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 |
|
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 |
|
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 |
|