forecasting crude oil price volatility and value at risk evidence from historical and recent data abstract this paper adopts the markov switching multifractal msm model and a battery of generalized autoregressive conditional heteroscedasticity garch type models to model and forecast oil price volatility extending previous work by wei et al 2010 and wang et al 2016 we evaluate the forecasting performance of all these models via a superior predictive ability spa test we go beyond previous research by i considering oil price volatility in the nineteenth century along with recent data ii applying different types of msm models and iii considering value at risk predictions besides our forecasting of volatility confirming its successful performance in other studies the new msm model comes out as the model that most often across forecasting horizons and subsamples cannot be outperformed by other models this superiority also applies to forecasting of value at risk

the incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market abstract this paper aims to investigate whether investor fear gauge ifg contains incremental information content for forecasting the volatility of crude oil futures for this purpose we use oil volatility index ovx to measure the ifg adding the ifg to existing heterogeneous autoregressive har models we develop many har models with ifg subsequently we employ these har models to predict the volatility of crude oil futures the results from the parameter estimation and out of sample forecasting show that the in sample and out of sample performances of har models with ifg are significantly better than their corresponding har models without ifg the results are robust in different ways thus the har models with ifg are more beneficial to the decision making of all participants including financial traders manufacturers and policymakers in the crude oil futures market more importantly the results suggest that the investor fear gauge has a significant positive effect on volatility forecasting and can help improve the performances of almost all the existing har models

efficiency and information aggregation in auctions the tension between allocative efficiency and information aggregation is explored in the context of an auction k identical objects of unknown quality are auctioned off to n bidders whose tastes affect their valuation of an object of given quality bidders receive a signal about the quality of the objects the k highest bidders get an object and pay a price equal to the k first highest bid we find conditions under which in the limit objects are allocated efficiently to those with the highest tastes and price converges in probability to the value of an object to the marginal taste type

stock option repricing and its alternatives an empirical examination in this paper i examine the likelihood of ceo stock option repricing and its alternatives namely option grant stock grant and do nothing multinomial logit results suggest that firms reprice options to increase sensitivity of pay to stock price and to temper down sensitivity of pay to volatility moreover repricing firms are younger and more concentrated in industries where human capital is important finally i find no evidence that internal governance or executive conflicts of interest are relevant in explaining repricing my results indicate that repricing is motivated by incentive alignment and retention and not by agency cost considerations

information spillovers gains from trade and interventions in frozen markets we study government interventions in markets suffering from adverse selection importantly asymmetric information prevents both the realization of gains from trade and the production of information that is valuable to other market participants we find a fundamental tension in maximizing welfare while some intervention is required to restore trading too much intervention depletes trade of its informational content we characterize the optimal policy that balances these two considerations and explore how it depends on features of the environment our model can be used to study a program introduced in 2009 to restore information production in the market for legacy assets

convergence to efficiency in a simple market with incomplete information a model of trade with m buyers and m sellers is considered in which price is set to equate revealed demand and supply in a bayesian nash equilibrium each trader acts not as a price taker but instead misrepresents his true demand supply to influence price in his favor this causes inefficiency we show that in any equilibrium the amount by which a trader misreports is o 1 m and the corresponding inefficiency is o 1 m2 the indeterminacy and the inefficiency that is caused by the traders bargaining behavior in small markets thus rapidly vanishes as the market increases in size

international evidence on crude oil price dynamics applications of arima garch models abstract we examine the usefulness of several arima garch models for modeling and forecasting the conditional mean and volatility of weekly crude oil spot prices in eleven international markets over the 1 2 1997 10 3 2009 period in particular we investigate the out of sample forecasting performance of four volatility models garch egarch and aparch and figarch over january 2009 to october 2009 forecasting results are somewhat mixed but in most cases the aparch model outperforms the others also conditional standard deviation captures the volatility in oil returns better than the traditional conditional variance finally shocks to conditional volatility dissipate at an exponential rate which is consistent with the covariance stationary garch models than the slow hyperbolic rate implied by the figarch alternative

