered volatility in price changes, i.e. the tendency of the magnitude of price changes to be temporally correlated.

  5. Trends in prices to commercial energy consumers in the competitive Texas electricity market

    Energy Technology Data Exchange (ETDEWEB)

    Zarnikau, Jay [University of Texas at Austin (United States); Frontier Associates LLC, Austin, TX (United States); Fox, Marilyn; Smolen, Paul [Fox, Smolen and Associates, Inc., Austin, TX (United States)

    2007-08-15

    To date, the price of electricity to commercial or business energy consumers has generally increased at greater rates in the areas of Texas where retail competition has been introduced than in areas that do not enjoy competition. Trends in commercial competitive prices have largely mirrored trends in residential prices. Market restructuring has tended to increase the sensitivity of retail electricity prices to changes in the price of natural gas, the marginal fuel used for generation in Texas. Consequently, the rapid increases in the commodity price of natural gas following restructuring led to increases in competitive electric rates which exceeded the increases in areas not exposed to restructuring, where the fuel component of electric rates tend to reflect a weighted average of the utilities' fuel costs. There is some evidence that pricing behavior by competitive retailers changed when the retailers affiliated with the incumbent utilities were permitted some pricing flexibility, resulting in a reduction in prices. (author)

  6. The Weird Vegetable Price

    Institute of Scientific and Technical Information of China (English)

    2011-01-01

    The Chinese Government faces the task of stabilizing vegetable prices to avoid steep increases and dips Fluctuations of vegetable prices in China have recently caused near panic in the domestic market.Purchase prices for farm produce are decreasing dramatically

  7. From tariffs to prices

    Energy Technology Data Exchange (ETDEWEB)

    Baena, D. Eduardo Martin [Endesa, Principe de Vergara 187, Madrid (Spain)

    1998-07-01

    It looks like that all over the World things are changing. Many countries, Spain among them, where electricity regulations were usual, are changing their regulatory mainframe. Since January 1, 1998, electricity production is a deregulated activity in Spain. There has to be open market competition. Prices that are very important for the time coming, have to cover the production cost plus some profits in order to maintain the company profitability. This cultural change applies to all our production facilities, including nuclear power plants. Taking into account this new situation and the nuclear competitiveness, it is important for all of us to understand this issue. As it is well known, nuclear energy is capital intensive, that means it has to compete as base load units due to their low operating costs and their large capital ones. For that reason it is important to reduce as much as possible the operating and maintenance cost as well as the fuel one, which will allow nuclear plants to compete in marginal costs with others units. Nuclear energy, in Spain, is not going to fix the pool price but it has to recover some depreciation through it, the remaining being recovered by the recognition of an important part of the stranded cost. (author)

  8. Efficient Option Pricing in Crisis Based on Dynamic Elasticity of Variance Model

    Directory of Open Access Journals (Sweden)

    Congyin Fan

    2016-01-01

    Full Text Available Market crashes often appear in daily trading activities and such instantaneous occurring events would affect the stock prices greatly. In an unstable market, the volatility of financial assets changes sharply, which leads to the fact that classical option pricing models with constant volatility coefficient, even stochastic volatility term, are not accurate. To overcome this problem, in this paper we put forward a dynamic elasticity of variance (DEV model by extending the classical constant elasticity of variance (CEV model. Further, the partial differential equation (PDE for the prices of European call option is derived by using risk neutral pricing principle and the numerical solution of the PDE is calculated by the Crank-Nicolson scheme. In addition, Kalman filtering method is employed to estimate the volatility term of our model. Our main finding is that the prices of European call option under our model are more accurate than those calculated by Black-Scholes model and CEV model in financial crashes.

  9. 7 CFR 1000.50 - Class prices, component prices, and advanced pricing factors.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing... advanced pricing factors. Class prices per hundredweight of milk containing 3.5 percent butterfat, component prices, and advanced pricing factors shall be as follows. The prices and pricing factors...

