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Registros recuperados: 4
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Evaluating the Empirical Performance of Alternative Econometric Models for Oil Price Forecasting AgEcon
Scarpa, Elisa; Longo, Chiara; Manera, Matteo; Markandya, Anil.
The relevance of oil in the world economy explains why considerable effort has been devoted to the development of different types of econometric models for oil price forecasting. Several specifications have been proposed in the economic literature. Some are based on financial theory and concentrate on the relationship between spot and futures prices (“financial” models). Others assign a key role to variables explaining the characteristics of the physical oil market (“structural” models). The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should be implemented. Relative to the previous literature, this paper is novel in several respects. First of all, we test and systematically evaluate the...
Tipo: Working or Discussion Paper Palavras-chave: Resource /Energy Economics and Policy.
Ano: 2007 URL: http://purl.umn.edu/12118
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Industrial Coal Demand in China: A Provincial Analysis AgEcon
Cattaneo, Cristina; Manera, Matteo; Scarpa, Elisa.
In recent years, concerns regarding the environmental implications of the rising coal demand have induced considerable efforts to generate long-term forecasts of China’s energy requirements. Nevertheless, none of the previous empirical studies on energy demand for China has tackled the issue of modelling coal demand in China at provincial level. The aim of this paper is to fill this gap. In particular, we model and forecast the Chinese demand for coal using time series data disaggregated by provinces. Moreover, not only does our analysis account for heterogeneity among provinces, but also, given the nature of the data, it captures the presence of spatial autocorrelation among provinces using a spatial econometric model. A fixed effects spatial lag model...
Tipo: Working or Discussion Paper Palavras-chave: Energy demand; Coal demand; China; Spatial econometrics; Panel data; Forecasting; Resource /Energy Economics and Policy; C23; E6; Q31; Q41.
Ano: 2008 URL: http://purl.umn.edu/44425
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Oil Price Forecast Evaluation with Flexible Loss Functions AgEcon
Bastianin, Andrea; Manera, Matteo; Markandya, Anil; Scarpa, Elisa.
The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should be implemented. Relative to the previous literature, this paper is novel in several respects. First of all, we test and systematically evaluate the ability of several alternative econometric specifications proposed in the literature to capture the dynamics of oil prices. Second, we analyse the effects of different data frequencies on the coefficient estimates and forecasts obtained using each selected econometric specification. Third, we compare different models at different data frequencies on a common sample and common data. Fourth, we evaluate the forecasting performance of each selected model using static forecasts, as well as...
Tipo: Working Paper Palavras-chave: Oil Price; WTI Spot and Futures Prices; Forecasting; Econometric Models; Research and Development/Tech Change/Emerging Technologies; C52; C53; Q32; Q43.
Ano: 2011 URL: http://purl.umn.edu/120042
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Pricing and Hedging Illiquid Energy Derivatives: an Application to the JCC Index AgEcon
Scarpa, Elisa; Manera, Matteo.
In this paper we discuss a simple econometric strategy for pricing and hedging illiquid financial products, such as the Japanese crude oil cocktail (JCC) index, the most popular OTC energy derivative in Japan. First, we review the existing literature for computing optimal hedge ratios (OHR) and we propose a critical classification of the existing approaches. Second, we compare the empirical performance of different econometric models (namely, regression models in price-levels, price first differences, price returns, as well as error correction and autoregressive distributed lag models) in terms of their computed OHR using monthly data on the JCC over the period January 2000-January 2006. Third, we illustrate and implement a procedure to cross-hedge and...
Tipo: Working or Discussion Paper Palavras-chave: Demand and Price Analysis; Resource /Energy Economics and Policy.
Ano: 2006 URL: http://purl.umn.edu/12115
Registros recuperados: 4
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