Volatility transmission between the oil market and the financial market:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Potsdam
Inst. für Makroökonomik, Univ. Potsdam
2011
|
| Edition: | 1. Ausg. |
| Series: | Forschungsbericht / Institut für Makroökonomik, Universität Potsdam
11,1 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Literaturangaben |
| Physical Description: | 110 S. graph. Darst. 21 cm |
| ISBN: | 9783981242287 |
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Record in the Search Index
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|---|---|
| adam_text | IMAGE 1
11
FIDEL FARIAS
VOLATILITY TRANSMISSION IN THE SPOT OIL MARKETS
AND
THE EFFECTS ON THE COMMODITY PRICE FORMATION
CONTENTS
1 INTRODUCTION 13
2 VOLATILITY: CONCEPT AND EMPIRICAL EVIDENCE 18
2.1 DEFINITION OF PRICE VOLATILITY 18
2.2 ANALYSIS OF THE OIL PRICE VOLATILITY 19
2.3 ECONOMIC SOURCES OF PRICE VOLATILITY 20
3 METHODOLOGY 21
3.1 MODELLING OIL PRICE VOLATILITY 21
3.2 UNIVARIATE VOLATILITY MODELS 23
3.2.1 HISTORICAL VOLATILITY 23
3.2.2 ARCH 24
3.2.3 GARCH 2S
3.2.4 ARM A-GJR-G ARCH 30
3.2.5 GJR-GARCH 27
3.2.6 CONDITIONAL DISTRIBUTION 30
3.2.7 REGIME-SWITCHING MODELS 3
3.2.8 MARKOV-SWITCHING MODELS 31
3.2.9 MARKOV-SWITCHING ARCH (SWARCH) 35
3.2.10 INDICATORS OF SYNCHRONIZATION 4I
3.3 VOLATILITY TRANSMISSION MODELS - MULTIVARLATE GARCH 45
3.3.1 VECH 4S
3.3.2 BEKK 47
IMAGE 2
12
4 FINANCIAL MARKET AND OIL PRICE VOLATILITY: CONTAGION AND TRANSMISSION
CHANNELS 49
4.1 DEFINITION OF CONTAGION 49
5 EMPIRICAL RESULTS AND DISCUSSION SECTION 51
5.1 DATA DESCRIPTION 51
5.2 ESTIMATION OF OIL PRICE VOLATILITY 61
5.2.1 UNIVARIATE GARCH (1,1) AND GJR-GARCH (1,1) 64
5.3 RESULTS OF GARCH (1,1) AND GJR-GARCH (1,1) MODELS 66
5.4 VOLATILITY TRANSMISSION 70
5.4.1 MARKOV SWITCHING ESTIMATION 71
5.4.2 INDICATOR OF SYNCHRONIZATION 79
5.5 ESTIMATION OF BEKK GARCH(1,1) 84
5.5.1 TESTING FOR VOLATILITY TRANSMISSION , 86
5.5.2 EMPIRICAL RESULTS 87
6 DISCUSSION OF THE EMPIRICAL RESULTS 91
6.1 VOLATILITY TRANSMISSION CHANNEL - FINANCIAL DELEVERAGING 94
6.2 EXTENSION OF THE MODEL 95
7 CONCLUSION 96
8 BIBLIOGRAPHY 101
|
| any_adam_object | 1 |
| author | Farías, Fidel |
| author_facet | Farías, Fidel |
| author_role | aut |
| author_sort | Farías, Fidel |
| author_variant | f f ff |
| building | Verbundindex |
| bvnumber | BV037384777 |
| classification_rvk | QR 534 |
| ctrlnum | (OCoLC)725072101 (DE-599)DNB1010780689 |
| dewey-full | 332.6442282 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6442282 |
| dewey-search | 332.6442282 |
| dewey-sort | 3332.6442282 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. Ausg. |
| format | Book |
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| illustrated | Illustrated |
| indexdate | 2024-07-09T23:23:10Z |
| institution | BVB |
| isbn | 9783981242287 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-022537828 |
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| physical | 110 S. graph. Darst. 21 cm |
| publishDate | 2011 |
| publishDateSearch | 2011 |
| publishDateSort | 2011 |
| publisher | Inst. für Makroökonomik, Univ. Potsdam |
| record_format | marc |
| series2 | Forschungsbericht / Institut für Makroökonomik, Universität Potsdam |
| spelling | Farías, Fidel Verfasser aut Volatility transmission between the oil market and the financial market Fidel Farías 1. Ausg. Potsdam Inst. für Makroökonomik, Univ. Potsdam 2011 110 S. graph. Darst. 21 cm txt rdacontent n rdamedia nc rdacarrier Forschungsbericht / Institut für Makroökonomik, Universität Potsdam 11,1 Literaturangaben Transmission (DE-588)4275769-1 gnd rswk-swf Erdölmarkt (DE-588)4152694-6 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Volatilität (DE-588)4268390-7 s Transmission (DE-588)4275769-1 s Erdölmarkt (DE-588)4152694-6 s Kreditmarkt (DE-588)4073788-3 s DE-604 Institut für Makroökonomik, Universität Potsdam Forschungsbericht 11,1 (DE-604)BV035180052 11,1 SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022537828&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Farías, Fidel Volatility transmission between the oil market and the financial market Transmission (DE-588)4275769-1 gnd Erdölmarkt (DE-588)4152694-6 gnd Kreditmarkt (DE-588)4073788-3 gnd Volatilität (DE-588)4268390-7 gnd |
| subject_GND | (DE-588)4275769-1 (DE-588)4152694-6 (DE-588)4073788-3 (DE-588)4268390-7 |
| title | Volatility transmission between the oil market and the financial market |
| title_auth | Volatility transmission between the oil market and the financial market |
| title_exact_search | Volatility transmission between the oil market and the financial market |
| title_full | Volatility transmission between the oil market and the financial market Fidel Farías |
| title_fullStr | Volatility transmission between the oil market and the financial market Fidel Farías |
| title_full_unstemmed | Volatility transmission between the oil market and the financial market Fidel Farías |
| title_short | Volatility transmission between the oil market and the financial market |
| title_sort | volatility transmission between the oil market and the financial market |
| topic | Transmission (DE-588)4275769-1 gnd Erdölmarkt (DE-588)4152694-6 gnd Kreditmarkt (DE-588)4073788-3 gnd Volatilität (DE-588)4268390-7 gnd |
| topic_facet | Transmission Erdölmarkt Kreditmarkt Volatilität |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022537828&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV035180052 |
| work_keys_str_mv | AT fariasfidel volatilitytransmissionbetweentheoilmarketandthefinancialmarket |