  10. Does Monetary Policy Respond to Commodity Price Shocks?

    OpenAIRE

    Ano Sujithan, Kuhanathan; Koliai, Lyes; Avouyi-Dovi, Sanvi

    2013-01-01

    Commodity prices, especially oil prices, peaked in the aftermath of the financial crisis of 2007 and they have remained highly volatile. All things being equal, the increase in commodity prices may induce a similar tendency of inflation and hence become a monetary policy issue. However, the impact of the changes of commodity prices on inflation is not clear. In this paper, by using Markov-switching models we show that there is an implicit impact of commodity markets on short-term interest rat...

  11. 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.

  12. Drug Pricing Reforms

    DEFF Research Database (Denmark)

    Kaiser, Ulrich; Mendez, Susan J.; Rønde, Thomas

    2015-01-01

    Reference price systems for prescription drugs have found widespread use as cost containment tools. Under such regulatory regimes, patients co-pay a fraction of the difference between pharmacy retail price of the drug and a reference price. Reference prices are either externally (based on drug...... prices in other countries) or internally (based on domestic drug prices) determined. In a recent study, we analysed the effects of a change from external to internal reference pricing in Denmark in 2005, finding that the reform led to substantial reductions in prices, producer revenues, and expenditures...

  13. Pricing and Trust

    DEFF Research Database (Denmark)

    Huck, Steffen; Ruchala, Gabriele K.; Tyran, Jean-Robert

    We experimentally examine the effects of flexible and fixed prices in markets for experience goods in which demand is driven by trust. With flexible prices, we observe low prices and high quality in competitive (oligopolistic) markets, and high prices coupled with low quality in non-competitive...... (monopolistic) markets. We then introduce a regulated intermediate price above the oligopoly price and below the monopoly price. The effect in monopolies is more or less in line with standard intuition. As price falls volume increases and so does quality, such that overall efficiency is raised by 50%. However...

  14. Carbon Pricing: Design, Experiences and Issues

    DEFF Research Database (Denmark)

    Carbon Pricing reflects upon and further develops the ongoing and worthwhile global debate into how to design carbon pricing, and how to utilize the financial proceeds in the best possible way for society. The world has recently witnessed a significant downward adjustment in fossil fuel prices...... the consequential outcomes of different taxation compositions as regulatory instruments. Expert contributors assess a variety of national experiences to provide an empirical insight into the use of carbon taxes, emissions trading, energy taxes and excise taxes. The overarching discussion concludes that successful...

  15. Modelling socio-metabolic transitions: The historical take-off, the acceleration of fossil fuel use, and the 1970s oil price shock - the first trigger of a future decline?

    Science.gov (United States)

    Wiedenhofer, Dominik; Rovenskaya, Elena; Krausmann, Fridolin; Haas, Willi; Fischer-Kowalski, Marina

    2013-04-01

    triggered the end of rapid physical growth in high income countries. This could contribute to understanding the potential effect of other such shocks such as the rise in energy prices preceding the recent crisis, or future shocks related to the risks of nuclear energy or unconventional fossil fuels.

  16. Implied and Local Volatility Surfaces for South African Index and Foreign Exchange Options

    Directory of Open Access Journals (Sweden)

    Antonie Kotzé

    2015-01-01

    Full Text Available Certain exotic options cannot be valued using closed-form solutions or even by numerical methods assuming constant volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of extensive research in finance, and various models are proposed in order to overcome the shortcomings of the Black-Scholes model that assumes a constant volatility. The Johannesburg Stock Exchange (JSE lists exotic options on its Can-Do platform. Most exotic options listed on the JSE’s derivative exchanges are valued by local volatility models. These models needs a local volatility surface. Dupire derived a mapping from implied volatilities to local volatilities. The JSE uses this mapping in generating the relevant local volatility surfaces and further uses Monte Carlo and Finite Difference methods when pricing exotic options. In this document we discuss various practical issues that influence the successful construction of implied and local volatility surfaces such that pricing engines can be implemented successfully. We focus on arbitrage-free conditions and the choice of calibrating functionals. We illustrate our methodologies by studying the implied and local volatility surfaces of South African equity index and foreign exchange options.

  17. Nitrogen Trifluoride-Based Fluoride- Volatility Separations Process: Initial Studies

    Energy Technology Data Exchange (ETDEWEB)

    McNamara, Bruce K.; Scheele, Randall D.; Casella, Andrew M.; Kozelisky, Anne E.