aggregation of information in large cournot markets consider a homogeneous product market where firms have private information about an uncertain demand parameter and compete in quantities we examine the convergence properties of bayesian cournot equilibria as the economy is replicated and conclude that large cournot or almost competitive markets do not aggregate information efficiently except possibly when the production technology exhibits constant returns to scale even in a competitive market there is a welfare loss with respect to the first best outcome due to incomplete information in general nevertheless a competitive market is efficient taking as given the decentralized private information structure of the economy endogenous and costly information acquisition is examined and seen to imply that the market outcome always falls short of the first best level with decreasing returns to scale the results are also shown to be robust to the addition of extra rounds of competition which allows firms to use the information revealed by past prices explicit closed form solutions yielding comparative static results are obtained for models characterized by quadratic payoffs and affine information structures

outliers and garch models in financial data abstract we propose to extend the additive outlier ao identification procedure developed by franses and ghijsels franses p h ghijsels h 1999 additive outliers garch and forecasting volatility international journal of forecasting 15 1 9 to take into account the innovative outliers ios in a garch model we apply it to three daily stock market indexes and examine the effects of outliers on the diagnostics of normality

the repricing of executive stock options abstract we examine a sample of firms that reset the exercise prices on their executive options these repricings follow a period of about one year of poor firm specific performance in which the average firm loses one fourth of its value no other offsetting changes to option terms or compensation are made and many firms reprice more than once without repricing a majority of the options would have been at the money within two years we find that when faced with circumstances in which repricing might be chosen firms with greater agency problems smaller size and insider dominated boards are more likely to reprice

on the possibility of informationally efficient markets this paper presents conditions for a resolution of the grossman stiglitz paradox of informationally efficient markets we display a market with asymmetric information where a privately revealing equilibrium obtains in a competitive framework and where incentives to acquire information are preserved as long as the correlation in traders valuations is not too large the equilibrium is efficient and the problems associated with fully revealing rational expectations equilibria are precluded without resorting necessarily to noise traders the robustness of the results to general information structures is established and the effect of market power is examined in a large market approximation to the competitive economy the model is applied to explain changes in bidding behavior in central bank liquidity auctions in the crisis period jel d82 d84 g14 e59

price inference in small markets this paper investigates the effects of market size on the ability of price to aggregate traders private information to account for heterogeneity in correlation of trader values a gaussian model of double auction is introduced that departs from the standard information structure based on a common fundamental shock the paper shows that markets are informationally efficient only if correlations of values coincide across all bidder pairs as a result with heterogeneously interdependent values price informativeness may not increase monotonically with market size as a necessary and sufficient condition for the monotonicity price informativeness increases with the number of traders if the implied reduction in the absolute value of an average correlation statistic of an information structure is sufficiently small

underwater options and the dynamics of executive pay to performance sensitivities we empirically analyze the dynamics of executives pay to performance sensitivities option pay to performance sensitivities become weaker as options fall underwater often leading to pressures to reprice options or restore pay to performance sensitivity in other ways building a detailed data set on executives portfolios of stock and options we find that the responsiveness of pay to performance sensitivities created by all executive holdings of stock and options to changes in stock price is large the elasticity of pay to performance sensitivities with respect to stock price decreases is about 0 7 and is larger for high option executives and for executives with high percentages of options already underwater the dominant mechanism through which companies offset declines in option pay to performance sensitivities is larger option grants following stock price declines on average these larger grants restore approximately 40 of the stock price induced pay to performance sensitivity declines option repricings are inconsequential in this regard despite the attention they have attracted in looking at positive returns we find the reverse higher returns both directly increase pay to performance sensitivities and lead to larger option grants which raise pay to performance sensitivities further thus option grants to executives tend to be largest following large stock price increases or large stock price decreases

forecasting volatility in the petroleum futures markets a re examination and extension abstract this paper examines the volatility models and their forecasting abilities for four types of petroleum futures contracts traded on the new york mercantile exchange the aim of this paper is twofold firstly it replicates and carries out the robustness checks using the rigorous model confidence set test on the out of sample volatility forecast analysis undertaken by sadorsky energy economics 2006 28 467 488 through the same statistical models but with the extended data on daily prices of petroleum futures our test results largely confirm the findings obtained in the replicated paper secondly our paper also explores the relevance of some statistical complexities e g model optimality regime switches and alternative distribution functions in volatility forecasting through a large number of moving windows our results in general show that accounting for the model optimality structural breaks and using the asymmetric heavy tailed distribution functions in the estimations lead to significant forecasting accuracy gains

