on the impacts of oil price fluctuations on european equity markets volatility spillover and hedging effectiveness the objective of this paper is to investigate the volatility spillovers between oil and stock markets in europe as not all industries are expected to be equally affected by oil price changes we conduct our study at both the aggregate as well as sector levels empirically we make use of a recently developed var garch approach which allows for transmissions in volatilities in addition we analyze the optimal weights and hedge ratios for oil stock portfolio holdings based on our results on the whole our findings show significant volatility spillovers between oil price and sector stock returns and suggest that a better understanding of those links is crucial for portfolio management in the presence of oil price risk

cooperative and noncooperative r d in duopoly with spillovers contrary to the usual assumption made in most oligopoly models relations among firms are seldom of a wholly cooperative or noncooperative type in many situations they compete in some fields while they cooperate in others an important example is the case of cooperative research efforts bringing fierce competitors together two types of agreement are observed first r d cooperation can take place at the so called precompetitive stage companies share basic information and efforts in the r d stage but remain rivals in the market place 1 a second type of agreement involves an extended collusion between partners creating common policies at the product level the usual justifications of this extension are the difficulties of protecting intellectual property the idea is then to allow partners who have achieved inventions together to also control together the processes and products which embody the results of their collaboration in order to recuperate jointly their r d investments 2 what could be expected from these types of agreement is a reduction in r d expenditures because of less wasteful duplication and a reduction of total production because of more reprinted from the american economic review 78 5 1133 1137 1988 center for operations research econometrics 1348 louvain la neuve belgium we are grateful to jean

moments based spillovers across gold and oil markets abstract in this paper we use intraday futures market data on gold and oil to compute returns realized volatility volatility jumps realized skewness and realized kurtosis using these daily metrics associated with two markets over the period of december 2 1997 to may 26 2017 we conduct linear nonparametric and time varying rolling tests of causality with the latter two approaches motivated due to the existence of nonlinearity and structural breaks while there is hardly any evidence of spillovers between the returns of these two markets strong evidence of bidirectional causality is detected for realized volatility which seems to be resulting from volatility jumps evidence of spillovers are also detected for the crash risk variables i e realized skewness and for realized kurtosis as well with the effect on the latter being relatively stronger based on a moments based test of causality evidence of co volatility is deduced whereby we find that extreme positive and negative returns of gold and oil tend to drive the volatilities in these markets in our robustness check we identify a causal chain in the realized volatility from oil to gold via the financial stress our results have important implications for not only investors but also policymakers

period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications abstract this paper analyses the changing impact of oil price shocks on a bouquet of metal and agro prices and their implications for investment decisions during different oil price regimes separated by structural breaks endogenously identifying the structural breaks we use network analysis to decipher the nature and extent of such shock transfer across different sub periods we suggest optimal portfolios based on conditional variance estimates to hedge oil shocks during each period this is the first study to analyse the portfolio decisions during specific oil price regimes the results are of significant interest to investors and policy makers

magnitude and persistence of extreme risk spillovers in the global energy market a high dimensional left tail interdependence perspective abstract this paper studies the magnitude and persistence of extreme risk spillovers among stock returns of 124 energy companies worldwide between january 2006 and june 2019 as well as the corresponding firm specific determinants of firms extreme risk spillovers the high dimensional nonparametric method the coefficient of tail interdependence cti enables us to make better use of available information and to evaluate risk spillovers more precisely moreover we use spatial panel models that consider spatial heterogeneity among firms to explore the determinants of the risk spillovers the empirical findings from a study of energy firms risk spillover effects verify the necessity of persistence measurement also the most systemically risky energy companies are not necessarily the largest and some small firms can also generate large risk spillovers when they are in distress which indicates that determinants other than firm size could also affect the spillover effect such as business complexity and geographic location our regression results suggest that the extreme risk spillover of the energy companies exhibits significant heterogeneity in terms of business and region which deserves more attention for energy risk management the estimates can be used for making portfolio decisions and designing regulatory policies

