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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.



Green Inventions: Is Wait-and-see a Reasonable Option?

Tobias Stucki and Martin Woerter

Year: 2017
Volume: Volume 38
Number: Number 4
DOI: 10.5547/01956574.38.4.tstu
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Abstract:
We analyze the potential of different knowledge stocks to decrease the technological gap between the leader in green technology inventions and its followers in order to identify if wait-and-see is a reasonable option to benefit from knowledge. Our econometric results indicate that it is difficult to decrease the technological gap and remain competitive in the generation of green technologies without timely accumulating green knowledge. Although effects from external green knowledge stocks also contribute to decrease the technological gap, the effects are moderate and they cannot compensate the lack of internal green competences. Non-green knowledge stocks even tend to increase the technological gap.





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