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Using Markets to Inform Policy: The Case of the Iraq War

JUSTIN WOLFERS, ERIC ZITZEWITZ
<span title="">2009</span> <i title="Wiley"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/453xvxko6rgk3bextrdyvb7noa" style="color: black;">Economica</a> </i> &nbsp;
In this paper, we demonstrate by example how prediction markets make it possible to use markets to prospectively estimate policy effects.  ...  The flow of war-related news through our sample explains a large proportion of daily oil and equity price movements.  ...  − ∞ − ∫ ∫ The second derivative gives the state price function p(P,F,τ): the price of a security worth a dollar if the price at expiry equals P.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1111/j.1468-0335.2008.00750.x">doi:10.1111/j.1468-0335.2008.00750.x</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/h23lup5bcngmbgp52ufsxrhf3a">fatcat:h23lup5bcngmbgp52ufsxrhf3a</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20130112203426/http://www.dartmouth.edu/~ericz/usingmarkets.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/19/4d/194da5c87b3d07166b689da9be9d45ec44c5d29d.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1111/j.1468-0335.2008.00750.x"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> Publisher / doi.org </button> </a>

Uncertainty, learning, and local opposition to hydraulic fracturing

Joshua H. Hess, Dale T. Manning, Terry Iverson, Harvey Cutler
<span title="">2019</span> <i title="Elsevier BV"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/iqypz64effco7nms5vddapg5vm" style="color: black;">Resource and Energy Economics</a> </i> &nbsp;
influences policy in a narrow range of oil and gas prices.  ...  The development of oil and gas extraction technologies, including hydraulic fracturing (fracking), has increased fossil fuel reserves in the US.  ...  The y-axis is the price of oil in dollars per barrel. The overall results hold under a variety of initial beliefs and risk aversion specifications.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1016/j.reseneeco.2018.11.001">doi:10.1016/j.reseneeco.2018.11.001</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/7xmzrjh42ne7pn2wztxjgkgyn4">fatcat:7xmzrjh42ne7pn2wztxjgkgyn4</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20190428184903/https://mpra.ub.uni-muenchen.de/79238/1/MPRA_paper_79238.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/e7/a6/e7a6a18d644a2405bb13ca722f3fd89ed89d9ba6.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1016/j.reseneeco.2018.11.001"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> elsevier.com </button> </a>

Generating Options-Implied Probability Densities to Understand Oil Market Events

Deepa Dhume Datta, Board of Governors of the Federal Reserve System, Juan M. Londono, Landon J. Ross
<span title="">2014</span> <i title="Board of Governors of the Federal Reserve System"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/ohy2sadqmnaxdicc6ldzsms764" style="color: black;">International Finance Discussion Paper</a> </i> &nbsp;
Using PDFs estimated around episodes of high geopolitical tensions, oil supply disruptions, and macroeconomic data releases, we explore the extent to which oil price movements are expected or unexpected  ...  We investigate the informational content of options-implied probability density functions (PDFs) for the future price of oil.  ...  At each point in time, the estimated 90-day PDF reflects market participants' beliefs about the price of the oil futures contract on its expiration date.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.17016/ifdp.2014.1122">doi:10.17016/ifdp.2014.1122</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/xdxp5626pza2tgbqybia6gdz6q">fatcat:xdxp5626pza2tgbqybia6gdz6q</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20170809142022/https://www.federalreserve.gov/econresdata/ifdp/2014/files/ifdp1122.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/0e/ad/0eaded6c9acf00084e0dec7a75626d4e53e4eb19.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.17016/ifdp.2014.1122"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> Publisher / doi.org </button> </a>

Speculation, risk aversion, and risk premiums in the crude oil market

Bingxin Li
<span title="">2018</span> <i title="Elsevier BV"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/2iglomp5yretdktcylcl36psim" style="color: black;">Journal of Banking &amp; Finance</a> </i> &nbsp;
Using crude oil futures and option data, I estimate aggregate risk aversion in the crude oil market and ...nd that it is signi...cantly lower after 2002, when speculative activity started to increase.  ...  Estimated state-dependent risk premiums have substantial predictive power for subsequent futures returns and outperform commonly used predictors. JEL Classi...cation: G13; G17  ...  widely used to estimate implied risk neutral probability density functions.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1016/j.jbankfin.2018.06.002">doi:10.1016/j.jbankfin.2018.06.002</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/ckgoqoc2yff3fkpdhyl4ho3h6i">fatcat:ckgoqoc2yff3fkpdhyl4ho3h6i</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20170107043516/http://www.fma.org/Orlando/Papers/BingxinLi_RiskAversion_01152015.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/53/5c/535cbacc5772b2f91daa6ef596c8ccac3a68a93c.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1016/j.jbankfin.2018.06.002"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> elsevier.com </button> </a>

