Shock Propagation Across The Futures Term Structure PDF Download
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| Author | : Delphine Lautier |
| Publisher | : |
| Total Pages | : 42 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download Shock Propagation Across the Futures Term Structure Book in PDF, ePub and Kindle
To what extent are futures prices interconnected across the maturity curve? Where in the term structure do price shocks originate, and which maturities do they reach? We propose a new approach, based on information theory, to study these cross-maturity linkages and the extent to which connectedness is impacted by market events. We introduce the concepts of backward and forward information flows, and propose a novel type of directed graph, to investigate the propagation of price shocks across the WTI term structure. Using daily data, we show that the mutual information shared by contracts with different maturities increases substantially starting in 2004, falls back sharply in 2011-2014, and recovers thereafter. Our findings point to a puzzling re-segmentation by maturity of the WTI market in 2012-2014. We document that, on average, short-dated futures emit more information than do backdated contracts. Importantly, however, we also show that significant amounts of information flow backwards along the maturity curve - almost always from intermediate maturities, but at times even from far-dated contracts. These backward flows are especially strong and far-reaching amid the 2007-2008 oil price boom/bust.
| Author | : Irving Israel Glass |
| Publisher | : University of Toronto Press |
| Total Pages | : 852 |
| Release | : 1970-12-15 |
| Genre | : Education |
| ISBN | : 1487597584 |
Download Shock Tubes Book in PDF, ePub and Kindle
This volume contains the proceedings of a symposium held at the University of Toronto in June 1969. The symposium consisted of six sessions; each containing an invited paper, followed by six contributed papers reporting on recent, relevant research and development. The topics are: a review of research problems in basic shock tube flows and the possibilities for the shock tube in the future; driving techniques; explosive drivers; theoretical and experimental research in electromagnetic shock tubes; chemical kinetics and spectroscopy; and a review of shock tube diagnostics, instrumentation and fundamental data as well as the measurement of physical quantities.
| Author | : Juan J. Dolado |
| Publisher | : Emerald Group Publishing |
| Total Pages | : 200 |
| Release | : 2022-09-16 |
| Genre | : Business & Economics |
| ISBN | : 1803826371 |
Download Essays in Honour of Fabio Canova Book in PDF, ePub and Kindle
Both parts of Volume 44 of Advances in Econometrics pay tribute to Fabio Canova for his major contributions to economics over the last four decades.
| Author | : John B. Taylor |
| Publisher | : Elsevier |
| Total Pages | : 1366 |
| Release | : 2016-12-01 |
| Genre | : Business & Economics |
| ISBN | : 0444594779 |
Download Handbook of Macroeconomics Book in PDF, ePub and Kindle
Handbook of Macroeconomics surveys all major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues. It courageously examines why existing models failed during the financial crisis, and also addresses well-deserved criticism head on. With contributions from the world's chief macroeconomists, its reevaluation of macroeconomic scholarship and speculation on its future constitute an investment worth making. Serves a double role as a textbook for macroeconomics courses and as a gateway for students to the latest research Acts as a one-of-a-kind resource as no major collections of macroeconomic essays have been published in the last decade
| Author | : G. Gregoriou |
| Publisher | : Springer |
| Total Pages | : 229 |
| Release | : 2015-12-26 |
| Genre | : Business & Economics |
| ISBN | : 0230295207 |
Download Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models Book in PDF, ePub and Kindle
This book proposes new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis. In particular, it considers new models for hedge funds and derivatives of derivatives, and adds to the literature of testing for the efficiency of markets both theoretically and empirically.
| Author | : Bassam Fattouh |
| Publisher | : |
| Total Pages | : 25 |
| Release | : 2012 |
| Genre | : Petroleum products |
| ISBN | : 9781907555442 |
Download The Role of Speculation in Oil Markets Book in PDF, ePub and Kindle
| Author | : Monika Piazzesi |
| Publisher | : |
| Total Pages | : 298 |
| Release | : 2000 |
| Genre | : |
| ISBN | : |
Download Essays in Monetary Policy and Asset Pricing Book in PDF, ePub and Kindle
| Author | : Graham Elliott |
| Publisher | : Newnes |
| Total Pages | : 719 |
| Release | : 2013-08-23 |
| Genre | : Business & Economics |
| ISBN | : 0444536841 |
Download Handbook of Economic Forecasting Book in PDF, ePub and Kindle
The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics
| Author | : Kamruzzaman, Joarder |
| Publisher | : IGI Global |
| Total Pages | : 299 |
| Release | : 2006-03-31 |
| Genre | : Computers |
| ISBN | : 1591406722 |
Download Artificial Neural Networks in Finance and Manufacturing Book in PDF, ePub and Kindle
"This book presents a variety of practical applications of neural networks in two important domains of economic activity: finance and manufacturing"--Provided by publisher.
| Author | : Mr. Kangni R Kpodar |
| Publisher | : International Monetary Fund |
| Total Pages | : 34 |
| Release | : 2021-11-12 |
| Genre | : Business & Economics |
| ISBN | : 1616356154 |
Download The Distributional Implications of the Impact of Fuel Price Increases on Inflation Book in PDF, ePub and Kindle
This paper investigates the response of consumer price inflation to changes in domestic fuel prices, looking at the different categories of the overall consumer price index (CPI). We then combine household survey data with the CPI components to construct a CPI index for the poorest and richest income quintiles with the view to assess the distributional impact of the pass-through. To undertake this analysis, the paper provides an update to the Global Monthly Retail Fuel Price Database, expanding the product coverage to premium and regular fuels, the time dimension to December 2020, and the sample to 190 countries. Three key findings stand out. First, the response of inflation to gasoline price shocks is smaller, but more persistent and broad-based in developing economies than in advanced economies. Second, we show that past studies using crude oil prices instead of retail fuel prices to estimate the pass-through to inflation significantly underestimate it. Third, while the purchasing power of all households declines as fuel prices increase, the distributional impact is progressive. But the progressivity phases out within 6 months after the shock in advanced economies, whereas it persists beyond a year in developing countries.
