Oil and Product Price Dynamics in International Petroleum Markets

In this paper we investigate crude oil and products price dynamics. We present a comparison among ten price series of crude oils and fourteen price series of petroleum products, considering four distinct market areas (Mediterranean, North Western Europe, Latin America and North America) over the period 1994-2002. We provide first a complete analysis of crude oil and product price dynamics using cointegration and error correction models. Subsequently we use the error correction specification to predict crude oil prices over the horizon January 2002-June 2002.The main findings of the paper can be summarized as follows: a) differences in quality are crucial to understand the behaviour of crudes; b) prices of crude oils whose physical characteristics are more similar to the marker show the following regularities: b1) they converge more rapidly to the long-run equilibrium; b2) there is an almost monotonic relation between Mean Absolute Percentage Error values and crude quality, measured by API° gravity and sulphur concentration; c) the price of the marker is the driving variable of the crude price also in the short-run, irrespective of the specific geographical area and the quality of the crude under analysis.Oil prices, Product prices, Error correction models, Forecasting

Poisson problems for semilinear Brinkman systems on Lipschitz domains in Rn

The purpose of this paper is to combine a layer potential analysis with the Schauder fixed point theorem to show the existence of solutions of the Poisson problem for a semilinear Brinkman system on bounded Lipschitz domains in Rn (n 65 2) with Dirichlet or Robin boundary conditions and data in L2-based Sobolev spaces. We also obtain an existence and uniqueness result for the Dirichlet problem for a special semilinear elliptic system, called the Darcy\u2013Forchheimer\u2013 Brinkman system

Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants

The identification of the forces that drive stock returns and the dynamics of their associated volatilities is a major concern in empirical economics and finance. This analysis is particularly relevant for determining optimal hedging strategies based on whether shocks to the volatilities of returns of oil companies stock prices, relevant stock market indexes and oil spot and futures prices are high or low, and positively or negatively correlated. This paper investigates the correlations of volatilities in the stock price returns and their determinants for the most important integrated oil companies, namely Bp (BP), Chevron-Texaco (CVX), Eni (ENI), Exxon-Mobil (XOM), Royal Dutch (RD) and Total-Fina Elf (TFE). We measure the actual co-risk in stock returns and their determinants “within” and “between” the different oil companies, using multivariate cointegration techniques in modelling the conditional mean, as well as multivariate GARCH models for the conditional variances. We focus first on the determinants of the market value of each company using the cointegrated VAR/VECM methodology. Then we specifiy the conditional variances of VECM residuals with the Constant Conditional Correlation (CCC) multivariate GARCH model of Bollerslev (1990) and the Dynamic Conditional Correlation (DCC) multivariate GARCH model of Engle (2002). The “within” and “between” DCC indicate low to high/extreme interdependence between the volatilities of companies’ stock returns and the relevant stock market indexes or Brent oil prices.Constant conditional correlations, Dynamic conditional correlations, Multivariate GARCH models, Stock price indexes, Brent oil prices, Spot and futures prices, Multivariate cointegration, VECM

Continuity of the double layer potential of a second order elliptic differential operator in Schauder spaces on the boundary

We prove the validity of a regularizing property on the boundary of the double layer potential associated to the fundamental solution of a {\em nonhomogeneous} second order elliptic differential operator with constant coefficients in Schauder spaces of exponent greater or equal to two that sharpens classical results of N.M.~G\"{u}nter, S.~Mikhlin, V.D.~Kupradze, T.G.~Gegelia, M.O.~Basheleishvili and T.V.~Bur\-chuladze, U.~Heinemann and extends the work of A.~Kirsch who has considered the case of the Helmholtz operator.Comment: arXiv admin note: text overlap with arXiv:2103.0697

Two-parameter anisotropic homogenization for a Dirichlet problem for the Poisson equation in an unbounded periodically perforated domain:A functional analytic approach

We consider a Dirichlet problem for the Poisson equation in an unbounded period- ically perforated domain. The domain has a periodic structure, and the size of each cell is determined by a positive parameter , and the level of anisotropy of the cell is determined by a diagonal matrix with positive diagonal entries. The relative size of each periodic perforation is instead determined by a positive parameter . For a given value ̃ of , we analyze the behavior of the unique solution of the problem as (, , ) tends to (0, 0, ̃ ) by an approach which is alternative to that of asymptotic expansions and of classical homogenization theory

Two-parameter homogenization for a nonlinear periodic Robin problem for the Poisson equation:a functional analytic approach

We consider a nonlinear Robin problem for the Poisson equation in an unbounded periodically perforated domain. The domain has a periodic structure, and the size of each cell is determined by a positive parameter delta. The relative size of each periodic perforation is instead determined by a positive parameter epsilon. We prove the existence of a family of solutions which depends on epsilon and delta and we analyze the behavior of such a family as (epsilon,delta) tends to (0,0 ) by an approach which is alternative to that of asymptotic expansions and of classical homogenization theory

Oil and product price dynamics in international petroleum markets

In this paper we investigate crude oil and products price dynamics. We present a comparison among ten prices series of crude oils and fourteen price series of petroleum products, considering four distinct market areas (Mediterranean, North Western Europe, Latin America and North America) over the period 1994-2002. We provide first a complete analysis of crude oil and product price dynamics using cointegration and error correction models. Subsequently we use the error correction specification to predict crude oil prices over the horizon January 2002-June 2002.The main findings of the paper can be summarized as follows: a) differences in quality are crucial to understand the behaviour of crudes; b) prices of crude oils whose physical characteristics are more similar to the marker show the following regularities: b1) they converge more rapidly to the long-run equilibrium; b2) there is an almost monotonic relation between Mean Absolute Percentage Error values and crude quality, measured by API° gravity and sulphur concentration; c) the price of the marker is the driving variable of the crude price also in the short-run, irrespective of the specific geographical area and the quality of the crude under analysis

A functional decomposition theorem for the conformal representation

n/