Modeling Ex Ante Risk Premiums In The Oil Market

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Modeling Ex-Ante Risk Premiums in the Oil Market

Author : Georges Prat
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Modeling Ex-Ante Risk Premiums in the Oil Market by : Georges Prat

Download or read book Modeling Ex-Ante Risk Premiums in the Oil Market written by Georges Prat and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using survey-based monthly data over thirty years, we show that oil price expectations for 3- and 12-month horizons are not rational implying that the ex-ante oil risk premium is a more relevant concept for decision making than the widely popular ex-post premium. Using a portfolio choice model framework, we derive each risk premium as a product of the price of risk and the expected volatility of oil return, these two components being time varying and horizon-dependent. A state-space model of risk premiums, where the risk prices are represented as stochastic unobservable components and where expected variances are proxied as weighted averages of past instantaneous variances, is estimated using Kalman filtering. We find that our model adequately represents the ex-ante oil risk premiums dynamics, from which the representative investor appears to be mostly risk seeking at short horizons and mostly risk averse at longer horizons. A state-dependent interpretation of our risk premium patterns shows consistency with the predictions of the prospect theory. We also show that our risk prices are correlated with a number of economic and oil market-related factors, and find that an upward sloped term structure of oil risk premiums prevails in average over the period.

Modeling Ex-ante Risk Premia in the Oil Market

Author : Georges Prat
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Modeling Ex-ante Risk Premia in the Oil Market by : Georges Prat

Download or read book Modeling Ex-ante Risk Premia in the Oil Market written by Georges Prat and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Equity Risk Premium

Author : William N. Goetzmann
Publisher : Oxford University Press
ISBN 13 : 0199881979
Total Pages : 568 pages
Book Rating : 4.1/5 (998 download)

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Book Synopsis The Equity Risk Premium by : William N. Goetzmann

Download or read book The Equity Risk Premium written by William N. Goetzmann and published by Oxford University Press. This book was released on 2006-11-16 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt: What is the return to investing in the stock market? Can we predict future stock market returns? How have equities performed over the last two centuries? The authors in this volume are among the leading researchers in the study of these questions. This book draws upon their research on the stock market over the past two dozen years. It contains their major research articles on the equity risk premium and new contributions on measuring, forecasting, and timing stock market returns, together with new interpretive essays that explore critical issues and new research on the topic of stock market investing. This book is aimed at all readers interested in understanding the empirical basis for the equity risk premium. Through the analysis and interpretation of two scholars whose research contributions have been key factors in the modern debate over stock market perfomance, this volume engages the reader in many of the key issues of importance to investors. How large is the premium? Is history a reliable guide to predict future equity returns? Does the equity and cash flows of the market? Are global equity markets different from those in the United States? Do emerging markets offer higher or lower equity risk premia? The authors use the historical performance of the world's stock markets to address these issues.

Financial Aspects in Energy

Author : André Dorsman
Publisher : Springer Science & Business Media
ISBN 13 : 3642197094
Total Pages : 229 pages
Book Rating : 4.6/5 (421 download)

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Book Synopsis Financial Aspects in Energy by : André Dorsman

Download or read book Financial Aspects in Energy written by André Dorsman and published by Springer Science & Business Media. This book was released on 2011-06-24 with total page 229 pages. Available in PDF, EPUB and Kindle. Book excerpt: Energy production and supply, as well as sourcing and consumption, are becoming evermore important in a volatile world. In this book, attention is paid to prevalent energy issues from a finance perspective. The topics discussed cover markets, prices, regulations and firms. An international group of authors from both academia and energy practice provides in twelve chapters a state of the art of the energy markets in a finance environment. They do so by discussing the current knowledge and presenting empirical research in this quickly changing and developing field. This book is the first in a planned series on energy at a high scientific level organized by the Centre for Energy and Value Issues (CEVI).

Financial Modelling and Asset Valuation with Excel

Author : Morten Helbæk
Publisher : Routledge
ISBN 13 : 1134620209
Total Pages : 447 pages
Book Rating : 4.1/5 (346 download)

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Book Synopsis Financial Modelling and Asset Valuation with Excel by : Morten Helbæk

Download or read book Financial Modelling and Asset Valuation with Excel written by Morten Helbæk and published by Routledge. This book was released on 2013-07-18 with total page 447 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance is Excel! This book takes you straight into the fascinating world of Excel, the powerful tool for number crunching. In a clear cut language it amalgamates financial theory with Excel providing you with the skills you need to build financial models for private or professional use. A comprehensive knowledge of modeling in Excel is becoming increasingly important in a competitive labour market. The chapters in part one start with the most basic Excel topics such as cell addresses, workbooks, basic formulas, etc. These chapters get more advanced through part one, and takes you in the end to topics such as array formulas, data tables, pivot tables, etc. The other parts of the book discusses a variety of subjects such as net present value, internal rate of return, risk, portfolio theory, CAPM, VaR, project valuation, asset valuation, firm valuation, loan, leasing, stocks, bonds, options, simulation, sensitivity analysis, etc.