modelling oil price volatility with structural breaks in this paper we provide two main innovations i we analyze oil prices of two prominent markets namely west texas intermediate wti and brent using the two recently developed tests by narayan and popp 2010 and liu and narayan 2010 both of which allow for two structural breaks in the data series and ii the latter method is modified to include both symmetric and asymmetric volatility models we identify two structural breaks that occur in 1990 and 2008 which coincidentally correspond to the iraqi kuwait conflict and the global financial crisis respectively we find evidence of persistence and leverage effects in the oil price volatility while further extensions can be pursued the consideration of asymmetric effects as well as structural breaks should not be jettisoned when modelling oil price volatility

forecasting volatility of crude oil markets abstract this article investigates the efficacy of a volatility model for three crude oil markets brent dubai and west texas intermediate wti with regard to its ability to forecast and identify volatility stylized facts in particular volatility persistence or long memory in this context we assess persistence in the volatility of the three crude oil prices using conditional volatility models the cgarch and figarch models are better equipped to capture persistence than are the garch and igarch models the cgarch and figarch models also provide superior performance in out of sample volatility forecasts we conclude that the cgarch and figarch models are useful for modeling and forecasting persistence in the volatility of crude oil prices

forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models this paper extends previous studies by investigating the relevance of structural breaks and long memory in modeling and forecasting the conditional volatility of oil spot and futures prices using a variety of garch type models our results can be summarized as follows first we provide evidence of parameter instability in five out of nine garch based conditional volatility processes for energy prices second long memory is effectively present in all the series considered and a figarch model seems to better fit the data but the degree of volatility persistence diminishes significantly after adjusting for structural breaks finally the out of sample analysis shows that volatility models accommodating instability and long memory characteristics of the data provide the best volatility forecasts for most cases

a nonparametric garch model of crude oil price return volatility the use of parametric garch models to characterise crude oil price volatility is widely observed in the empirical literature in this paper we consider an alternative approach involving nonparametric method to model and forecast oil price return volatility focusing on two crude oil markets brent and west texas intermediate wti we show that the out of sample volatility forecast of the nonparametric garch model yields superior performance relative to an extensive class of parametric garch models these results are supported by the use of robust loss functions and the hansen s 2005 superior predictive ability test the improvement in forecasting accuracy of oil price return volatility based on the nonparametric garch model suggests that this method offers an attractive and viable alternative to the commonly used parametric garch models

does china factor matter an econometric analysis of international crude oil prices abstract whether china s crude oil imports are the culprit of oil price volatility these years has not been quantitatively confirmed therefore this paper empirically investigates the role of china s crude oil net imports in brent price changes from october 2005 to november 2013 based on an econometric analysis the results indicate that during the sample period china s crude oil imports do not significantly affect brent price changes no matter in the long run or short run therefore the blame for china s crude oil imports to cause the dramatic fluctuations of international oil price has no solid evidence also there exists significant uni directional causality running from the brent price to china s crude oil imports at the 5 level besides the response of the brent price to china s crude oil imports is found positive but slight and the brent price responds more significantly to us dollar exchange rate and oecd commercial inventory than to china s crude oil imports in the short run finally the contribution of china s crude oil imports to brent price movement is about 10 which is less than that of us dollar exchange rate but larger than that of indian crude oil imports or oecd commercial inventory

good bad cojumps and volatility forecasting new evidence from crude oil and the u s stock markets abstract in this article we investigate the impacts of jumps cojumps and their signed components on forecasting oil futures price volatility in the framework of the heterogeneous autoregressive realized volatility model our empirical results reveal several noteworthy findings first the effects of signed jumps and cojumps based on the daily and intraday jump tests on future volatility are asymmetric and the negative components are much more powerful in forecasting volatility moreover our proposed models including the signed jump and cojump components are able to generate higher forecasting accuracy and we find that disentangling the effects of positive and negative jumps and cojumps can significantly improve forecasts of future volatility lastly our findings are reliable for various robustness checks and our study provides some new insights into forecasting oil price realized volatility which are useful for researchers market participants and policymakers

