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Volatility Spillovers Across Petroleum Markets

Jozef Baruník, Evzen Kocenda and Lukáš Vácha

Year: 2015
Volume: Volume 36
Number: Number 3
DOI: 10.5547/01956574.36.3.jbar
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Abstract:
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 markedly declined 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. An analysis of directional spillovers reveals that no petroleum commodity dominates other commodities in terms of general spillover transmission.



Analysis of mean and volatility price transmissions in the MIBEL and EPEX electricity spot markets

A Ciarreta and A Zarraga

Year: 2015
Volume: Volume 36
Number: Number 4
DOI: 10.5547/01956574.36.4.acia
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Abstract:
We use multivariate Generalized Autoregressive Conditional Heteroscedastic models to assess evidence of electricity market integration between Spain, Portugal, Austria, Germany, Switzerland and France from 7-1-2007 to 2-29-2012. Spillovers and price convergence are used as indicators of integration. Evidence of dynamic conditional correlation is found for the pairs Spain-Portugal, Germany-Austria and Switzerland-Austria. Weak evidence of integration is found between Spain-France and Germany-France since no cross volatility transmissions are estimated. There are increasing price convergence and significant mean and volatility spillovers in the rest of the country pairs. We conclude that the European Union target of achieving a single electricity market depends largely on increasing interconnections and efficient rules of market operation.



Energy and Agricultural Commodity Markets Interaction: An Analysis of Crude Oil, Natural Gas, Corn, Soybean, and Ethanol Prices

Song-Zan Chiou-Wei, Sheng-Hung Chen, and Zhen Zhu

Year: 2019
Volume: Volume 40
Number: Number 2
DOI: 10.5547/01956574.40.2.schi
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Abstract:
This paper broadens the analysis of the interactions between energy and agricultural commodity markets by focusing on five major commodities: oil, natural gas, soybean, corn, and ethanol, and intends to provide more updated information regarding the degree of the connection among the markets. We estimate a DCC-MGARCH model to accommodate the dynamic and changing degree of interconnections among the five markets with respect to price levels and price volatilities. In doing so, we control for additional economic variables including oil and gas inventories, interest rate spread, exchange rate and economic activities. Our empirical evidence suggests that there are varying degrees of interconnections among the energy and agricultural commodities in the long term as well as the short term, but the interactions among the agricultural commodities and ethanol are generally higher than the interactions between oil and gas and agricultural markets. In addition, we reveal some weak evidence of commodity market speculation. The estimated conditional volatility correlations suggest that volatility spillovers among the markets were time dependent and dynamic.





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