    2011-09-28

    This document describes the results of our investigations on the potential use of nitrogen trifluoride as the fluorinating and oxidizing agent in fluoride volatility-based used nuclear fuel reprocessing. The conceptual process uses differences in reaction temperatures between nitrogen trifluoride and fuel constituents that produce volatile fluorides to achieve separations and recover valuable constituents. We provide results from our thermodynamic evaluations, thermo-analytical experiments, kinetic models, and provide a preliminary process flowsheet. The evaluations found that nitrogen trifluoride can effectively produce volatile fluorides at different temperatures dependent on the fuel constituent.

  18. Spillover effects of oil price shocks across stock markets

    Science.gov (United States)

    Ng, Zhan Jian; Sek, Siok Kun

    2014-12-01

    Oil price shock can impose detrimental effects to an economy. In this study, we empirically study the spillover effects of oil price shock on determining volatilities of stock markets across the main oil importing and oil producing countries. In particular, we are interested to compare the relative impact of oil price shock on the volatilities of stock markets and how each stock market reacts to oil price shock for oil importing and oil producing countries. We focus the study in four main oil importer and four oil producers respectively using the daily data starting from January 2009 to December 2013. The multivariate GARCH(1,1) model is applied for the purpose of this study. The results of the study suggest that there exist spillover effect between crude oil price and stock returns for all the countries. The short run persistency of spillover effect in oil-exporting countries is lower than oil-importing countries but the long run persistency of spillover effect in oil-exporting countries is higher than oil-importing countries. In general the short run persistency is smaller and the long run persistency is very high. The results hold for volatility of oil price and stock returns and also spillover volatility in all countries.

  19. Spiral mining for lunar volatiles

    Science.gov (United States)

    Schmitt, H. H.; Kulcinski, G. L.; Sviatoslavsky, I. N.; Carrier, W. D., III

    Lunar spiral mining, extending outward from a periodically mobile central power and processing station represents an alternative for comparison with more traditional mining schemes. In this concept, a mining machine would separate regolith fines and extract the contained volatiles. Volatiles then would be pumped along the miner's support arm to the central station for refining and for export or storage. The basic architecture of the central processing station would be cylindrical. A central core area could house the power subsystem of hydrogen-oxygen engines or fuel cells. Habitat sections and other crew occupied areas could be arranged around the power generation core. The outer cylinder could include all volatile refining subsystems. Solar thermal power collectors and reflectors would be positioned on top of the central station. Long term exploitation of a volatile resource region would begin with establishment of a support base at the center of a long boundary of the region. The mining tract for each spiral mining system would extend orthogonal to this boundary. New spiral mining systems would be activated along parallel tracts as demand for lunar He-3 and other solar wind volatiles increased.

  20. Derivative as a Form of Insurance on Oil Price: A Case Study on British Airway

    OpenAIRE

    Wang, Hongfei

    2007-01-01

    Abstract Over the past ten years, the increasing price of jet fuel is putting constant pressure on the airline industry. Since the jet fuel cost is the second largest operating expenditure in the airlines sector, even a small increase in the fuel price would lead a significant of expenditure on the operating cost. This paper tends to exam the use of financial derivatives to hedge against the adverse oil price change and it effectiveness. To further illustrate this point, a c...

  1. Empirical research on spatial and time series properties of agricultural commodity prices

    OpenAIRE

    Liu, Xing,

    2012-01-01

    The integration of European agriculture into the world economy has also accelerated price interaction between member states and the rest of the world during last decades. Consequently, the fluctuation in world market prices was more quickly transmitted to European member states, including Finland. Increasing price uncertainty and price volatility in agricultural products became more evident. The openness of regional agriculture such as EU and Finnish to the world is irreversible, and the int...