altering the terms of executive stock options abstract we examine the practice of resetting the terms of previously issued executive stock options we identify properties of reset options develop a model for valuing resettable options and characterize the firms that have reset options we find the vast majority of options are reset at the money resulting on average in the strike price dropping 40 our valuation model suggests that resetting has only a small impact on the ex ante value of an option award but the ex post gain can be substantial finally we find resetting has a strong negative relation with firm performance even after correcting for industry performance

the timing of option repricing we investigate whether executive stock option repricings are systematically timed to coincide with favorable movements in the company s stock price for a sample of 236 repricing events we observe sharp increases in stock price in the 20 day period following the repricing date in addition repricing dates tend to either precede the release of good news or follow the release of bad news in the quarterly earnings announcements since information about stock option repricing is not generally released to the public around the repricing date these findings suggest that ceos opportunistically manage the timing of the option repricing date

information acquisition price informativeness and welfare abstract we consider the market for a risky asset with heterogeneous valuations private information that agents have about their own valuation is reflected in the equilibrium price we study the learning externalities that arise in this setting and in particular their implications for price informativeness and welfare when private signals are noisy so that agents rely more on the information conveyed by prices discouraging information gathering may be pareto improving complementarities in information acquisition can lead to multiple equilibria

social interaction and stock market participation we propose that stock market participation is influenced by social interaction in our model any given social investor finds the market more attractive when more of his peers participate we test this theory using data from the health and retirement study and find that social households those who interact with their neighbors or attend church are substantially more likely to invest in the market than non social households controlling for wealth race education and risk tolerance moreover consistent with a peer effects story the impact of sociability is stronger in states where stock market participation rates are higher

toward a strategic foundation for rational expectations equilibrium a step toward a strategic foundation for rational expectations equilibrium is taken by considering a double auction with n buyers and m sellers with interdependent values and affiliated private information if there are sufficiently many buyers and sellers and their bids are restricted to a sufficiently fine discrete set of prices then generically there is an equilibrium in nondecreasing bidding functions that is arbitrarily close to the unique fully revealing rational expectations equilibrium of the limit market with unrestricted bids and a continuum of agents in particular the large double auction equilibrium is almost efficient and almost fully aggregates the agents information

modeling and forecasting crude oil markets using arch type models this study investigates the time varying volatility of two major crude oil markets the west texas intermediate wti and europe brent a flexible autoregressive conditional heteroskedasticity arch model is used to take into account the stylized volatility facts such as clustering volatility asymmetric news impact and long memory volatility among others the empirical results indicate that the intensity of long persistence volatility in the wti is greater than in the brent it is also found that for the wti the appreciation and depreciation shocks of the wti have similar impact on the resulting volatility however a leverage effect is found in brent although both the estimation and diagnostic evaluations are in favor of an asymmetric long memory arch model only the wti models provide superior in the out of sample forecasts on the other hand from the empirical out of sample forecasts it appears that the simplest parsimonious generalized arch provides the best forecasted evaluations for the brent crude oil data

jump dynamics with structural breaks for crude oil prices this study investigates the joint phenomena of permanent and transitory components in conditional variance and jump intensity along with verification of structural breaks for crude oil prices we adopt a component arji model with structural break analysis utilizing daily data on west texas intermediate crude oil spot and futures contracts the analytical results verify the existence of permanent and transitory components in conditional variance with the permanent component of conditional variance increasing with the occurrence of a sudden major event such as the iraqi invasion of kuwait operation desert storm and the war between the us and iraq and a relatively greater increase in the transitory component over the same period notably jump intensity fluctuates with an increase in the transitory component of conditional variance in response to abnormal events it is the transitory component which serves as the primary influential factor for jumps in returns therefore speculators are willing to take large risks particularly with respect to anticipating future price movements or gambling in the hopes of rapidly making substantial gains thus speculators prefer the temporary volatility component and engage in trade activities however investors prefer the permanent volatility component because they may well be better off relocating their assets into more stable portfolios to outperform the market portfolio over the long run

