Volatility Spillovers Across Petroleum Markets

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F15%3A00438407" target="_blank" >RIV/67985556:_____/15:00438407 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/00216208:11230/15:10295373

Výsledek na webu

<a href="http://dx.doi.org/10.5547/01956574.37.1.jbar" target="_blank" >http://dx.doi.org/10.5547/01956574.37.1.jbar</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.5547/01956574.37.1.jbar" target="_blank" >10.5547/01956574.37.1.jbar</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Volatility Spillovers Across Petroleum Markets

Popis výsledku v původním jazyce

By using our newly defined measure, we detect and quantify asymmetries in the volatility spillovers of petroleum commodities: crude oil, gasoline, and heating oil. The increase in volatility spillovers after 2001 correlates with the progressive financialization of the commodities. Further, increasing spillovers from volatility among petroleum commodities substantially change their pattern after 2008 (the financial crisis and advent of tight oil production). After 2008, asymmetries in spillovers markedlydeclined in terms of total as well as directional spillovers. In terms of asymmetries we also show that overall volatility spillovers due to negative (price) returns materialize to a greater degree than volatility spillovers due to positive returns. Ananalysis of directional spillovers reveals that no petroleum commodity dominates other commodities in terms of general spillover transmission.

Název v anglickém jazyce

Volatility Spillovers Across Petroleum Markets

Popis výsledku anglicky

By using our newly defined measure, we detect and quantify asymmetries in the volatility spillovers of petroleum commodities: crude oil, gasoline, and heating oil. The increase in volatility spillovers after 2001 correlates with the progressive financialization of the commodities. Further, increasing spillovers from volatility among petroleum commodities substantially change their pattern after 2008 (the financial crisis and advent of tight oil production). After 2008, asymmetries in spillovers markedlydeclined in terms of total as well as directional spillovers. In terms of asymmetries we also show that overall volatility spillovers due to negative (price) returns materialize to a greater degree than volatility spillovers due to positive returns. Ananalysis of directional spillovers reveals that no petroleum commodity dominates other commodities in terms of general spillover transmission.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

<a href="/cs/project/GA14-24129S" target="_blank" >GA14-24129S: Dynamické korelace a riziko na finančních trzích</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Energy Journal

ISSN

0195-6574

e-ISSN

—

Svazek periodika

36

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

21

Strana od-do

309-329

Kód UT WoS článku

000356466100014

EID výsledku v databázi Scopus

2-s2.0-84937561944