  2. Reductions in aircraft particulate emissions due to the use of Fischer–Tropsch fuels

    Directory of Open Access Journals (Sweden)

    A. J. Beyersdorf

    2013-06-01

    Full Text Available The use of alternative fuels for aviation is likely to increase due to concerns over fuel security, price stability and the sustainability of fuel sources. Concurrent reductions in particulate emissions from these alternative fuels are expected because of changes in fuel composition including reduced sulfur and aromatic content. The NASA Alternative Aviation Fuel Experiment (AAFEX was conducted in January–February 2009 to investigate the effects of synthetic fuels on gas-phase and particulate emissions. Standard petroleum JP-8 fuel, pure synthetic fuels produced from natural gas and coal feedstocks using the Fischer–Tropsch (FT process, and 50% blends of both fuels were tested in the CFM-56 engines on a DC-8 aircraft. To examine plume chemistry and particle evolution with time, samples were drawn from inlet probes positioned 1, 30, and 145 m downstream of the aircraft engines. No significant alteration to engine performance was measured when burning the alternative fuels. However, leaks in the aircraft fuel system were detected when operated with the pure FT fuels as a result of the absence of aromatic compounds in the fuel. Dramatic reductions in soot emissions were measured for both the pure FT fuels (reductions of 84% averaged over all powers and blended fuels (64% relative to the JP-8 baseline with the largest reductions at idle conditions. The alternative fuels also produced smaller soot (e.g. at 85% power, volume mean diameters were reduced from 78 nm for JP-8 to 51 nm for the FT fuel, which may reduce their ability to act as cloud condensation nuclei (CCN. The reductions in particulate emissions are expected for all alternative fuels with similar reductions in fuel sulfur and aromatic content regardless of the feedstock. As the plume cools downwind of the engine, nucleation-mode aerosols form. For the pure FT fuels, reductions (94% averaged over all powers in downwind particle number emissions were similar to those measured at the

  3. Pricing Power Options within the Heston Framework

    Directory of Open Access Journals (Sweden)

    Siti N.I. Ibrahim

    2013-03-01

    Full Text Available Numerous studies have presented evidence that certain financial assets may exhibit stochastic volatility or jumps, which cannot be captured within the Black-Scholes environment. This work investigates the valuation of power options when the variance follows the Heston model of stochastic volatility. A closed form representation of the characteristic function of the process is derived from the partial differential equation (PDE of the replicating portfolio. The characteristic function is essential for the computation of the European power option prices via the Fast Fourier Transform (FFT technique. Numerical results are presented. © 2012 Published by NTMSCI Selection and/or peer review under responsibility of NTMSCI Publication Society

  4. 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

  5. ACCOUNTING ASPECTS OF PRICING AND TRANSFER PRICING

    Directory of Open Access Journals (Sweden)

    TÜNDE VERES

    2011-01-01

    Full Text Available The pricing methods in practice need really complex view of the business situation and depend on the strategy and market position of a company. The structure of a price seems simple: cost plus margin. Both categories are special area in the management accounting. Information about the product costs, the allocation methodologies in cost accounting, the analyzing of revenue and different level of the margin needs information from accounting system. This paper analyzes the pricing methods from management accounting aspects to show out the role of the accounting system in the short term and long term pricing and transfer pricing decisions.

  6. Estimating and Forecasting Asset Volatility and Its Volatility: A Markov-Switching Range Model

    NARCIS (Netherlands)

    Piplack, J.

    2009-01-01

    This paper proposes a new model for modeling and forecasting the volatility of asset markets. We suggest to use the log range defined as the natural logarithm of the difference of the maximum and the minimum price observed for an asset within a certain period of time, i.e. one trading week. There is

  7. Price Discovery and Volatility Spillovers between SGX FTSE/Xinhua China A50 Index Futures and A-Share Market%新华富时A50指数期货与A股市场之间的价格发现与波动溢出研究

    Institute of Scientific and Technical Information of China (English)

    熊熊; 王芳; 张维; 孙雅婧

    2009-01-01

    This paper studies the long-term and short-term price discovery function of FTSE/Xinhua China A50 Index Futures and CSI 300 index, the Index of Shanghai Stock Exchange through co-integration test, error correction model and the impulse response function. Empirical results show that FTSE/Xinhua China A50 Index Futures is price discovery vehicle for A-share market to some extent. Furthermore, this paper uses Granger test and BEKK model to explore the volatility spillovers effects of FTSE/Xinhua A50 Index Futures. Empirical results show that the FTSE Xinhua China A50 Index Futures is not a source of instability in A-share market.%采用协整检验、误差修正模型和脉冲响应的方法研究了新华富时A50指数期货与沪深300指数、上证综指的长期价格发现与短期价格发现功能,结果表明,新华富时A50指数期货具有一定的价格发现功能.在此基础上,运用Granger因果检验与BEKK模型研究了新华富时A50指数期货对沪深300指数、上证综指的波动溢出效应,结果表明,新华富时A50指数期货不是我国股票市场不稳定的因素.