the rewards to meeting or beating earnings expectations abstract this paper finds that firms that meet or beat current analysts earnings expectations mbe enjoy a higher return over the quarter than firms with similar quarterly earnings forecast errors that fail to meet these expectations further such a premium to mbe although somewhat smaller exists in the cases where mbe is likely to have been achieved through earnings or expectations management the findings also indicate that the premium to mbe is a leading indicator of future performance this premium and its predictive ability are only marginally affected by whether the mbe is genuine or the result of earnings or expectations management

rational expectations information acquisition and competitive bidding most rational expectations market equilibrium models are not models of price formation and naive mechanisms leading to such equilibria can be severely manipulable in this paper a bidding model is developed which has the market like features that bidders act as price takers and that prices convey information higher equilibrium prices convey more favorable information about the quality of the objects being sold than do lower prices bidders can benefit from trading only if they have a transactions motive or if they have access to inside information apart from exceptional cases prices are not fully revealing a two stage model is developed in which bidders may acquire information at a cost before bidding and for which the equilibrium price is fully revealing resolving a well known paradox

opec announcements and their effects on crude oil prices we investigate evidence on the effects of opec announcements on world oil prices by examining announcements from both official conferences and ministerial meetings on major international crudes including the key benchmarks and several other heavy and light grades with data from 1982 to 2008 we use event study methodology and find differentiation in the magnitude and significance of market responses to opec quota decisions under different price bands we also find some weak evidence of differentiation between light and heavy crude grades

the consequences of the fasb s 1998 proposal on accounting for stock option repricing abstract we examine repricing activity surrounding the fasb s 1998 announcement regarding accounting for repriced options we find that repricing increases during and decreases after the 12 day window between the announcement and proposed effective dates consistent with firms timing repricings to avoid recording an expense we find that firms experiencing increasing earnings patterns firms with earnings around zero and growth firms are more likely to reprice in the window but having repriced recently decreases the likelihood of doing so the evidence suggests that firms trade off financial reporting benefits against reputation costs in decisions to time repricings to get favorable accounting treatment

forecasting volatility in the biofuel feedstock markets in the presence of structural breaks a comparison of alternative distribution functions abstract the need for research on commodity volatility has grown considerably due to the important role and financialization of commodities in global asset markets this paper examines the volatility forecasting performance of a wide variety of garch based models in the context of biofuel feedstock markets in the presence of structural breaks our sample is also extended to several non renewable energy commodities to evaluate comparatively the volatility forecasting performance across various commodity markets the model specifications allow for different conditional distribution functions in the rolling window estimations a break detection algorithm finds significant evidence of structural breaks in the unconditional variance of all commodity returns under study the out of sample analysis which is based on an up to date model comparison testing procedure reveals that volatility models accommodating structural breaks in the data provide the best volatility forecasts for most cases regarding the relevance of distribution functions the skewed normal distribution dominates in the model confidence sets nevertheless the complex distribution functions do not always outperform simpler ones although true return distribution is asymmetric and heavy tailed

futures based forecasts how useful are they for oil price volatility forecasting oil price volatility forecasts have recently attracted the attention of many studies in the energy finance field the literature mainly concentrates its attention on the use of daily data using garch type models it is only recently that efforts to use more informative intraday data to forecast oil price realized volatility have been made despite all these previous efforts no study has examined the usefulness of futures based models for oil price realized volatility forecasting although the use of such models is extensive for oil price predictions this study fills this void and shows that futures based forecasts based on intra day data provide informative forecasts for horizons that span between 1 day and 66 days ahead more importantly these results hold true even during turbulent times for the oil market such as the global financial crisis of 2007 09 and the oil collapse period of 2014 15

forecasting crude oil market volatility further evidence using garch class models abstract this paper extends the work of kang et al 2009 we use a greater number of linear and nonlinear generalized autoregressive conditional heteroskedasticity garch class models to capture the volatility features of two crude oil markets brent and west texas intermediate wti the one five and twenty day out of sample volatility forecasts of the garch class models are evaluated using the superior predictive ability test and with more loss functions unlike kang et al 2009 we find that no model can outperform all of the other models for either the brent or the wti market across different loss functions however in general the nonlinear garch class models which are capable of capturing long memory and or asymmetric volatility exhibit greater forecasting accuracy than the linear ones especially in volatility forecasting over longer time horizons such as five or twenty days

