The Estimation of Risk Premium Implicit in Oil Prices

Futures prices can be seen as a sum of the expected value of the underlying asset price with a risk premium. In order to disentangle those two components of the futures prices, one can try to model the relationship between spot and futures prices, in order to obtain a closed expression for the risk premium, or to use information from spot and option prices to estimate risk aversion functions. Given the high volatility of the ratios between futures and spot prices, we opted for the latter, estimating risk-neutral and subjective probability density functions, respectively from option and spot prices observed. Looking at the prices of Brent and West Texas Intermediate Light/Sweet Crude Oil options, evidence obtained suggests that the risk premium is typically very low for levels near the futures prices.

A two-factor model of the German term structure of interest rates

In this paper we show that a two-factor constant volatility model provides an adequate description of the dynamics and shape of the German term structure of interest rates from 1972 up to 1998. The model also provides reasonable estimates of the volatility and term premium curves. Following the conjecture that the two factors driving the German term structure of interest rates represent the H[-DQWH real interest rate and the expected inflation rate, the identification of one factor with expected inflation is discussed. Our estimates are obtained using a Kalman filter and a maximum likelihood procedure including in the measurement equation both the yields and their volatilities JEL Classification: E43, G12affine model, expectations hypothesis, pricing kernels, term premiums

Liability for environmental damage in Portugal - a short overview

The environmental law enshrined as a fundamental principle in article 66 of the Portuguese Constitution. The Environmental Liability Directive establishes a framework of environmental liability, based on the "polluter-pays" principle, to prevent and remedy environmental damage. The Decree-Law 147/2008, of 29th July came transpose into Portuguese law Directive 2004/35/EC of the European Parliament and of the Council of 21st April 2004. The Law 67/2007, of 31st December, establishing in Portugal the regime for tort liability arising from losses caused by third parties, due to the acts of public management in relation to all the functions of the State, i.e. i) administrative, ii) legislative, and iii) jurisdictional.info:eu-repo/semantics/publishedVersio

The T-27 Tucano Engine Pipeline of the Brazilian Air Force: A Managerial Approach

The T-27 is a Brazilian-made aircraft, manufactured by Empresa Brasileira de Aeronautica - EMBRAER . The purpose of this study is to describe the processes that take place in the logistic pipeline of the T-27 Engine. With the objective of identifying any existent bottlenecks and suggests managerial approaches to improve the overall system performance

O negócio atlântico : as redes comerciais portuenses e as novas geografias do trato internacional (séculos XVI-XVII)

This work introduces the part played by the Portuguese Northwest centres in the construction of the Atlantic system due to the international traffic developed from its ports. One discusses here traditional historiographical interpretations, namely in what concerns the amplitude of the trade developed in the beginning of the Early Modern Period by commercial agents who can be positioned outside the Iberian imperial schemes, and the centrality of the economic spaces in the same period