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Статті в журналах з теми "Oil volatility transmission"
Park, Jaehwan. "Volatility Transmission between Oil and LME Futures." Applied Economics and Finance 5, no. 2 (January 21, 2018): 65. http://dx.doi.org/10.11114/aef.v5i2.2944.
Повний текст джерелаLin, Arthur J., and Hai-Yen Chang. "Volatility Transmission from Equity, Bulk Shipping, and Commodity Markets to Oil ETF and Energy Fund—A GARCH-MIDAS Model." Mathematics 8, no. 9 (September 8, 2020): 1534. http://dx.doi.org/10.3390/math8091534.
Повний текст джерелаDarinda, Dwika, and Fikri C. Permana. "Volatility Spillover Effects In Asean-5 Stock Market: Does The Different Oil Price Era Change The Pattern?" Kajian Ekonomi dan Keuangan 3, no. 2 (August 31, 2019): 116–34. http://dx.doi.org/10.31685/kek.v3i2.484.
Повний текст джерелаJin, Xiaoye, Sharon Xiaowen Lin, and Michael Tamvakis. "Volatility transmission and volatility impulse response functions in crude oil markets." Energy Economics 34, no. 6 (November 2012): 2125–34. http://dx.doi.org/10.1016/j.eneco.2012.03.003.
Повний текст джерелаSiami-Namini, Sima. "Volatility Transmission Among Oil Price, Exchange Rate and Agricultural Commodities Prices." Applied Economics and Finance 6, no. 4 (June 10, 2019): 41. http://dx.doi.org/10.11114/aef.v6i4.4322.
Повний текст джерелаAbdelhedi, Mouna, and Mouna Boujelbène-Abbes. "Transmission of shocks between Chinese financial market and oil market." International Journal of Emerging Markets 15, no. 2 (August 27, 2019): 262–86. http://dx.doi.org/10.1108/ijoem-07-2017-0244.
Повний текст джерелаPerifanis, Theodosios, and Athanasios Dagoumas. "Price and Volatility Spillovers Between the US Crude Oil and Natural Gas Wholesale Markets." Energies 11, no. 10 (October 15, 2018): 2757. http://dx.doi.org/10.3390/en11102757.
Повний текст джерелаKumar, Dilip. "On Volatility Transmission from Crude Oil to Agricultural Commodities." Theoretical Economics Letters 07, no. 02 (2017): 87–101. http://dx.doi.org/10.4236/tel.2017.72009.
Повний текст джерелаEwing, Bradley T., Farooq Malik, and Ozkan Ozfidan. "Volatility transmission in the oil and natural gas markets." Energy Economics 24, no. 6 (November 2002): 525–38. http://dx.doi.org/10.1016/s0140-9883(02)00060-9.
Повний текст джерелаKang, Sang Hoon, Chongcheul Cheong, and Seong-Min Yoon. "Structural changes and volatility transmission in crude oil markets." Physica A: Statistical Mechanics and its Applications 390, no. 23-24 (November 2011): 4317–24. http://dx.doi.org/10.1016/j.physa.2011.06.056.
Повний текст джерелаДисертації з теми "Oil volatility transmission"
Mokengoy, Mardochée Bopo. "Volatility transmission between the oil price, the exchange rate and the stock market index." Master's thesis, Université Laval, 2015. http://hdl.handle.net/20.500.11794/25856.
Повний текст джерелаThis thesis analyzes the transmission of volatility between oil prices, exchange rates and stock market indices in Canada and in the USA for the period 1999/01/04 – 2014/03/21. Using a multivariate GARCH – BEKK model, we find that in Canada, there is a bidirectional transmission of volatility between the exchange rate $US/$CAD and the stock market index TSX, a positive transmission from the stock market index to the oil price and a negative transmission from the exchange rate to the oil price. We find also that these relationships are not stable over time. For the USA, the model estimated does not satisfy the condition of covariance stationarity for the entire sample and the sub sample 1999/01/04 – 2002/10/08. So we consider only results for sub samples 2002/10/09 – 2008/05/30 and 2008/06/02 – 2014/03/21. Results show that there are transmissions of volatility, but here again, these relationships are not stable over time.
Block, Alexander Souza. "A utilização do método wavelets na análise da volatilidade dos preços do petróleo." Universidade Federal de Santa Maria, 2013. http://repositorio.ufsm.br/handle/1/4698.
Повний текст джерелаThis work seeks to analyze at different frequencies, the transmission of volatility in the prices of crude oil produced by OPEC members and other producing and exporting countries that are not part of this organization and to analyze the presence of structural breaks in dynamic correlation between crude oil spot and future prices. The Wavelets methodology employed aims to decompose the series to verify its behavior at different frequencies, revealing additional information or confirming trends. To check the transmission process of the volatility it is proposed the application of Granger Causality Test. This made it possible to understand the functioning of this important market and answer the following question: How behaves the volatility of oil prices when analyzed considering several time horizons in an analysis in the frequency domain? The analysis of volatility transmission shows a strong integration of the international oil market, the correlation structural breaks tests results shows that structural break point is not static for any analysis, it moves, depending the frequency scale and the time window.
