a r t i c l e i n f o JEL classification: C52 C53 Q47 Keywords: Oil prices Futures markets Stochastic processes Kalman filter Forecasting Stochastic process models of commodity prices are important inputs in energy investment evaluation and planning problems. In this paper, we focus on modeling and forecasting the long-term price level, since it is the dominant factor in many such applications....

We quantify the effect of a significant technological innovation, shale oil development, on asset prices. Using stock price changes on major news announcement days allows us to link aggregate stock price changes to shale development activity as well as other oil supply shocks. We exploit cross-sectional variation in industry portfolio returns on announcement days to construct a shale mimicking ...

One of the most important duties of financial economy is modeling and forecasting the volatilities of price of risky assets. From analysts and policy makers’ view, price volatility is a key variable contributing to perception of market volatilities. Therefore, analysts need to have an appropriate of forecast of price volatility as a necessary input to perform duties such as risk management, por...

This paper proposes a new method for crude oil price forecasting based on support vector machine (SVM). The procedure of developing a support vector machine model for time series forecasting involves data sampling, sample preprocessing, training & learning and out-of-sample forecasting. To evaluate the forecasting ability of SVM, we compare its performance with those of ARIMA and BPNN. The expe...

This study further develops a party to party gas price bargaining model (expanded in a research paper by Okugu, 2002) by using proxies of prices of these replacement fuels in OPEC spot oil prices and Henry Hub (HH) spot gas prices. The study finds a significant relationship between the variables. When optimally lagged data are analysed in a vector autoregressive model, a significant longer-term...

Output responses to oil-price shocks not only tend to be weaker, but also to peak earlier recently. This paper builds a model that incorporates a realistic structure of US petroleum consumption and explores three possible explanations for the changes. The first is based on deregulation in the transportation sector, which has brought more competition and improved efficiency in the industry. The ...

We investigate how the dynamic e¤ects of oil supply shocks on the US economy have changed over time. We …rst document a remarkable structural change in the oil market itself, i.e. a considerably steeper, hence, less elastic oil demand curve since the mid-eighties. Accordingly, a typical oil supply shock is currently characterized by a much smaller impact on world oil production and a greater e¤...

eiarnination the oil market and review the major oil importer countries, is a major need for guidance and marketing strategy for crude oil exporting countries. so that estimating the oil demand for importer countries and analysis the effective factors on their oil demand, can be an important factor in planning and policy making for oil exporting countries in order to sell oil. so iran is not an...

The effect of oil price shocks on U.S. economic activity seems to have changed since the mid-1990s. A variety of explanations have been offered for the seeming change — including better luck, the reduced energy intensity of the U.S. economy, a more flexible economy, more experience with oil price shocks and better monetary policy. These explanations point to a weakening of the relationship betw...

Social-economic variables influence transportation demand largely. Analyses of discrete choice model consider social-economic variables to study traveler’s mode choice and demand. However, to calibrate the discrete choice model needs to have plenty of questionnaire survey. Also, an aggregative model is proposed. The historical data of passenger volumes for high speed rail and domestic civil avi...