{"created":"2021-03-01T07:01:57.549324+00:00","id":42114,"links":{},"metadata":{"_buckets":{"deposit":"74964eb2-a94b-4ed3-b9ab-ca52da62fa6a"},"_deposit":{"id":"42114","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42114"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042114","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2009-08","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-641","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-F"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"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 effects across and within the four markets, using three multivariate GARCH models, namely the CCC, VARMA-GARCH and 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 forecasted conditional correlations between pairs of crude oil returns have both positive and negative trends.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf641ab.html","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11450569","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"335","subitem_subject_scheme":"NDC"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"Department of Applied Economics National Chung Hsing University Taichung, Taiwan"},{"subitem_text_value":"Econometric Institute Erasmus School of Economics Erasmus University Rotterdam"},{"subitem_text_value":"Tinbergen Institute The Netherlands"},{"subitem_text_value":"Center for International Research on the Japanese Economy (CIRJE)"},{"subitem_text_value":"Faculty of Economics University of Tokyo"},{"subitem_text_value":"Faculty of Economics Maejo University Thailand"},{"subitem_text_value":"Faculty of Economics Chiang Mai University Thailand"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Chang, Chia-Lin"}],"nameIdentifiers":[{"nameIdentifier":"96925","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"McAleer, Michael"}],"nameIdentifiers":[{"nameIdentifier":"96926","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Roengchai, Tansuchat"}],"nameIdentifiers":[{"nameIdentifier":"96927","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Volatility spillovers","subitem_subject_scheme":"Other"},{"subitem_subject":"multivariate GARCH","subitem_subject_scheme":"Other"},{"subitem_subject":"conditional correlations","subitem_subject_scheme":"Other"},{"subitem_subject":"crude oil spot prices","subitem_subject_scheme":"Other"},{"subitem_subject":"spot returns","subitem_subject_scheme":"Other"},{"subitem_subject":"forward returns","subitem_subject_scheme":"Other"},{"subitem_subject":"futures returns, JEL Classifications: C22, C32, G17, G32","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-05-31"},"publish_date":"2013-05-31","publish_status":"0","recid":"42114","relation_version_is_last":true,"title":["Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:22.978399+00:00"}