Heterogeneous Beliefs, Regret, and Uncertainty: The Role of Speculation in Energy Price Dynamics

Marc Joëts
<span title="">2013</span> <i title="Elsevier BV"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/tol7woxlqjeg5bmzadeg6qrg3e" style="color: black;">Social Science Research Network</a> </i> &nbsp;
This paper proposes to investigate the impact of ...nancialization on energy markets (oil, gas, coal and electricity European forward prices) during both normal times and extreme ‡uctuation periods through  ...  We ...nd signi...cant evidence that energy markets are composed by heterogeneous traders which behave di¤erently depending on the intensity of the price ‡uctuations and uncertainty context.  ...  For instance, Reitz and Slopek (2009) generate the fundamental value of oil price based on Chinese oil imports.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.2139/ssrn.2253203">doi:10.2139/ssrn.2253203</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/g5eakvkd2rem5fkba6ha3rfi3e">fatcat:g5eakvkd2rem5fkba6ha3rfi3e</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20170923015909/https://www.econstor.eu/bitstream/10419/73012/1/745139728.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/cf/71/cf714534ddad51a3f5395527f23c77f5492fa416.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.2139/ssrn.2253203"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> ssrn.com </button> </a>

Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics

Marc Joëts
<span title="">2015</span> <i title="Elsevier BV"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/2fqqu5s6wbgk5gcucpt3wqm3gy" style="color: black;">European Journal of Operational Research</a> </i> &nbsp;
This paper proposes to investigate the impact of ...nancialization on energy markets (oil, gas, coal and electricity European forward prices) during both normal times and extreme ‡uctuation periods through  ...  We ...nd signi...cant evidence that energy markets are composed by heterogeneous traders which behave di¤erently depending on the intensity of the price ‡uctuations and uncertainty context.  ...  For instance, Reitz and Slopek (2009) generate the fundamental value of oil price based on Chinese oil imports.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1016/j.ejor.2015.05.061">doi:10.1016/j.ejor.2015.05.061</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/dgoibbcjurgbtprjzms5ajxfbu">fatcat:dgoibbcjurgbtprjzms5ajxfbu</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20170923015909/https://www.econstor.eu/bitstream/10419/73012/1/745139728.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/cf/71/cf714534ddad51a3f5395527f23c77f5492fa416.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1016/j.ejor.2015.05.061"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> elsevier.com </button> </a>

What do Financial Markets Think of War in Iraq?

Andrew Leigh, Justin Wolfers, Eric Zitzewitz
<span title="">2003</span> <i title="Elsevier BV"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/tol7woxlqjeg5bmzadeg6qrg3e" style="color: black;">Social Science Research Network</a> </i> &nbsp;
The spot oil price has moved closely with the Saddam Security, suggesting that war raises oil prices by around $10 per barrel.  ...  A variety of tests suggest that this future's price provides a plausible estimate of the probability of war.  ...  We then use this function to estimate state prices for each strike price.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.2139/ssrn.388762">doi:10.2139/ssrn.388762</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/dvpkyrt6szenjeg2wreoaegczq">fatcat:dvpkyrt6szenjeg2wreoaegczq</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20170808234214/http://andrewleigh.org/pdf/Iraq%20(old).pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/e1/6a/e16a931971390b4fedbb9b0e20b3fd7ad7ef59b1.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.2139/ssrn.388762"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> ssrn.com </button> </a>

Hedging long-term exposures with multiple short-term futures contracts

A. Neuberger
<span title="1999-07-01">1999</span> <i title="Oxford University Press (OUP)"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/bkonsuqkanf7zek7y6zicsc44u" style="color: black;">The Review of financial studies</a> </i> &nbsp;
The strategy is independent both of the agent's risk aversion and, under certain conditions, of beliefs about expected returns from holding futures contracts.  ...  It is tested on data from the oil futures market. I am grateful for valuable help and comments from Wayne Ferson  ...  At month t the parameters of each model are estimated using prices up till that month.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1093/rfs/12.3.429">doi:10.1093/rfs/12.3.429</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/dtsastdru5d5fgprrj7y2ko44i">fatcat:dtsastdru5d5fgprrj7y2ko44i</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20040317064300/http://www.rfs.oupjournals.org:80/cgi/reprint/12/3/429.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/77/12/7712391dc3cf8eb6b66fdc5514f4e7b4690d4c88.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1093/rfs/12.3.429"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> oup.com </button> </a>

