Počet záznamů: 1
Volatility Spillovers Across Petroleum Markets
- 1.
SYSNO ASEP 0438407 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Volatility Spillovers Across Petroleum Markets Tvůrce(i) Baruník, Jozef (UTIA-B) RID, ORCID
Kočenda, Evžen (UTIA-B) ORCID
Vácha, Lukáš (UTIA-B) RIDCelkový počet autorů 3 Zdroj.dok. Energy Journal. - : International Association for Energy Economics - ISSN 0195-6574
Roč. 36, č. 3 (2015), s. 309-329Poč.str. 21 s. Jazyk dok. eng - angličtina Země vyd. US - Spojené státy americké Klíč. slova Volatility spillovers ; Asymmetry ; Petroleum markets Vědní obor RIV AH - Ekonomie CEP GA14-24129S GA ČR - Grantová agentura ČR UT WOS 000356466100014 EID SCOPUS 84937561944 DOI 10.5547/01956574.37.1.jbar Anotace 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. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2016
Počet záznamů: 1