The main consequence of the launch, in 2005, of the European Union Emission Trading Scheme (EU ETS) has been the establishment of a price for carbon emissions. Thus, major energy producers in Europe are now aware of the impact of their polluting activities. The interest in analysing the carbon markets from a financial point of view has exponentially increased since the launch of the EU ETS. How...

It is generally known that violent oil price volatility will cause market panic; however, the extent to which worthy of empirical test. Firstly, this paper employs TVP-VAR model analyze time-varying impacts on panic index using monthly data from January 1990 November 2021. Then, after SVAR decompose volatility, uses PDL heterogeneous different sources. Finally, based results decomposition, TARC...

Oil producers are going through a hard period. They have a number of real options at their disposal. This paper addresses the valuation of two of them: the option to delay investment and the option to abandon a producing field. A prerequisite for this is to determine the value of a producing well. For this purpose we draw on a stochastic model of oil price with three risk factors: spot price, l...

This paper aims to determine the impact of dividend policy on stock price volatility by taking firms listed on Tehran stock exchange.  A sample of 68 listed companies from Tehran stock exchange is examined for a period from 2001 to 2012.  The estimation is based on cross-sectional ordinary least square regression analysis to find the relationship between share price volatility and dividend poli...

This paper investigates directional relationships, regime variances, transition probabilities and expected regime durations for a system of economic and financial risk variables in the U.S. markets. The system is based on monthly data, and encompasses credit, and market risks and economic activity variables. The methodology is based on the Markov-Switching cointegrated VAR model and their impul...

volatility transmission means the connection between different markets in a way that volatility can be transmitted from one market to another. the volatility of oil price in global markets is one of the factors which influence the capital markets of the countries of which their economy is based on oil revenues. most of these markets have long-run memory characteristic which should be considered...

this paper examines regime shifts in tedpix return and volatility and the effects of positive and negative crude oil shocks and gold price fluctuations on stock market shifts behavior using markov switching egarch model with student’s t-distribution. we detect two episodes of series behavior, one relative to low mean/high variance regime namely bear state and the other to high mean/low variance...

The behavior of crude oil price volatility is analyzed within a conceptual framework of kinetic roughening of growing interfaces. We find that the persistent long-horizon volatilities satisfy the Family-Viscek dynamic scaling ansatz, whereas the mean-reverting in time short horizon volatilities obey the generalized scaling law with continuously varying scaling exponents. Furthermore we find tha...