Risk Modelling of Energy Futures: A Comparison of RiskMetrics, Historical Simulation, Filtered Historical Simulation, and Quantile Regression

2015 ◽  
pp. 283-291
Author(s):  
Kai Erik Dahlen ◽  
Ronald Huisman ◽  
Sjur Westgaard
Keyword(s):  
Quantile Regression ◽  
Risk Modelling ◽  
Energy Futures ◽  
Historical Simulation

scholarly journals OPEC news and predictability of energy futures returns and volatility: evidence from a conditional quantile regression

2020 ◽  
Vol 25 (50) ◽  
pp. 239-259
Author(s):  
Abdelkader Derbali ◽  
Shan Wu ◽  
Lamia Jamel
Keyword(s):  
Quantile Regression ◽  
Futures Market ◽  
Market Returns ◽  
Predictive Capacity ◽  
Causality Test ◽  
Content Type ◽  
Conditional Quantile ◽  
Energy Futures ◽  
The Impact ◽  
Quantile Causality

Purpose This paper aims to provide an important perspective to the predictive capacity of Organization of the Petroleum Exporting Countries (OPEC) meeting dates and production announcements for energy futures (crude oil West Texas Intermediate (WTI), gasoline reformulated gasoline blendstock for oxygen blending (RBOB), Brent oil, London gas oil, natural gas and heating oil) market returns and volatilities. Design/methodology/approach To examine the impact of OPEC news on energy futures market returns and volatilities, the authors use a conditional quantile regression methodology during the period from April 01, 2013 to June 30, 2017. Findings From the empirical findings, the authors show a conditional dependence between energy futures returns and OPEC-based predictors; hence, the authors can find clear the significance of relationship in the process of financialization of the OPEC announcements and energy futures in the case of this paper. From the quantile-causality test, the authors find that the effect of OPEC news is important to energy futures. Specifically, OPEC announcements dates predict the quantiles of the conditional distribution of energy futures market returns. Originality/value The authors confirm the presence of unidirectional nexus between OPEC news and energy commodities futures in the long term.

DAMPAK KEBIJAKAN FISKAL TERHADAP KINERJA SEKTOR PERTANIAN DI SULAWESI TENGGARA

2017 ◽  
Vol 1 (1) ◽  
Author(s):  
La Ode Jabuddin ◽  
Ayub M Padangaran ◽  
Azhar Bafadal Bafadal
Keyword(s):  
Fiscal Policy ◽  
Interest Rates ◽  
Agricultural Sector ◽  
Simultaneous Equations ◽  
Poor People ◽  
Land Area ◽  
Factors Affecting ◽  
Historical Simulation ◽  
The Impact ◽  
Direct Expenditure

This study aims to: (1) Knowing the dynamics of fiscal policy and the performance of the agricultural sector, (2) Analyze the factors that influence fiscal policy and the performance                   of the agricultural sector, and (3) Analyzing the impact of fiscal policy on the performance of the agricultural sector. The data used in this study were pooled 2005-2013 data in the aggregate. Econometric model the impact of fiscal policy on the performance of the agricultural sector is built in the form of simultaneous equations, consisting of 7 equations with 25 total variables in the model, 7 endogenous variables, 12 exogenous variables, and 6 variables lag. The model is estimated by 2SLS method SYSLIN procedures and historical simulation with SIMNLIN procedure.The results showed that: (1) The development of fiscal policy in Southeast Sulawesi from year to year tends to increase, (2) The performance of the agricultural sector from the aspect of GDP has decreased, from the aspect of labor is still consistent, in terms of investment to grow positively, and assign roles which means to decrease the number of poor people, (3) factors affecting fiscal policy is local revenues, equalization funds, other revenues, as well as the lag fiscal policy, (4) the factors that affect the performance of the agricultural sector from the aspect GDP is labor, direct expenditure and GDP lag; from the aspect of labor is the total labor force, investment, land area, direct expenditure, as well as the lag of labor; from the aspect of investment is influenced by GDP per capita, land area, interest rates and investment lag; as well as from the aspect of poor people, are affected by population, investments, direct expenditure and poverty lag, (5). Fiscal policy impact on the agricultural sector GDP increase, a decrease in the number of poor, declining agricultural laborers, and a decrease in the amount of investment in the agricultural sector.Keywords: Fiscal policy, the performance of the agricultural sector, the simultaneous equations

Real estate market risk modelling

2015 ◽  
Author(s):  
Simon Stevenson ◽  
Mutale Katyoka
Keyword(s):  
Real Estate ◽  
Market Risk ◽  
Real Estate Market ◽  
Risk Modelling
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