volatility spillovers between oil prices and stock sector returns implications for portfolio management abstract in this article we take a recent generalized var garch approach to examine the extent of volatility transmission between oil and stock markets in europe and the united states at the sector level the empirical model is advantageous in that it typically allows simultaneous shock transmission in the conditional returns and volatilities insofar as volatility transmission across oil and stock sector markets is a crucial element for portfolio designs and risk management we also analyze the optimal weights and hedge ratios for oil stock portfolio holdings with respect to the results our findings point to the existence of significant volatility spillover between oil and sector stock returns however the spillover is usually unidirectional from oil markets to stock markets in europe but bidirectional in the united states our back testing procedures finally suggest that taking the cross market volatility spillovers estimated from the var garch models often leads to diversification benefits and hedging effectiveness better than those of commonly used multivariate volatility models such as the ccc garch of bollerslev 1990 the diagonal bekk garch of engle and kroner 1995 and the dcc garch of engle 2002

oil price shocks and european industries abstract we investigate the impact of oil price shocks at the industry level in the euro area for the period 1983 2007 we use different oil price specifications and use dynamic var models and multivariate regression to investigate how 38 different industries respond to oil price shocks we pay specific attention to the asymmetry of the industries responses regarding oil price increases and decreases we find that the impact of oil price shocks substantially differs along the different industries we find that the significance of this result also differs along the various oil price specifications the results are quite robust to the way in which we model the problem

comment on generating scenario trees for multistage decision problems in models of decision making under uncertainty one typically has to approximate the uncertainties by a limited number of discrete outcomes ha yland and wallace 2001 formulate a nonlinear programming problem to generate sucha limited number of discrete outcomes while satisfying specified statistical properties they have developed and employed this method for a stochastic multistage asset allocation problem when the method is applied to such financial optimization problems under uncertainty we argue here that it does not suffice to match statistical properties to obtain realistic outcomes the limited description of the uncertainty in such models should also exclude arbitrage opportunities and thereby be consistent with financial asset pricing theory we illustrate that the method proposed by ha yland and wallace can result in arbitrage opportunities in the scenario tree if only statistical properties are imposed we show how one can check ex post for the presence of arbitrage opportunities in a scenario tree by checking for the existence of solutions to sets of linear equations arbitrage opportunities can also be precluded ex ante in the scenario tree by adding constraints to the nonlinear programming problem of ha yland and wallace

patent protection with a cooperative r d option patent protection may decrease r d incentives due to the tournament effect in this paper we show that patent protection in the presence of a cooperative r d option always increases the r d incentive in addition this option dominates imitation to increase the r d incentive under patent protection and may also dominate royalty licensing depending on the r d cost

or practice assisting defined benefit pension plans the defined benefit pension system poses substantial long term risks for the u s economy we describe a flexible asset liability management alm system for pension planning the primary goals are to improve the performance and survivability of the pension trust we first employ a stochastic program for enhancing investment strategies in light of company and other goals and pension risk constraints the results are linked with a policy simulator for further analysis we illustrate the concepts via two disparate real world companies the first is a slowly growing auto company and the second a profitable pharmaceutical enterprise we show that a stochastic program can help in the process of discovering sound policy rules the alm system has been employed extensively throughout the world by a large global actuarial firm

concepts technical issues and uses of the russell yasuda kasai financial planning model this paper discusses technical aspects of the russell yasuda kasai financial planning model these include the models for the discrete distribution scenario generation processes for the uncertain parameters of the model the mathematical approach used to develop the infinite horizon end effects part of the model a comparison of algorithms used in the model s solution and a comparison of the multistage stochastic linear programming model with the previous technology static mean variance analysis experience and benefits of the model in yasuda kasai s financial planning process is also discussed

cooperative and noncooperative r d in an oligopoly with spillovers this paper examines the positive and normative effects of cooperative r d whereby member firms commit themselves to the joint profit maximizing level of r d in a precompetitive stage but remain fierce competitors in the product market vis a vis noncooperative r d socially first best r d and socially second best r d in the presence of sufficiently large r d spillovers neither noncooperative nor cooperative equilibria achieve even second best r d levels in the absence of spillover effects however while the cooperative r d level remains socially insufficient the noncooperative level may overshoot first and second best levels of r d copyright 1992 by american economic association