A Comprehensive Assessment of the Role of Risk in U.S. Agriculture

Author : Richard E. Just
Publisher : Springer Science & Business Media
ISBN 13 : 1475735839
Total Pages : 580 pages
Book Rating : 4.4/5 (757 download)

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Book Synopsis A Comprehensive Assessment of the Role of Risk in U.S. Agriculture by : Richard E. Just

Download or read book A Comprehensive Assessment of the Role of Risk in U.S. Agriculture written by Richard E. Just and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 580 pages. Available in PDF, EPUB and Kindle. Book excerpt: After all the research on agricultural risk to date, the treatment of risk in agricultural research is far from harmonious. Many competing risk models have been proposed. Some new methodologies are largely untested. Some of the leading empirical methodologies in agricultural economic research are poorly suited for problems with aggregate data where risk averse behavior is less likely to be important. This book is intended to (i) define the current state of the literature on agricultural risk research, (ii) provide a critical evaluation of economic risk research on agriculture to date and (iii) set a research agenda that will meet future needs and prospects. This type of research promises to become of increasing importance because agricultural policy in the United States and elsewhere has decidedly shifted from explicit income support objectives to risk-related motivations of helping farmers deal with risk. Beginning with the 1996 Farm Bill, the primary set of policy instruments from U.S. agriculture has shifted from target prices and set aside acreage to agricultural crop insurance. Because this book is intended to have specific implications for U.S. agricultural policy, it has a decidedly domestic scope, but clearly many of the issues have application abroad. For each of the papers and topics included in this volume, individuals have been selected to give the strongest and broadest possible treatment of each facet of the problem. The result is this comprehensive reference book on the economics of agricultural risk.

Dynamic Economic Decision Making

Author : John E. Silvia
Publisher : John Wiley & Sons
ISBN 13 : 1118100956
Total Pages : 400 pages
Book Rating : 4.1/5 (181 download)

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Book Synopsis Dynamic Economic Decision Making by : John E. Silvia

Download or read book Dynamic Economic Decision Making written by John E. Silvia and published by John Wiley & Sons. This book was released on 2011-06-24 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive analysis of the macroeconomic and financial forces altering the economic landscape Financial decision-making requires one to anticipate how their decision will not only affect their business, but also the economic environment. Unfortunately, all too often, both private and public sector decision-makers view their decisions as one-off responses and fail to see their decisions within the context of an evolving decision-making framework. In Decision-Making in a Dynamic Economic Setting, John Silvia, Chief Economist of Wells Fargo and one of the top 5 economic forecasters according to Bloomberg News and USA Today, skillfully puts this discipline in perspective. Details realistic, decision-making approaches and applications under a broad set of economic scenarios Analyzes monetary policy and addresses the impact of financial regulations Examines business cycles and how to identify economic trends, how to deal with uncertainty and manage risk, the building blocks of growth, and strategies for innovation Decision-Making in a Dynamic Economic Setting details the real-world application of economic principles and financial strategy in making better business decisions.

International Convergence of Capital Measurement and Capital Standards

Author :
Publisher : Lulu.com
ISBN 13 : 9291316695
Total Pages : 294 pages
Book Rating : 4.2/5 (913 download)

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Book Synopsis International Convergence of Capital Measurement and Capital Standards by :

Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Derivatives Sourcebook

Author : Terence Lim
Publisher : Now Publishers Inc
ISBN 13 : 1933019212
Total Pages : 225 pages
Book Rating : 4.9/5 (33 download)

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Book Synopsis The Derivatives Sourcebook by : Terence Lim

Download or read book The Derivatives Sourcebook written by Terence Lim and published by Now Publishers Inc. This book was released on 2006 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Derivatives Sourcebook is a citation study and classification system that organizes the many strands of the derivatives literature and assigns each citation to a category. Over 1800 research articles are collected and organized into a simple web-based searchable database. We have also included the 1997 Nobel lectures of Robert Merton and Myron Scholes as a backdrop to this literature.