earnings management to avoid earnings decreases and losses this paper provides evidence that firms manage reported earnings to avoid earnings decreases and losses specifically in cross sectional distributions of earnings changes and earnings we lind unusually low frequencies of small decreases in earnings and small losscs and unusually high frequencies of small increases in earnings and small positive income we find evidence that two components of earnings cash flow from operations and changes in working capital are used to achieve increases in earnings we present two theories based on stakeholder use of information processing heuristics and prospect theory about the motivation for avoidance of earnings decreases and losses

earnings management through transaction structuring contingent convertible debt and diluted earnings per share in this article we examine whether firms structure their convertible bond transactions to manage diluted earnings per share eps we find that the likelihood of firms issuing contingent convertible bonds cocos which are often excluded from diluted eps calculations under statement of financial accounting standard sfas 128 is significantly associated with the reduction that would occur in diluted eps if the bonds were traditionally structured we also document that firms use of eps based compensation contracts significantly affects the likelihood of coco issuance and find weak evidence that reputation costs measured using earnings restatement data play a role in the structuring decision these results are robust to controlling for alternative motivations for issuing cocos including tax and dilution arguments in addition an examination of announcement returns reveals that investors view the net benefits and costs of cocos as offsetting one another our results contribute to the literature on earnings management diluted eps financial reporting costs and financial innovation

forecasting crude oil market volatility further evidence with jumps this paper analyzes volatility models and their forecasting abilities in the presence of jumps in two crude oil markets brent and west texas intermediate wti between january 6th 1992 and december 31st 2014 we compare a number of garch type models that capture short memory as well as asymmetry garch gjr garch and egarch estimated on raw returns to three competing approaches that deal with the presence of jumps garch type models estimated on jump filtered returns and two new classes of volatility models called generalized autoregressive score gas and markov switching multifractal msm models estimated using raw returns the forecasting performance of these volatility models is evaluated using the model confidence set approach which allows us to identify a subset of models that outperform all the other competing models we find that asymmetric models estimated on filtered returns provide better out of sample forecasts than do garch gas type and msm models estimated on raw return series for brent and wti returns

estimating garch volatility in the presence of outliers garch volatilities depend on the unconditional variance which is a non linear function of the parameters consequently they can have larger biases than estimated parameters using robust methods to estimate both parameters and volatilities is shown to outperform maximum likelihood procedures

is beta t egarch 1 1 superior to garch 1 1 statistical performance in sample point forecast precision and out of sample density forecast precision of garch 1 1 and beta t egarch 1 1 models are compared we study the volatility of nine gl

jumps and stochastic volatility in oil prices time series evidence abstract in this paper we examine the empirical performance of affine jump diffusion models with stochastic volatility in a time series study of crude oil prices we compare four different models and estimate them using the markov chain monte carlo method the support for a stochastic volatility model including jumps in both prices and volatility is strong and the model clearly outperforms the others in terms of a superior fit to data our estimation method allows us to obtain a detailed study of oil prices during two periods of extreme market stress included in our sample the gulf war and the recent financial crisis we also address the economic significance of model choice in two option pricing applications the implied volatilities generated by the different estimated models are compared and we price a real option to develop an oil field our findings indicate that model choice can have a material effect on the option values

volatility persistence in crude oil markets financial market participants and policy makers can benefit from a better understanding of how shocks can affect volatility over time this study assesses the impact of structural changes and outliers on volatility persistence of three crude oil markets brent west texas intermediate wti and organization of petroleum exporting countries opec between january 2 1985 and june 17 2011 we identify outliers using a new semi parametric test based on conditional heteroscedasticity models these large shocks can be associated with particular event patterns such as the invasion of kuwait by iraq the operation desert storm the operation desert fox and the global financial crisis as well as opec announcements on production reduction or us announcements on crude inventories we show that outliers can bias i the estimates of the parameters of the equation governing volatility dynamics ii the regularity and non negativity conditions of garch type models garch igarch figarch and hygarch and iii the detection of structural breaks in volatility and thus the estimation of the persistence of the volatility therefore taking into account the outliers on the volatility modelling process may improve the understanding of volatility in crude oil markets