volatility behavior of oil industrial commodity and stock markets in a regime switching environment abstract this study supplements previous regime switching studies on wti crude oil and finds two possible volatility regimes for the strategic commodity prices of brent oil wti oil copper gold and silver and the s p 500 index but with varying high to low volatility ratios the dynamic conditional correlations dccs indicate increasing correlations among all the commodities since the 2003 iraq war but decreasing correlations with the s p 500 index the commodities also show different volatility persistence responses to financial and geopolitical crises while the s p 500 index responds to both financial and geopolitical crises implications are discussed

the directional volatility connectedness between crude oil and equity markets new evidence from implied volatility indexes in this paper we use a set of newly introduced implied volatility indexes to investigate the directional connectedness between oil and equities in eleven major stock exchanges around the globe from 2008 to 2015 the inference on the oil equity implied volatility relationships depends on diebold and yilmaz 2012 2014 2015 who proposed a set of directional measures that enable the dynamic and directional characterization of the relationships among financial variables we find uniform results across the sample countries indicating that the connectedness between oil and equity is established by the bi directional information spillovers between the two markets however we find that the bulk of association is largely dominated by the transmissions from the oil market to equity markets and not the other way around the pattern of transmissions is varying over the sample period however most of the linkages between oil and equities are established from the mid of 2009 to the mid of 2012 which is a period that witnessed the start of global recovery

the oil price crash in 2014 15 was there a negative financial bubble abstract this paper suggests that there was a negative bubble in oil prices in 2014 15 which decreased them beyond the level justified by economic fundamentals this proposition is corroborated by two sets of bubble detection strategies the first set consists of tests for financial bubbles while the second set consists of the log periodic power law lppl model for negative financial bubbles despite the methodological differences between these detection methods they provided the same outcome the oil price experienced a statistically significant negative financial bubble in the last months of 2014 and at the beginning of 2015 these results also hold after several robustness checks which consider the effect of conditional heteroskedasticity model set ups with additional restrictions longer data samples tests with lower frequency data and with an alternative proxy variable to measure the fundamental value of oil

oil price shocks and stock market returns evidence for some european countries abstract in this paper we examine the impact of oil price shocks on stock returns in 12 oil importing european economies using vector autoregressive var and vector error correction models vecm for the period 1973 02 2011 12 we propose an alternative oil price shock specification that takes into account both world oil production and world oil prices in order to disentangle oil supply and oil demand shocks we find that the response of the european real stock returns to an oil price shock may differ greatly depending on the underlying causes of the oil price change the results suggest the existence of a negative and significant impact of oil price changes on most european stock market returns furthermore we find that stock market returns are mostly driven by oil supply shocks

oil shocks and their impact on energy related stocks in china abstract this paper contributes to the current literature by adopting time varying conditional correlation and asset pricing models to discover how the dynamics of international oil prices affect energy related stock returns in china after conditioning for structural instability the results show a much stronger relation following the 2008 financial crisis we argue that this reflects the fact that investors in the chinese stock market especially for energy related stocks are more sensitive to the shocks in international crude oil market

formulation of the russell yasuda kasai financial planning model this paper describes the formulation of the russell yasuda kasai financial planning model including the motivation for the model the presentation complements the discussion of the technical details of the financial modeling process and the managerial impact of its use to help allocate the firm s assets over time discussed in carin o et al 1994 1998 respectively the multistage stochastic linear program incorporates yasuda kasai s asset and liability mix over a five year horizon followed by an infinite horizon steady state end effects period the objective is to maximize expected long run profits less expected penalty costs from constraint violations over the infinite horizon scenarios are used to represent the uncertain parameter distributions the constraints represent the institutional cash flow legal tax and other limitations on the asset and liability mix over time

