bibtype J - Journal Article
ARLID 0438407
utime 20240103205430.9
mtime 20150120235959.9
WOS 000356466100014
SCOPUS 84937561944
DOI 10.5547/01956574.37.1.jbar
title (primary) (eng) Volatility Spillovers Across Petroleum Markets
specification
page_count 21 s.
serial
ARLID cav_un_epca*0250428
ISSN 0195-6574
title Energy Journal
volume_id 36
volume 3 (2015)
page_num 309-329
publisher
name International Association for Energy Economics
keyword Volatility spillovers
keyword Asymmetry
keyword Petroleum markets
author (primary)
ARLID cav_un_auth*0242028
name1 Baruník
name2 Jozef
full_dept (cz) Ekonometrie
full_dept (eng) Department of Econometrics
department (cz) E
department (eng) E
institution UTIA-B
full_dept Department of Econometrics
garant A
share 34%
fullinstit Ústav teorie informace a automatizace AV ČR, v. v. i.
author
ARLID cav_un_auth*0312139
name1 Kočenda
name2 Evžen
full_dept (cz) Ekonometrie
full_dept Department of Econometrics
department (cz) E
department E
institution UTIA-B
full_dept Department of Econometrics
share 33%
fullinstit Ústav teorie informace a automatizace AV ČR, v. v. i.
author
ARLID cav_un_auth*0101217
name1 Vácha
name2 Lukáš
full_dept (cz) Ekonometrie
full_dept Department of Econometrics
department (cz) E
department E
institution UTIA-B
full_dept Department of Econometrics
share 33%
fullinstit Ústav teorie informace a automatizace AV ČR, v. v. i.
source
url http://library.utia.cas.cz/separaty/2014/E/barunik-0438407.pdf
cas_special
project
project_id GA14-24129S
agency GA ČR
ARLID cav_un_auth*0306873
abstract (eng) 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.
reportyear 2016
RIV AH
num_of_auth 3
mrcbC52 4 A hod 4ah 20231122140737.6
permalink http://hdl.handle.net/11104/0242965
mrcbC64 1 Department of Econometrics UTIA-B 50202 ECONOMICS
confidential S
mrcbT16-e ECONOMICS|ENERGYFUELS|ENVIRONMENTALSTUDIES
mrcbT16-j 1.352
mrcbT16-s 1.834
mrcbT16-4 Q1
mrcbT16-B 80.363
mrcbT16-C 59.817
mrcbT16-D Q1
mrcbT16-E Q1
arlyear 2015
mrcbTft \nSoubory v repozitáři: barunik-0438407.pdf
mrcbU14 84937561944 SCOPUS
mrcbU34 000356466100014 WOS
mrcbU63 cav_un_epca*0250428 Energy Journal 0195-6574 1944-9089 Roč. 36 č. 3 2015 309 329 International Association for Energy Economics