  8. 金融机构信贷扩张、资产价格波动与金融危机——基于资产负债表分析模型%Financial Credit Expansion, Asset Price Volatility and Financial Crisis Based on the Balance Sheet Analysis Model

    Institute of Scientific and Technical Information of China (English)

    刘朝阳; 安亚人

    2012-01-01

    Financial crisis has a cyclical characteristics. before and after the crisis. With the same cycle of Typically there is a significant volatility on asset prices banking-credit and macro-economic, credit expansion and accumulation of the assets price bubbles preceding the tions; Market prosperity is often accompanied with Through building and analyzing a quantitative model on the dimensions of capital adequacy ratio, financial financial crisis covers up financial liberalization , systemic risk on financial institumoral hazard and deregulation. of balance sheet of the financial department, and standing assets measurement attributes, bad debt provision ratio, we propose counter-cyclical financial regulation strategy to reduce the probability of the occurrence of financial crisis.%金融危机具有周期性特征,通常在金融危机爆发前后会发生显著的资产价格剧烈波动。由于银行中介信贷周期与宏观经济周期的同周期性,金融危机爆发前的信贷扩张与资产价格泡沫积累掩盖了金融机构的系统性风险问题;市场高涨往往伴随着金融自由化思潮、道德风险问题与实质性监管松弛。基于对金融中介机构资产负债表量化模型的构建与分析,应从资本充足率、金融资产计量属性、坏账拔备比率三个维度采取逆周期金融监管策略,以降低金融危机发生的概率。

  9. Alaska North Slope crude oil price and the behavior of diesel prices in California

    Energy Technology Data Exchange (ETDEWEB)

    Adrangi, B.; Chatrath, A. [School of Business Administration, University of Portland, 5000 N. Willamette Blvd., 97203 Portland, OR (United States); Raffiee, K. [Department of Economics, College of Business Administration, 89557 Reno, NV (United States); Ripple, R. [Faculty of Business, School of Finance and Business Economics, Edith Cowan University, 100 Joondalup Drive, Western Australia 6027 Joondalup (Australia)

    2001-01-01

    In this paper we analyze the price dynamics of Alaska North Slope crude oil and L.A. diesel fuel prices. We employ VAR methodology and bivariate GARCH model to show that there is a strong evidence of a uni-directional causal relationship between the two prices. The L.A. diesel market is found to bear the majority of the burden of convergence when there is a price spread. This finding may be seen as being consistent with the general consensus that price discovery emanates from the larger, more liquid market where trading volume is concentrated. The contestability of the West Coast crude oil market tends to cause it to react relatively competitively, while the lack of contestability for the West Coast diesel market tends to limit its competitiveness, causing price adjustment to be slow but to follow the price signals of crude oil. Our findings also suggest that the derived demand theory of input pricing may not hold in this case. The Alaska North Slope crude oil price is the driving force in changes of L.A. diesel price.

  10. The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock and Bond Markets

    DEFF Research Database (Denmark)

    Christensen, Bent Jesper

    We study the forecasting of future realized volatility in the stock, bond, and foreign exchange markets, as well as the continuous sample path and jump components of this, from variables in the information set, including implied volatility backed out from option prices. Recent nonparametric...... statistical techniques are used to separate realized volatility into its continuous and jump components, thus enhancing forecasting performance as shown by Andersen et al. (2005). We generalize the heterogeneous autoregressive (HAR) model to include implied volatility as an additional regressor...

