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On the Oil Price Uncertainty

Zied Ftiti and Fredj Jawadi

Year: 2019
Volume: Volume 40
Number: Special Issue
DOI: 10.5547/01956574.40.SI2.zfti
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Abstract:
This study focuses on oil price volatility and uncertainty over the period January 1986-December 2018, covering episodes of oil price increases and collapses. Accordingly, in line with Poon and Granger (2003), and Terasvirta and Zhao (2011), we propose three different specifications of stochastic oil volatility: standard stochastic volatility, stochastic volatility moving average, leverage stochastic volatility models. We compute the out-of-sample forecasts for the uncertainty in oil prices using the estimates for these three stochastic oil price volatility models and we discuss its effects. Our findings show that the standard stochastic volatility model outperforms the other two models when focusing on oil price uncertainty. This finding is relevant to better forecast and understand the effects of oil price uncertainty on the real economy.



Understanding Oil Price Dynamics and their Effects over Recent Decades: An Interview with James Hamilton

Fredj Jawadi

Year: 2019
Volume: Volume 40
Number: Special Issue
DOI:
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Abstract:
The following interview with Prof. James Hamilton was conducted in April 2018 by Dr. Fredj Jawadi with the assistance of Professors Jim Smith and Adonis Yatchew during the 5th International Symposium in Computational Economics and Finance (ISCEF) held in Paris, France. The interview includes 21 questions related to oil price dynamics. The aim of the discussion was, first, to help the reader gain a better understanding of the factors driving changes in oil prices, second, to examine the impact of oil price shocks on the economy and, third, to understand the dynamics of oil prices in the future. The recent related literature on oil price uncertainty is also discussed. We hope that this interview will give the reader clearer insights into the causes and consequences of oil price change and its evolution over time.



Introduction to Topics on “Uncertainty and Recent Challenges in Oil and Commodity Markets

Fredj Jawadi and Apostolos Serletis

Year: 2019
Volume: Volume 40
Number: Special Issue
DOI: 10.5547/01956574.40.SI2.aser
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Abstract:
This ISCEF special issue of The Energy Journal presents new results in the area of energy economics to provide new insights on commodity markets, which will be helpful for investors, policymakers and analysts. In particular, this issue focuses on studies that use recent modeling techniques and empirical design. It introduces seven studies, presented at the fifth International Symposium in Computational Economics and Finance organized in Paris on April 12�14th, 2018 (www.iscef.com). These studies focus on the investigation of the dynamics of commodity markets, discuss the consequences of uncertainty on energy prices and their effects on the real economy and financial markets, and use high frequency data and recent econometric methods to empirically investigate the interactions between commodity markets and financial markets.



Do Jumps and Co-jumps Improve Volatility Forecasting of Oil and Currency Markets?

Fredj Jawadi, Waël Louhichi, Hachmi Ben Ameur, and Zied Ftiti

Year: 2019
Volume: Volume 40
Number: Special Issue
DOI: 10.5547/01956574.40.SI2.fjaw
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Abstract:
This paper aims at modeling and forecasting volatility in both oil and USD exchange rate markets using high frequency data. We test whether extreme co-movements (co-jumps) between these markets, as well as intraday unexpected news, help to improve volatility forecasting or not. Accordingly, we propose different extensions of Corsi (2009)'s model by including co-jumps and news. Our analysis provides two interesting findings. First, we find that both markets exhibit significant co-jumps driven by unexpected macroeconomic news. Second, we show that our model outperforms Corsi (2009)'s model and provides more accurate forecasts. In particular, while co-jumps constitute a key variable in forecasting oil price volatility, the unexpected news is relevant to forecasts of USD exchange rate volatility.



Analyzing Commodity Prices in the Context of COVID-19, High Inflation, and the Ukrainian War: An Interview with James Hamilton

Fredj Jawadi

Year: 2023
Volume: Volume 44
Number: Number 1
DOI: 10.5547/01956574.44.1.fjaw
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Abstract:
The following interview with Prof. James Hamilton was conducted in September 2022 by Dr. Fredj Jawadi with the assistance of Professor Adonis Yatchew in association with the 6th International Workshop on Financial Markets and Nonlinear Dynamics (FMND) held in Paris, France. The interview includes 20 questions related to commodity price dynamics. The aim of the discussion was, first, to help readers gain a better understanding of the factors driving commodity price volatility during the COVID-19 pandemic. Second, we analyzed commodity reactions to the ongoing Ukrainian war. Third, we examined the impact of changes in commodity prices on the economy as a whole and on inflation in particular. Finally, we discussed projections related to the dynamics of commodity prices in the future and the impact on the energy transition process. We hope that this interview will give readers clearer insights into the causes and consequences of commodity price changes and their evolution over time.





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