A Switching Threshold Model for Oil Prices

an application of equilibrium model for crude oil tanker ships insurance futures in iran

با توجه به تحریم های بین المملی علیه صنعت بیمه ایران امکان استفاده از بازارهای بین المملی بیمه ای برای نفتکش های ایرانی وجود ندارد. از طرفی از آنجایی که یکی از نوآوری های اخیر استفاده از بازارهای مالی به منظور ریسک های فاجعه آمیز می باشد. از اینرو در این پایان نامه سعی شده است با استفاده از این نوآوری ها با طراحی اوراق اختیارات راهی نو جهت بیمه گردن نفت کش های ایرانی ارائه نمود. از آنجایی که بر...

A Production-based Model for Predicting Heating Oil Prices

We attempt to determine the impact of production decisions on the price of heating oil. A model for the production of distillate fuel oil is proposed. Its solution, obtained using stochastic dynamic programming, closely matches history. By perturbing the problem in a deliberate manner, we can determine the value of additional units of inventory by examining diierences in costs. Using these diie...

Regime switching model of US crude oil and stock market prices: 1859 to 2013 ¬リニ

a r t i c l e i n f o This paper examines the relationship between US crude oil and stock market prices, using a Markov-Switching vector error-correction model and a monthly data set from 1859 to 2013. The sample covers the entire modern era of the petroleum industry, which typically begins with the first drilled oil well in Titusville, Pennsylvania in 1858. We estimate a two-regime model that ...

Forecasting Crude Oil prices Volatility and Value at Risk: Single and Switching Regime GARCH Models

Forecasting crude oil price volatility is an important issues in risk management. The historical course of oil price volatility indicates the existence of a cluster pattern. Therefore, GARCH models are used to model and more accurately predict oil price fluctuations. The purpose of this study is to identify the best GARCH model with the best performance in different time horizons. To achieve th...

Power Prices – A Regime - Switching Spot / Forward Price Model