crude oil price analysis and forecasting a perspective of new triangle abstract in this paper the new structural characteristics and core influencing factors of the crude oil prices are summarized based on previous representative research results firstly a newly dynamic bayesian structural time series model dbsts is developed to investigate the oil prices in particular google trend is introduced as an indicator to reflect the impact of search data on the oil price secondly the spike and slab method is employed to select core influence factors finally the bayesian model average bma is utilized to predict the oil price experimental results confirm that the supply and demand of global crude oil and the financial market are still the main factors affecting the oil price furthermore google trend can reflect the changes in the crude oil price to a certain extent moreover the impact of shale oil production on the oil price is gradually increasing yet remains relatively small in addition the dbsts model can identify turning points in historical data such as the 2008 financial crisis finally the findings suggest the dbsts model has good predictive capabilities in short term prediction making it suitable for analyzing the crude oil prices

modeling and forecasting the volatility of petroleum futures prices we investigate volatility models and their forecasting abilities for three types of petroleum futures contracts traded on the new york mercantile exchange west texas intermediate crude oil heating oil 2 and unleaded gasoline and suggest some stylized facts about the volatility of these futures markets particularly in regard to volatility persistence or long memory properties in this context we examine the persistence of market returns and volatility simultaneously using the following arfima garch class models arima garch arfima garch arfima igarch and arfima figarch although the arfima figarch model better captures long memory properties of returns and volatility the out of sample analysis indicates no unique model for all three types of petroleum futures contracts suggesting that investors should be careful when measuring and forecasting the volatility risk of petroleum futures markets

an analysis of value destruction in at t s acquisition of ncr abstract at t s 7 5 billion acquisition of ncr decreased the wealth of at t shareholders by between 3 9 billion and 6 5 billion and resulted in negative synergies of 1 3 to 3 0 billion we find that at t paid a documented 50 million and possibly as much as 500 million to satisfy pooling accounting thus boosting eps by roughly 17 but leaving cash flows unchanged we conclude that at t s decision to acquire ncr in what the market perceived as a value destroying transaction was related at least in part to the 1984 consent decree with the department of justice that led to the break up of at t

jumps in financial markets a new nonparametric test and jump dynamics this paper introduces a new nonparametric test to detect jump arrival times and realized jump sizes in asset prices up to the intra day level we demonstrate that the likelihood of misclassiflcation of jumps becomes negligible when we use high frequency returns using our test we examine jump dynamics and their distributions in the u s equity markets the results show that individual stock jumps are associated with prescheduled earnings announcements and other company speciflc news events additionally s p 500 index jumps are associated with general market news announcements this suggests difierent pricing models for individual equity options versus index op

information and strategic behavior abstract does encouraging trader participation enhance market competitiveness this paper shows that when trader preferences are interdependent trader market power does not necessarily decrease with greater participation and traders need not become price takers in large markets thus larger markets can be less liquid and associated with lower ex ante welfare in the linear normal model the necessary and sufficient condition on the information structure is provided under which price impact is monotone in market size a condition is given when the rational expectations equilibrium which is typically not fully revealing within the considered class of preference interdependencies is obtained in large markets

informed speculation with imperfect competition competitive rational expectations models have the unsatisfactory property dubbed the schizophrenia problem by hellwig that each trader takes the equilibrium price as given despite the fact that he influences that price an examination of information aggregation in a non competitive rational expectations model using a nash equilibrium in demand functions shows that the schizophrenia problem is avoided by having each trader take into account the effect his demand has on the equilibrium price given a distribution of private information across traders prices reveal less information than in the competition equilibrium and prices no longer become fully informative in the limit as noise trading vanishes or as traders become risk neutral with small traders the model may become one of monopolistic competition not perfect competition in contrast to the competitive model a reasonable model of endogenous acquisition of costly private information is obtained even when traders are risk neutral

partially revealing rational expectations equilibrium in a competitive economy abstract a class of pure exchange economies is considered in which some agents are informed of private information and others are uninformed existence of a partially revealing rational expectations equilibrium ree is proved without restricting attention to particular functional forms for utility functions and probability distributions without introducing noise into the model and without departing from the standard definition of ree the equilibrium is robust in the sense that if the primitives of the economy are slightly perturbed the economy continues to have a qualitatively similar ree with somewhat stronger assumptions placed on the economy the equilibrium is also the unique measurable ree