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Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets
http://hdl.handle.net/2261/33400
http://hdl.handle.net/2261/33400133fb36d-b47c-455e-9354-e83293bee149
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Volatility spillovers | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | multivariate GARCH | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | conditional correlation | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | crude oil prices | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | spot returns | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | forward returns | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | futures returns | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | JEL Classifications: C22, C32, G17, G32. | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Chang, Chialin Michael McAleer and Roengchai Tansuchat
× Chang, Chialin Michael McAleer and Roengchai Tansuchat |
|||||
著者所属 | ||||||
著者所属 | Department of Applied Economics National Chung Hsing University Taichung, Taiwan | |||||
著者所属 | ||||||
著者所属 | Econometric Institute Erasmus School of Economics Erasmus University Rotterdam | |||||
著者所属 | ||||||
著者所属 | Tinbergen Institute The Netherlands | |||||
著者所属 | ||||||
著者所属 | Roengchai Tansuchat Faculty of Economics Maejo University Thailan | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over a decade, and is crucial for forecasting volatility and Value-at- Risk (VaR). There are four major benchmarks in the international oil market, namely West Texas Intermediate (USA), Brent (North Sea), Dubai/Oman (Middle East), and Tapis (Asia- Pacific), which are likely to be highly correlated. This paper analyses the volatility spillover and asymmetric effects across and within the four markets, using three multivariate GARCH models, namely the constant conditional correlation (CCC), vector ARMA-GARCH (VARMA-GARCH) and vector ARMA-asymmetric GARCH (VARMA-AGARCH) models. A rolling window approach is used to forecast the 1-day ahead conditional correlations. The paper presents evidence of volatility spillovers and asymmetric effects on the conditional variances for most pairs of series. In addition, the forecast conditional correlations between pairs of crude oil returns have both positive and negative trends. Moreover, the optimal hedge ratios and optimal portfolio weights of crude oil across different assets and market portfolios are evaluated in order to provide important policy implications for risk management in crude oil markets. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-718, 発行日 2010-02 |
|||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf718ab.html |