Este trabalho busca analisar em diferentes frequências, o sentido e a transmissão da volatilidade nos preços do petróleo bruto produzido pelos países membros da OPEP (Organização dos Países Exportadores de Petróleo) e dos demais países produtores e exportadores que não fazem parte desta organização; bem como analisar a presença de quebras estruturais na correlação dinâmica entre os preços à vista e futuro do petróleo. A metodologia de Wavelets empregada tem por objetivo decompor as séries estudas a fim de verificar seu comportamento em diferentes frequências, revelando informações adicionais ou confirmando tendências observadas. Para a verificação do processo de transmissão da volatilidade foi proposta a utilização do método de Causalidade de Granger. Desta forma foi possível compreender o funcionamento deste importante mercado e responder a seguinte questão: Como se comporta a volatilidade do preço do petróleo quando se analisam variados horizontes de tempo em uma análise no domínio da frequência? A análise da transmissão da volatilidade aponta para uma forte integração do mercado internacional do petróleo, enquanto o resultado da análise das quebras na correlação mostra que o ponto de quebra estrutural não é estático para toda e qualquer análise, ele se move, dependendo da frequência e do horizonte temporal.
Kaltalioglu, Muge. "Price Transmissions Between Food And Oil." Thesis, METU, 2010. http://etd.lib.metu.edu.tr/upload/12612708/index.pdf.
Повний текст джерелаYeh, Yu-Chi, and 葉毓琪. "Volatility Transmission and Hedging Strategy between Oil Price and Commodity Futures." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/90861826960167431097.
Повний текст джерела中原大學
國際貿易研究所
97
The significant increase in demand from developing countries and speculations has pushed up oil price sharply from 2007 to mid-2008, which, in turn, has accelerated the development of alternative energy all over the world. Grains, which can be made into bio-fuels, inevitably became the highly-demanded goods. However, when oil price started to drop during late 2008, grain price fell as well. The phenomenon of co-movement between oil price and grain price has never happened before, and, hence, has seldomly been explored by researchers. This study applies multi-variate GARCH methods to analyze the transmission relationship among several price variables. Our results find that significant transmission effects do exist between oil price and grain price. The computed correlation coefficients between the variables also reveal that the correlation has risen apparently in recent years. With respect to hedging, we find that multi-GARCH can reduce risk in most cases. In addition, DCC-GARCH model can reduce much larger percentage of risk than BEKK-GARCH model does. Furthermore, cross hedging does not show to have better performance than direct hedging does. That is, direct hedging is good enough to reduce most of the risk.
Chen, Yen-Ting, and 陳彥廷. "Jump Risk and Volatility Transmission Effects between Crude Oil, REITs, Gold and Exchange." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/35515762817290832817.
Повний текст джерела淡江大學
財務金融學系碩士班
100
This study discuss the interaction between crude oil price, real estate, gold spot price and U.S. dollar exchange rate since 2005. The sample data is Texas Light Crude Oil Closing Price, U.S. Real Estate Fund Index daily quotation, Gold Spot Price and U.S. Dollar Exchange Rate daily quotation, from June 17, 2005 to September 30, 2011. In this paper, the ARJI model is the tool to explore the jump intensity and volatility spillover effects of these four financial asset, and we use the VAR model to discuss the following issue. The empirical results are as follows: 1. According to the Jarque-Bera normality test, we found that there is no significant evidence to proof the normality distribution of the four financial variables exist, and the fluctuate of the rate of return might be affected by random exception events. 2. ARJI model estimation results show that the mean return of crude oil, real estate index, gold and U.S. dollar exchange are significant at the 5% statistics level. It states that the exceptional information would be the reason of the instantaneous jumping behavior of these four financial elements, and in addition to U.S. dollar exchange rate, the jumping behavior of other variables cause by exceptional information most have negative impact on the return. 3. By the VAR test, we found the T-1 return of crude oil, real estate index, gold and U.S. dollar exchange rate are all significant, indicate that larger amount would be needed for these four financial elements to reinstate the equilibrium relationship when the equilibrium become deviate. And the T-1 return coefficients of real estate index, gold and U.S. dollar exchange rate is quite large, close to 1, indicate that the impacts of the T-1 change of these three variables to the current T term is almost completely positive correlation. For the T-1 coefficient of crude oil, Kaufmann (2004) and Hansen and Lindholt (2004) state that OPEC is powerful able to affect the price of crude oil. Therefore, we speculate that the tension in the Middle East and the war frequency might affect the West Texas crude oil price indirectly, make its impact of T-1 coefficient on the current T is not as strong as the other variables.
Книги з теми "Oil volatility transmission"
Chau, Frankie Ho-Chi. Volatility Transmission across Commodity Futures Markets. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780190656010.003.0018.
Повний текст джерелаЧастини книг з теми "Oil volatility transmission"
Atu, Nurul Nazurah, Imbarine Bujang, and Norlida Jaafar. "Shock and Volatility Transmission Between Oil Prices and Stock Returns: Case of Oil-Importing and Oil-Exporting Countries." In Proceedings of the 2nd Advances in Business Research International Conference, 111–22. Singapore: Springer Singapore, 2017. http://dx.doi.org/10.1007/978-981-10-6053-3_11.
Повний текст джерелаТези доповідей конференцій з теми "Oil volatility transmission"
Falode, Olugbenga, and Christopher Udomboso. "Efficient Crude Oil Pricing Using a Machine Learning Approach." In SPE Nigeria Annual International Conference and Exhibition. SPE, 2021. http://dx.doi.org/10.2118/207152-ms.
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