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Listar por tema "spatial panel model"

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    • Brent vs. West Texas Intermediate in the US petro derivatives price formation 

      Almeida, Alejandro; Golpe, Antonio A.; Martín-Álvarez, Juan Manuel; Vides, José Carlos (Petroleum Science, 2024)
      In this paper, we apply the spatial panel model to explore the relationship between the dynamic of two types of crude oil prices (WTI and Brent crude oil) and their refined products over time. Considering the turbulent ...

    • The Effect of the U.S. Quantitative Easing on the Term Structure. A Spatial Panel Model Approach 

      Almeida, Alejandro; Golpe, Antonio A.; Martín-Álvarez, Juan-Manuel; Vides, José Carlos (Finance a Uver - Czech Journal of Economics and Finance, 2023)
      In this paper, we apply the spatial panel model that accounts for serial dynamics, crosssectional dependence, and common factors to assess interest rate sensitivity across the term structure to changes in the policy rate. ...