  11. A Hull and White Formula for a General Stochastic Volatility Jump-Diffusion Model with Applications to the Study of the Short-Time Behavior of the Implied Volatility

    Directory of Open Access Journals (Sweden)

    Elisa Alòs

    2008-01-01

    Full Text Available We obtain a Hull and White type formula for a general jump-diffusion stochastic volatility model, where the involved stochastic volatility process is correlated not only with the Brownian motion driving the asset price but also with the asset price jumps. Towards this end, we establish an anticipative Itô's formula, using Malliavin calculus techniques for Lévy processes on the canonical space. As an application, we show that the dependence of the volatility process on the asset price jumps has no effect on the short-time behavior of the at-the-money implied volatility skew.

  12. Fish Is Food - The FAO’s Fish Price Index

    Science.gov (United States)

    Tveterås, Sigbjørn; Asche, Frank; Bellemare, Marc F.; Smith, Martin D.; Guttormsen, Atle G.; Lem, Audun; Lien, Kristin; Vannuccini, Stefania

    2012-01-01

    World food prices hit an all-time high in February 2011 and are still almost two and a half times those of 2000. Although three billion people worldwide use seafood as a key source of animal protein, the Food and Agriculture Organization (FAO) of the United Nations–which compiles prices for other major food categories–has not tracked seafood prices. We fill this gap by developing an index of global seafood prices that can help to understand food crises and may assist in averting them. The fish price index (FPI) relies on trade statistics because seafood is heavily traded internationally, exposing non-traded seafood to price competition from imports and exports. Easily updated trade data can thus proxy for domestic seafood prices that are difficult to observe in many regions and costly to update with global coverage. Calculations of the extent of price competition in different countries support the plausibility of reliance on trade data. Overall, the FPI shows less volatility and fewer price spikes than other food price indices including oils, cereals, and dairy. The FPI generally reflects seafood scarcity, but it can also be separated into indices by production technology, fish species, or region. Splitting FPI into capture fisheries and aquaculture suggests increased scarcity of capture fishery resources in recent years, but also growth in aquaculture that is keeping pace with demand. Regionally, seafood price volatility varies, and some prices are negatively correlated. These patterns hint that regional supply shocks are consequential for seafood prices in spite of the high degree of seafood tradability. PMID:22590598

  13. Relationships between oil price shocks and stock market: An empirical analysis from China

    Energy Technology Data Exchange (ETDEWEB)

    Cong Ronggang [Center for Energy and Environmental Policy Research, Institute of Policy and Management (IPM), Chinese Academy of Sciences (CAS), P.O. Box 8712, Beijing 100080 (China); Graduate School of the Chinese Academy of Sciences, Beijing 100080 (China); Wei Yiming [Center for Energy and Environmental Policy Research, Institute of Policy and Management (IPM), Chinese Academy of Sciences (CAS), P.O. Box 8712, Beijing 100080 (China)], E-mail: ymwei@deas.harvard.edu; Jiao Jianlin [Hefei University of Science and Technology, Hefei 230009 (China); Fan Ying [Center for Energy and Environmental Policy Research, Institute of Policy and Management (IPM), Chinese Academy of Sciences (CAS), P.O. Box 8712, Beijing 100080 (China)

    2008-09-15

    This paper investigates the interactive relationships between oil price shocks and Chinese stock market using multivariate vector auto-regression. Oil price shocks do not show statistically significant impact on the real stock returns of most Chinese stock market indices, except for manufacturing index and some oil companies. Some 'important' oil price shocks depress oil company stock prices. Increase in oil volatility may increase the speculations in mining index and petrochemicals index, which raise their stock returns. Both the world oil price shocks and China oil price shocks can explain much more than interest rates for manufacturing index.

