Contrary to the current practice that mainly considers stand-alone statistical loss functions, aim of paper is assess oil price volatility forecasts based on objective-based evaluation criteria, given different forecasting models may exhibit superior performance at applications. Thus, we forecast implied and several intraday volatilities evaluate them financial decisions for which these are use...

This research aims to show that statements made by politicians and public servants are a real tool for influencing the oil price. In research, authors used technique time series study combines consistent application of fractal analysis, regression analysis. According World Bank, initial information base was created daily Brent crude prices period from 29.04.2016 15.04.2020. A database via elect...

The goals of the paper are as follows: i) review some qualitative properties of oil and gas prices in the last 15 years; ii) propose some mathematical elements towards a definition of mean reversion that would not be reduced to the form of the drift in a stochastic differential equation; iii) conduct econometric tests in order to conclude whether mean reversion still exists in the energy commod...

This paper uses monthly price indices of 448 items of manufacturing sector in 2004:4 to 2016:01, to study the effect of exchange rate and its volatilities on price setting behavior of manufacturing sectors. Given that, many manufacturing sectors in Iran need to import raw materials, intermediate and capital goods in their production process, it is expected that exchange rate variations affect p...

During the past three decades the global oil market has seen significant price volatility. Literature to date has not analysed the cross-country effect of the recent episode of price instability. Previous studies have either not considered this period or have not utilised panel data techniques and therefore have not provided a comparative analysis of developed and developing countries. This pap...