analyzing volatility spillovers and hedging between oil and stock markets evidence from wavelet analysis abstract this paper examines the linkage of crude oil market wti and stock markets of the g 7 countries we study the mean and volatility spillovers of oil and stock market prices over various time horizons we propose a new approach incorporating both multivariate garch models and wavelet analysis wavelet based mgarch approach we combine a bivariate garch bekk model with wavelet multiresolution analysis in order to capture the multiscale features of mean and volatility spillovers between time series for optimal portfolio allocation decisions we analyze the multiscale behavior of hedge ratio empirical results show strong evidence of significant volatility spillovers between oil and stock markets as well as time varying correlations for various market pairs however results of wavelet coherence indicate that in most the wti market was leading in addition it is stated that the decomposed volatility spillovers permit investors to adapt their hedging strategies

oil price shocks and stock markets in the u s and 13 european countries abstract oil price shocks have a statistically significant impact on real stock returns contemporaneously and or within the following month in the u s and 13 european countries over 1986 1 2005 12 norway as an oil exporter shows a statistically significantly positive response of real stock returns to an oil price increase the median result from variance decomposition analysis is that oil price shocks account for a statistically significant 6 of the volatility in real stock returns for many european countries but not for the u s increased volatility of oil prices significantly depresses real stock returns the contribution of oil price shocks to variability in real stock returns in the u s and most other countries is greater than that of interest rate an increase in real oil price is associated with a significant increase in the short term interest rate in the u s and eight out of 13 european countries within one or two months counter to findings for the u s and for norway there is little evidence of asymmetric effects on real stock returns of positive and negative oil price shocks for oil importing european countries

optimal patent policy research joint ventures and growth abstract the patent and growth studies have found that there may be welfare loss without optimizing both patent breadth and the division of profit in competitive research joint ventures njs this paper examines the effects of patent policy on an r d based growth model where innovations are produced by cooperative research joint ventures cjs we show that cjs always generate a higher equilibrium growth rate than njs and the social optimum can be achieved with cjs in equilibrium when only patent breadth is chosen optimally

measuring financial asset return and volatility spillovers with application to global equity markets we provide a simple and intuitive measure of interdependence of asset returns and or volatilities in particular we formulate and examine precise and separate measures of return spillovers and volatility spillovers our framework facilitates study of both non crisis and crisis episodes including trends and bursts in spillovers and both turn out to be empirically important in particular in an analysis of sixteen global equity markets from the early 1990s to the present we find striking evidence of divergent behavior in the dynamics of return spillovers vs volatility spillovers return spillovers display a gently increasing trend but no bursts whereas volatility spillovers display no trend but clear bursts

dynamic spillovers between oil and stock markets in the gulf cooperation council countries this article exploits a new spillover directional measure proposed by diebold and yilmaz 2009 2012 to investigate the dynamic spillover of return and volatility between oil and equities in the gulf cooperation council countries during the period 2004 to 2012 our results indicate that return and volatility transmissions are bi directional albeit asymmetric in particular the oil market gives other markets more than it receives in terms of both returns and volatilities these trends were more pronounced in the aftermath of the global financial crisis in 2008 as the net contribution of oil has intensified after a burst during the crisis the empirical evidence from the sample is consistent with a system in which oil is playing the dominant role in the information transmission mechanism between oil and equities in the gcc countries

time varying co movements between energy market and global financial markets implication for portfolio diversification and hedging strategies abstract this study explores the time patterns of volatility spillovers between energy market and stock prices of seven major global financial markets including clean energy energy information technology corporations equity markets and united states economic policy index over the period vary from december 28 2000 to december 31 2018 we employ a time domain connectedness measures of diebold and yilmaz dy 2009 2012 and 2014 to examine spillover mechanism of volatility shocks across future markets optimal weights and hedge ratios are calculated for portfolio diversification and risk management the main findings of the study conclude that oil shocks are exogenous and contribution of oil market volatility to global financial markets is insignificant the returns of world stock index and world energy index are major transmitters of volatility to clean energy market moreover the impact of energy market become strong in global financial market when data is divided into pre during and post financial crisis periods finally the hedge ratios are volatile over time and their maximum value is observed during the financial crisis period of 2008 09 the optimal portfolio between energy and stock prices are heavily weighted to the stock markets

correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies abstract in this paper multivariate garch models are used to model conditional correlations and to analyze the volatility spillovers between oil prices and the stock prices of clean energy companies and technology companies four different multivariate garch models bekk diagonal constant conditional correlation and dynamic conditional correlation are compared and contrasted the dynamic conditional correlation model is found to fit the data the best and generates results showing that the stock prices of clean energy companies correlate more highly with technology stock prices than with oil prices on average a 1 long position in clean energy companies can be hedged for 20 cents with a short position in the crude oil futures market

optimal savings management for individuals with defined contribution pension plans abstract the paper provides some guidelines to individuals with defined contribution dc pension plans on how to manage pension savings both before and after retirement we argue that decisions regarding investment annuity payments and the size of death sum should not only depend on the individual s age or time left to retirement nor should they solely depend on the risk preferences but should also capture 1 economical characteristics such as current value on the pension savings account expected pension contributions mandatory and voluntary and expected income after retirement e g retirement state pension and 2 personal characteristics such as risk aversion lifetime expectancy preferable payout profile bequest motive and preferences on portfolio composition specifically the decisions are optimal under the expected crra utility function and are subject to the constraints characterizing the individual the problem is solved via a model that combines two optimization approaches stochastic optimal control and multi stage stochastic programming the first method is common in financial and actuarial literature but produces theoretical results however the latter which is characteristic for operations research has practical applications we present the operations research methods which have potential to stimulate new thinking and add to actuarial practice

oil volatility oil and gas firms and portfolio diversification abstract this paper investigates the volatility spillovers and co movements among oil prices and stock prices of major oil and gas corporations over the period between 18th june 2001 and 1st february 2016 to do so we use the spillover index approach by diebold and yilmaz 2009 2012 2014 2015 and the dynamic correlation coefficient model of engle 2002 so as to identify the transmission mechanisms of volatility shocks and the contagion of volatility among oil prices and stock prices of oil and gas companies respectively given that volatility transmission across oil and major oil and gas corporations is important for portfolio diversification and risk management we also examine optimal weights and hedge ratios among the aforementioned series our results point to the existence of significant volatility spillover effects among oil and oil and gas companies stock volatility however the spillover is usually unidirectional from oil and gas companies stock volatility to oil volatility with bp chevron exxon shell and total being the major net transmitters of volatility to oil markets conditional correlations are positive and time varying with those between each of the aforementioned companies and oil being the highest finally the diversification benefits and hedging effectiveness based on our results are discussed

spending retirement on planet vulcan the impact of longevity risk aversion on optimal withdrawal rates corrected july 2011 recommendations from the media and financial planners regarding retirement spending rates deviate considerably from utility maximization models this study argues that wealth managers should advocate dynamic spending in proportion to survival probabilities adjusted up for exogenous pension income and down for longevity risk aversion

risk spillovers across the energy and carbon markets and hedging strategies for carbon risk this study examines the risk spillovers between energy futures prices and europe based carbon futures contracts we use a markov regime switching dynamic correlation generalized autoregressive conditional heteroscedasticity ms dcc garch model in order to capture the time variations and structural breaks in the spillovers we further evaluate the optimal weights hedging effectiveness and dynamic hedging strategies for the ms dcc garch model based on both the regime dependent and regime independent optimal hedge ratios we finally complement our analysis by examining the in and out of sample hedging performances for alternative strategies our results mainly show significant volatility and time varying risk transmission from energy markets to carbon market we also find that spot and futures segments of the emission markets exhibit time varying correlations and volatile hedging effectiveness the subsample estimates show significant changes in the hedge effectiveness over the different phases of the european carbon market these results have important investment and policy implications

