The present study applies a new decomposition technique by Ready (2018) to estimate the impact of oil price shocks on stock return in Markov Regime Switching framework. approach solves certain shortcomings novel procedure from Kilian incorporating daily forward-looking prices traded financial asset. regime switching regression provides evidence strong nonlinear association returns risk and dema...

Enrico Fermi had to cajole his friend Ettore Majorana into publishing his big idea: a modification of the Dirac equation that would have profound ramifications for particle physics. Shortly afterwards, in 1938, Majorana mysteriously disappeared, and for 70 years his modified equation remained a rather obscure footnote in theoretical physics (Box 1). Now suddenly, it seems, Majorana’s concept is...

JEL classification: E32 C32 How similar is the price behavior of oil, natural gas, and coal? Are there any interactions among these three fuel prices and their volatilities? Using the Yatchew and Dimitropoulos (2016) annual data for the United States, over the period from 1870 to 2014, and state-of-the-art econometric methodology, we explore for spillovers and interactions among the three energ...

The purpose of this study was to examine the expected returns of Carhart model compared to the capital asset pricing model and the implicit capital cost model based on cash and capital returns of growth and value stocks. The statistical population consisted of the companies listed in Tehran Stock Exchange and the time domain is between 2007 and 2016. By choosing Cochran sampling, 126 companies ...

We examine the predictive value of tail risks oil returns for realized variance using monthly data modern industry (1859:10–2020:10). The Conditional Autoregressive Value at Risk (CAViaR) framework is employed to generate both 1% and 5% VaRs across four variants CAViaR framework. find evidence in-sample out-of-sample predictability emanating from risks. Given importance real-time oil-price vola...

In this paper, we assess the dynamic impact of U.S. monetary policy announcements on oil market futures returns and volatility. We use intra-day data for West Texas Intermediate (WTI) together with a time-varying modeling approach to study nature impact. addition, also control macroeconomic news shocks separately response good bad realized Evidence suggests that there is significant time variat...

Climate change, the scarcity of fossil fuels, advances in clean energy, and volatility crude oil prices have led to recognition energy as a viable alternative dirty energy. This paper investigates multifractal scaling behavior efficiency green finance markets, well traditional markets such gold, oil, natural gas between 1 January 2018, 9 March 2023. To test serial dependency (autocorrelation) e...