{"created":"2021-03-01T07:01:57.687233+00:00","id":42116,"links":{},"metadata":{"_buckets":{"deposit":"12914ab9-2699-457e-8d08-c48c63209561"},"_deposit":{"id":"42116","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42116"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042116","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-639","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":"The purpose of this paper is to investigate the volatility spillovers between the returns on crude oil futures and oil company stocks using alternative multivariate GARCH models, namely the CCC model of Bollerslev (1990), VARMA-GARCH model of Ling and McAleer (2003), and VARMA-AGARCH model of McAleer et al. (2008). The paper investigates WTI crude oil futures returns and the stock returns of ten oil companies, which comprise the “supermajor” group of oil companies, namely Exxon Mobil (XOM), Royal Dutch Shell (RDS), Chevron Corporation (CVX), ConocoPhillips (COP), BP (BP) and Total S.A. (TOT), and four other large oil and gas companies, namely Petrobras (PBRA), Lukoil (LKOH), Surgutneftegas (SNGS), and Eni S.p.A. (ENI). Estimates of the conditional correlations between the WTI crude oil futures returns and oil company stock returns are found to be quite low using the CCC model, while the VARMA-GARCH and VARMA-AGARCH models suggest no significant volatility spillover effects in any pairs of returns. The paper also presents evidence of the asymmetric effects of negative and positive shocks of equal magnitude on the conditional variances in all pairs of returns.","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/2009/2009cf639ab.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) 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":"96931","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"McAleer, Michael"}],"nameIdentifiers":[{"nameIdentifier":"96932","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Roengchai, Tansuchat"}],"nameIdentifiers":[{"nameIdentifier":"96933","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Multivariate GARCH","subitem_subject_scheme":"Other"},{"subitem_subject":"Asymmetries","subitem_subject_scheme":"Other"},{"subitem_subject":"Volatility spillovers","subitem_subject_scheme":"Other"},{"subitem_subject":"Crude oil futures returns","subitem_subject_scheme":"Other"},{"subitem_subject":"Oil company stock returns","subitem_subject_scheme":"Other"},{"subitem_subject":"JEL Classifications: C22, C32, G17, G32, Q43","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":"Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return"}]},"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":"42116","relation_version_is_last":true,"title":["Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:23.332919+00:00"}