volatility spillovers and cross hedging between gold oil and equities evidence from the gulf cooperation council countries the paper examines the return and volatility spillovers between crude oil gold and equities and investigates the usefulness of the two commodities in hedging equity portfolios using daily data from january 20043 to may 2016 for the gulf cooperation council countries a dcc garch model is used to estimate dynamic correlations and hedge ratios we find significant spillovers from oil to equities highlighting the heavy dependence of the local economies on oil moreover the spillovers of gold on the stock markets are insignificant suggesting that gold price fluctuations do not necessarily influence equity investment decisions in the opposite direction we find that equities do not exert significant influence on the two commodities which we attribute to the relatively small capitalisation of the exchanges our results reveal low dynamic correlations and hedge ratios with a few spikes during crises indicating that oil and gold are cheap hedges for stocks albeit not good ones while they could be considered as weak safe havens but at a considerable cost

the roles of inter fuel substitution and inter market contagion in driving energy prices evidences from china s coal market abstract coal has been dominating energy supply and consumption in china with the country becoming the largest energy supplier and consumer worldwide due to inter fuel substitution of crude oil and inter market contagion of international coal market china s coal price might be interrelated with crude oil price and international coal price however the precise roles of these two effects in determining china s coal price are unknown this paper contributes to previous literature by investigating this issue we find that co movements between china s coal price and crude oil price largely hinge on the shares of oil and coal in china s energy mix while its co movements with international coal price depend on scales of coal trade inter fuel substitution dominated the interaction of china s coal market with other energy types but the importance of inter market contagion has been increasing we also find that china might have become an originator for driving the returns of crude oil and international coal in particular after 2008 furthermore china s coal market is still a net volatility recipient for shocks from both crude oil market and international coal market given the increased integration of global energy markets we anticipate this paper to provide a better understanding on the dynamic changes in china s coal prices

co movements and spillovers of oil and renewable firms under extreme conditions new evidence from negative wti prices during covid 19 we test for the existence of volatility spillovers and co movements among energy focused corporations during the outbreak of the covid 19 pandemic inclusive of the april 2020 events where west texas intermediate wti oil future prices became negative employing the spillover index approach of diebold and yilmaz 2012 as well as developing a dcc figarch conditional correlation framework and using estimated spillover indices built on a generalised vector autoregressive framework in which forecast error variance decompositions are invariant to the variable ordering we examine the sectoral transmission mechanisms of volatility shocks and contagion throughout the energy sector among several results we find positive and economically meaningful spillovers from falling oil prices to both renewable energy and coal markets however this result is only found for the narrow portion of our sample surrounding the negative wti event we interpret our results being directly attributed to a sharp drop in global oil gas and coal demand rather than because of a sudden increase in oil supply while investors observed the us fracking industry losing market share to coal they also viewed renewables as more reliable mechanism to generate long term stable and low cost supply

cooperative and noncooperative r d in duopoly with spillovers erratum in our article published in this review volume 78 no 5 december 1988 pp 1133 37 we have shown that in the presence of sufficient spillovers of the r d benefits duopolists cooperating in r d but not in the output spend more on r d than noncooperating firms at both stages and also produce more output closest to the socially optimal level a second symmetric result is that for small spillovers duopolists cooperating neither in r d nor in output spend more on r d and produce more output than cooperative firms however this result has been obscured by an obvious inequality inversion and other typos implying a modification in the conclusions indeed in fn 13 on p 1135 one should have that x x iff

modeling asymmetric comovements of asset returns existing time varying covariance models usually impose strong restrictions on how past shocks affect the forecasted covariance matrix in this article we compare the restrictions imposed by the four most popular multivariate garch models and introduce a set of robust conditional moment tests to detect misspecification we demonstrate that the choice of a multivariate volatility model can lead to substantially different conclusions in any application that involves forecasting dynamic covariance matrices like estimating the optimal hedge ratio or deriving the risk minimizing portfolio we therefore introduce a general model which nests these four models and their natural asymmetric extensions the new model is applied to study the dynamic relation between large and small firm returns article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies