Arbeitspapier
Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China
The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers (namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility in another physical or financial asset) between the oil and financial markets. The oil industry has four major regions, namely North Sea, USA, Middle East, and South-East Asia. Associated with these regions are two major financial centers, namely UK and USA. For these reasons, the data to be used are the returns on alternative crude oil markets, returns on crude oil derivatives, specifically futures, and stock index returns in UK and USA. The paper will also analyze the Chinese financial markets, where the data are more recent. The empirical analysis will be based on the diagonal BEKK model, from which the conditional covariances will be used for testing co-volatility spillovers, and policy recommendations. Based on these results, dynamic hedging strategies will be suggested to analyze market fluctuations in crude oil prices and associated financial markets.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 16-053/III
- Klassifikation
-
Wirtschaft
Financial Econometrics
General Equilibrium and Disequilibrium: Financial Markets
Contingent Pricing; Futures Pricing; option pricing
Capital Budgeting; Fixed Investment and Inventory Studies; Capacity
Economic Development: Agriculture; Natural Resources; Energy; Environment; Other Primary Products
- Thema
-
Co-volatility spillovers
crude oil
financial markets
spot
futures
diagonal BEKK
optimal dynamic hedging
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chang, Chia-Lin
McAleer, Michael
Tian, Jiarong
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Chang, Chia-Lin
- McAleer, Michael
- Tian, Jiarong
- Tinbergen Institute
Entstanden
- 2016
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