  14. Relationships between oil price shocks and stock market: An empirical analysis from China

    Energy Technology Data Exchange (ETDEWEB)

    Cong, Rong-Gang [Center for Energy and Environmental Policy Research, Institute of Policy and Management (IPM), Chinese Academy of Sciences (CAS), P.O. Box 8712, Beijing 100080 (China); Graduate School of the Chinese Academy of Sciences, Beijing 100080 (China); Wei, Yi-Ming; Fan, Ying [Center for Energy and Environmental Policy Research, Institute of Policy and Management (IPM), Chinese Academy of Sciences (CAS), P.O. Box 8712, Beijing 100080 (China); Jiao, Jian-Lin [Hefei University of Science and Technology, Hefei 230009 (China)

    2008-09-15

    This paper investigates the interactive relationships between oil price shocks and Chinese stock market using multivariate vector auto-regression. Oil price shocks do not show statistically significant impact on the real stock returns of most Chinese stock market indices, except for manufacturing index and some oil companies. Some 'important' oil price shocks depress oil company stock prices. Increase in oil volatility may increase the speculations in mining index and petrochemicals index, which raise their stock returns. Both the world oil price shocks and China oil price shocks can explain much more than interest rates for manufacturing index. (author)

  15. Relationships between oil price shocks and stock market: An empirical analysis from China

    DEFF Research Database (Denmark)

    Cong, Ronggang; Wei, Yi-Ming; Jiao, Jian-Ling

    2008-01-01

    This paper investigates the interactive relationships between oil price shocks and Chinese stock market using multivariate vector auto-regression. Oil price shocks do not show statistically significant impact on the real stock returns of most Chinese stock market indices, except for manufacturing...... index and some oil companies. Some “important” oil price shocks depress oil company stock prices. Increase in oil volatility may increase the speculations in mining index and petrochemicals index, which raise their stock returns. Both the world oil price shocks and China oil price shocks can explain...

  16. Scaling and long-range dependence in option pricing I: Pricing European option with transaction costs under the fractional Black-Scholes model

    Science.gov (United States)

    Wang, Xiao-Tian

    2010-02-01

    This paper deals with the problem of discrete time option pricing by the fractional Black-Scholes model with transaction costs. By a mean self-financing delta-hedging argument in a discrete time setting, a European call option pricing formula is obtained. The minimal price C(t,St) of an option under transaction costs is obtained as timestep δt=((, which can be used as the actual price of an option. In fact, C(t,St) is an adjustment to the volatility in the Black-Scholes formula by using the modified volatility σ√{2}(( to replace the volatility σ, where {k}/{σ}{1}/{2} is the Hurst exponent, and k is a proportional transaction cost parameter. In addition, we also show that timestep and long-range dependence have a significant impact on option pricing.

  17. Exporter Price Premia?

    DEFF Research Database (Denmark)

    Jäkel, Ina Charlotte; Sørensen, Allan

    -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. Pricing and Trust

    DEFF Research Database (Denmark)

    Huck, Steffen; Ruchala, Gabriele K.; Tyran, Jean-Robert

    We experimentally examine the effects of flexible and fixed prices in markets for experience goods in which demand is driven by trust. With flexible prices, we observe low prices and high quality in competitive (oligopolistic) markets, and high prices coupled with low quality in non...

  19. Sulphur release from alternative fuel firing

    DEFF Research Database (Denmark)

    Cortada Mut, Maria del Mar; Nørskov, Linda Kaare; Glarborg, Peter;

    2014-01-01

    The cement industry has long been dependent on the use of fossil fuels, although a recent trend in replacing fossil fuels with alternative fuels has arisen. 1, 2 However, when unconverted or partly converted alternative fuels are admitted directly in the rotary kiln inlet, the volatiles released...

  20. The mean time-limited crash rate of stock price

    Science.gov (United States)

    Li, Yun-Xian; Li, Jiang-Cheng; Yang, Ai-Jun; Tang, Nian-Sheng

    2017-05-01

    In this article we investigate the occurrence of stock market crash in an economy cycle. Bayesian approach, Heston model and statistical-physical method are considered. Specifically, Heston model and an effective potential are employed to address the dynamic changes of stock price. Bayesian approach has been utilized to estimate the Heston model's unknown parameters. Statistical physical method is used to investigate the occurrence of stock market crash by calculating the mean time-limited crash rate. The real financial data from the Shanghai Composite Index is analyzed with the proposed methods. The mean time-limited crash rate of stock price is used to describe the occurrence of stock market crash in an economy cycle. The monotonous and nonmonotonous behaviors are observed in the behavior of the mean time-limited crash rate versus volatility of stock for various cross correlation coefficient between volatility and price. Also a minimum occurrence of stock market crash matching an optimal volatility is discovered.