The Energy Journal

Author :
Publisher :
ISBN 13 :
Total Pages : 920 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis The Energy Journal by :

Download or read book The Energy Journal written by and published by . This book was released on 1992 with total page 920 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Journal of Economic Literature

Author :
Publisher :
ISBN 13 :
Total Pages : 380 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Journal of Economic Literature by :

Download or read book Journal of Economic Literature written by and published by . This book was released on 2003 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Inflation Expectations

Author : Peter J. N. Sinclair
Publisher : Routledge
ISBN 13 : 1135179778
Total Pages : 402 pages
Book Rating : 4.1/5 (351 download)

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Book Synopsis Inflation Expectations by : Peter J. N. Sinclair

Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.

Energy Abstracts for Policy Analysis

Author :
Publisher :
ISBN 13 :
Total Pages : 700 pages
Book Rating : 4.E/5 ( download)

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Book Synopsis Energy Abstracts for Policy Analysis by :

Download or read book Energy Abstracts for Policy Analysis written by and published by . This book was released on 1988 with total page 700 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Routledge Companion to Financial Accounting Theory

Author : Stewart Jones
Publisher : Routledge
ISBN 13 : 1135107254
Total Pages : 791 pages
Book Rating : 4.1/5 (351 download)

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Book Synopsis The Routledge Companion to Financial Accounting Theory by : Stewart Jones

Download or read book The Routledge Companion to Financial Accounting Theory written by Stewart Jones and published by Routledge. This book was released on 2015-05-22 with total page 791 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial accounting theory has numerous practical applications and policy implications, for instance, international accounting standard setters are increasingly relying on theoretical accounting concepts in the creation of new standards; and corporate regulators are increasingly turning to various conceptual frameworks of accounting to guide regulation and the interpretation of accounting practices. The global financial crisis has also led to a new found appreciation of the social, economic and political importance of accounting concepts generally and corporate financial reporting in particular. For instance, the fundamentals of capital market theory (i.e. market efficiency) and measurement theory (i.e. fair value) have received widespread public and regulatory attention. This comprehensive, authoritative volume provides a prestige reference work which offers students, academics, regulators and practitioners a valuable resource containing the current scholarship and practice in the established field of financial accounting theory.

Risk Analysis and Portfolio Modelling

Author : Elisa Luciano
Publisher : MDPI
ISBN 13 : 3039216244
Total Pages : 224 pages
Book Rating : 4.0/5 (392 download)

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Book Synopsis Risk Analysis and Portfolio Modelling by : Elisa Luciano

Download or read book Risk Analysis and Portfolio Modelling written by Elisa Luciano and published by MDPI. This book was released on 2019-10-16 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.

Emerging Markets and the Global Economy

Author : Mohammed El Hedi Arouri
Publisher : Academic Press
ISBN 13 : 0124115632
Total Pages : 927 pages
Book Rating : 4.1/5 (241 download)

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Book Synopsis Emerging Markets and the Global Economy by : Mohammed El Hedi Arouri

Download or read book Emerging Markets and the Global Economy written by Mohammed El Hedi Arouri and published by Academic Press. This book was released on 2013-12-26 with total page 927 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging Markets and the Global Economy investigates analytical techniques suited to emerging market economies, which are typically prone to policy shocks. Despite the large body of emerging market finance literature, their underlying dynamics and interactions with other economies remain challenging and mysterious because standard financial models measure them imprecisely. Describing the linkages between emerging and developed markets, this collection systematically explores several crucial issues in asset valuation and risk management. Contributors present new theoretical constructions and empirical methods for handling cross-country volatility and sudden regime shifts. Usually attractive for investors because of the superior growth they can deliver, emerging markets can have a low correlation with developed markets. This collection advances your knowledge about their inherent characteristics. Foreword by Ali M. Kutan - Concentrates on post-crisis roles of emerging markets in the global economy - Reports on key theoretical and technical developments in emerging financial markets - Forecasts future developments in linkages among developed and emerging economies

Introduction to Risk Parity and Budgeting

Author : Thierry Roncalli
Publisher : CRC Press
ISBN 13 : 1482207168
Total Pages : 430 pages
Book Rating : 4.4/5 (822 download)

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Book Synopsis Introduction to Risk Parity and Budgeting by : Thierry Roncalli

Download or read book Introduction to Risk Parity and Budgeting written by Thierry Roncalli and published by CRC Press. This book was released on 2016-04-19 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global fina