Predicting Stock Returns in the Capital Asset Pricing Model Using Quantile Regression and Belief Functions [chapter]

Kittawit Autchariyapanitkul, Somsak Chanaim, Songsak Sriboonchitta, Thierry Denoeux
<span title="">2014</span> <i title="Springer International Publishing"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/2w3awgokqne6te4nvlofavy5a4" style="color: black;">Lecture Notes in Computer Science</a> </i> &nbsp;
The results give us evidence on the systematic risk, in the form of a consonant belief function specified from the asymmetric Laplace distribution likelihood function given recorded data.  ...  Specifically, we apply this method to the capital asset pricing model to estimate the beta coefficient and measure volatility under various market conditions at given levels of quantile.  ...  Nguyen for his helpful comments and suggestions on the connection between belief functions and random sets.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1007/978-3-319-11191-9_24">doi:10.1007/978-3-319-11191-9_24</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/sefxqkcehjc77lgibrdxvknfsa">fatcat:sefxqkcehjc77lgibrdxvknfsa</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20190222130138/http://pdfs.semanticscholar.org/3699/5667340da289d40c74e2da5584da5b5164ef.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/36/99/36995667340da289d40c74e2da5584da5b5164ef.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1007/978-3-319-11191-9_24"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> springer.com </button> </a>

Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence

Saskia ter Ellen, Willem F. C. Verschoor
<span title="">2017</span> <i title="Elsevier BV"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/tol7woxlqjeg5bmzadeg6qrg3e" style="color: black;">Social Science Research Network</a> </i> &nbsp;
This contribution reviews the empirical literature on heterogeneous beliefs and asset price dynamics that challenges the traditional rational agent framework.  ...  Emphasis is given to the validation and estimation of (dynamic) heterogeneous agent models that have their roots in the agent-based literature.  ...  , who are dominant and play a destabilising role when the price of oil is close to its fundamental value.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.2139/ssrn.3073750">doi:10.2139/ssrn.3073750</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/c4cqqexazjba3dpq6wiybextjy">fatcat:c4cqqexazjba3dpq6wiybextjy</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20210715140028/https://research.vu.nl/ws/files/129261807/Ellen_Verschoor2018_Chapter_HeterogeneousBeliefsAndAssetPrice.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/8c/86/8c8635e0b0165c4c939913c8851a391d7d0c3af5.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.2139/ssrn.3073750"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> ssrn.com </button> </a>

Energy Price Transmissions during Extreme Movements

Marc Joets
<span title="">2012</span> <i title="Elsevier BV"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/tol7woxlqjeg5bmzadeg6qrg3e" style="color: black;">Social Science Research Network</a> </i> &nbsp;
More precisely, energy prices comovements appear to be stronger at short horizons than at long horizons, testifying an eventual Samuelson mechanism in the maturity prices curve.  ...  Considering forward energy prices at 1, 10, 20, and 30 months, it turns out that no signi...cant causality exists between markets at regular times whereas comovements are at play during extreme periods  ...  In order to apprehend extreme movements, the Value-at-Risk (VaR) approach is an important tool and is widely used in …nancial markets. 2 VaR is often used to measure market risk with a single numeric value  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.2139/ssrn.2162221">doi:10.2139/ssrn.2162221</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/jhnltxwkn5hhtcyhuqxf2sqpjq">fatcat:jhnltxwkn5hhtcyhuqxf2sqpjq</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20170810091725/http://usaee.org/usaee2012/best/joets.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/ca/10/ca1007ef084b9d8a9a1b73a926dffd3e5b35a855.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.2139/ssrn.2162221"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> ssrn.com </button> </a>

Energy price transmissions during extreme movements

Marc Joëts
<span title="">2014</span> <i title="Elsevier BV"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/tvqgm4nlrfe37lc7gmcwln4lri" style="color: black;">Economic Modelling</a> </i> &nbsp;
More precisely, energy prices comovements appear to be stronger at short horizons than at long horizons, testifying an eventual Samuelson mechanism in the maturity prices curve.  ...  Considering forward energy prices at 1, 10, 20, and 30 months, it turns out that no signi...cant causality exists between markets at regular times whereas comovements are at play during extreme periods  ...  In order to apprehend extreme movements, the Value-at-Risk (VaR) approach is an important tool and is widely used in …nancial markets. 2 VaR is often used to measure market risk with a single numeric value  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1016/j.econmod.2013.11.023">doi:10.1016/j.econmod.2013.11.023</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/c2hsow3aizfqlp4ucjbncyj4my">fatcat:c2hsow3aizfqlp4ucjbncyj4my</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20170810091725/http://usaee.org/usaee2012/best/joets.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/ca/10/ca1007ef084b9d8a9a1b73a926dffd3e5b35a855.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1016/j.econmod.2013.11.023"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> elsevier.com </button> </a>

The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling

Ryan Kellogg
<span title="">2014</span> <i title="American Economic Association"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/bojtqg4oivfl3l45ru7qo5exze" style="color: black;">The American Economic Review</a> </i> &nbsp;
This paper estimates the response of investment to changes in uncertainty using data on oil drilling in Texas and the expected volatility of the future price of oil.  ...  Using a dynamic model of firms' investment problem, I find that: (i) the response of drilling activity to changes in price volatility has a magnitude consistent with the optimal response prescribed by  ...  This use of the NYMEX indicates that risk aversion over future oil prices is unlikely to influence drilling decisions, since any firm that is risk averse can hedge the price risk away.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1257/aer.104.6.1698">doi:10.1257/aer.104.6.1698</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/se6rxgi5h5cvbirah4ho5m63d4">fatcat:se6rxgi5h5cvbirah4ho5m63d4</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20160904151940/http://dosen.narotama.ac.id/wp-content/uploads/2014/12/The-Effect-of-Uncertainty-on-Investment-Evidence-from-Texas-Oil-Drilling.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/e6/60/e66093bff224f6a5220a128bafefdda71e354fa1.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1257/aer.104.6.1698"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> Publisher / doi.org </button> </a>

Formation of Market Beliefs in the Oil Market

Stanislav A. Anatolyev, Sergei Seleznev, Veronika Selezneva
<span title="">2018</span> <i title="Elsevier BV"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/tol7woxlqjeg5bmzadeg6qrg3e" style="color: black;">Social Science Research Network</a> </i> &nbsp;
We demonstrate how our results can be used to test theories of oil price determination and contribute to the debate on the recent oil glut.  ...  We estimate an AR-ARCH-MEM model of the joint dynamics of returns, return volatilities and trading volumes around the announcements using high frequency data on oil futures contracts.  ...  The model is estimated using ultra high frequency (5-second time intervals) data on short and long maturity oil futures contracts on the WTI oil traded at the NYMEX.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.2139/ssrn.3205044">doi:10.2139/ssrn.3205044</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/ftbhfpeaovhctgrkvv2a5olzyi">fatcat:ftbhfpeaovhctgrkvv2a5olzyi</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20190430123408/https://www.cerge-ei.cz/pdf/wp/Wp619.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/64/c3/64c35910176bfa41644077037ddbbac9b3f93941.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.2139/ssrn.3205044"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> ssrn.com </button> </a>

Valuing Oil Properties: Integrating Option Pricing and Decision Analysis Approaches

James E. Smith, Kevin F. McCardle
<span title="">1998</span> <i title="Institute for Operations Research and the Management Sciences (INFORMS)"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/atonzevfefa2vdbi3do6ad2jda" style="color: black;">Operations Research</a> </i> &nbsp;
The decision maker is assumed to be risk averse and can hedge price risks by trading oil futures contracts.  ...  We develop and analyze a model of an oil property-either a developed property or a proven but undeveloped reserve-where production rates and oil prices both vary stochastically over time and, at any time  ...  We would discount the future values of the reservoir back to present values using the risk-free discount rate, and when "rolling back" the tree, at the oil price node, compute expected values using the  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1287/opre.46.2.198">doi:10.1287/opre.46.2.198</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/tuskgmjw25hejo5jqb6japmn54">fatcat:tuskgmjw25hejo5jqb6japmn54</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20050316111019/http://faculty.fuqua.duke.edu:80/%7Ejes9/bio/Valuing_Oil_Properties.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/d3/2e/d32ea5eb42f97f289f0acf4fca572db9da817d22.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1287/opre.46.2.198"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> Publisher / doi.org </button> </a>
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