Aineistot 1-10 / 25
Cointegration and nonlinear causality among ethanol-related prices : evidence from Brazil
The objective of this study was to investigate the causal relationships among crude oil, ethanol and sugar prices in the context of Brazil. In doing so, we consider the application of ARDL bound tests to examine whether ...
Forecasting the volatility of biofuel feedstock prices : the US evidence
Given that, nowadays, 40% of the US corn crop is used for biofuel production, there is a growing concern that the rise in biofuel production might lead to an increase in food prices. However, it is also obvious that ...
Assessing the risk of the European Union carbon allowance market : structural breaks and forecasting performance
Purpose - The purpose of this paper is to examine the impact of structural breaks on the conditional variance of carbon emission allowance prices. Design/methodology/approach - The authors employ the symmetric GARCH model, ...
Oil and non-energy commodity markets : an empirical analysis of volatility spillovers and hedging effectiveness
(Cogent OA, an imprint of Taylor & Francis, 2017-05-05)
Although a large number of empirical papers have examined the price spillover in global oil and non-energy commodity markets, very little is known about the volatility transmission between these two markets. The present ...
Assessment and Optimization of Clean Energy Equity Risks and Commodity Price Volatility Indexes : Implications for Sustainability
Although clean energy equities have emerged as a new asset class for market participants, especially environmentally concerned investors, existing and previous studies pay very little attention to how equity investors in ...
Does Corn Market Uncertainty Impact the US Ethanol Prices?
(Wiley Open Access, 2018-05-23)
The growing interest in biofuel as a green energy source has intensified the linkages between corn and ethanol markets, especially in the United States that represents the largest producing and exporting country for ethanol ...
Modelling the volatility of crude oil returns : Jumps and volatility forecasts
(John Wiley and Sons, 2020-07-22)
We contribute to the scarce literature on the oil market volatility index (OVX) by examining the presence of time‐varying jumps in OVX and by assessing the ability of OVX to predict the conditional variance of crude oil ...
Investigating long-run stock returns after corporate events : the UK evidence
(Virtus Interpress, 2014)
The objective of this paper is to assess the robustness of the existing long-run event study methodologies in the UK stock market. In doing so, the study employs the buy-and-hold abnormal return approach and the calendar ...
Does calendar time portfolio approach really lack power?
(Canadian Center of Science and Education (CCSE), 2014-08-22)
This paper investigates whether the calendar time methodology lacks power in detecting the long-run abnormalperformance of the firms after major corporate events. In addition, the study proposes a variant of calendar ...
Parametric and nonparametric event study tests : a review
(Canadian Center of Science and Education (CCSE), 2014-11-25)
This paper presents a modest attempt to review the existing methodologies for measuring short-run abnormal performance of firms following certain corporate events. In doing so, the study discusses different parametric as ...