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Author : Fidel Farías
Publisher :
ISBN 13 : 9783981242287
Total Pages : 110 pages
Book Rating : 4.2/5 (422 download)
Download or read book Volatility Transmission Between the Oil Market and the Financial Market written by Fidel Farías and published by . This book was released on 2011 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Fidel Farias
Publisher : GRIN Verlag
ISBN 13 : 3668256152
Total Pages : 108 pages
Book Rating : 4.6/5 (682 download)
Download or read book Volatility Transmission between the Oil and Stock Markets written by Fidel Farias and published by GRIN Verlag. This book was released on 2016-07-11 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diploma Thesis from the year 2010 in the subject Economics - Finance, grade: 1,3, University of Potsdam (Makroökonomische Theorie und Politik), language: English, abstract: Besonders in jüngster Zeit kommt der Analyse von Ölpreisvolatilität aus volkswirtschaftlicher Sicht eine bedeutende Rolle zu. Gegenwärtig werden bestimmte Rohstoffe wie Rohöl als relevante Anlageinstrumenten von Investoren benutzt, um sich gegen Risiken an den Finanzmärkten abzusichern. Diese Diplomarbeit beschäftigt sich mit der Berechnung von Ölpreisvolatilität in der Zeitperiode von Januar 2002 bis Juli 2009. Dabei werden Berechnungen von Ölpreisvolatilität während der Finanzkrise im Jahre 2008 untersucht. Diese Finanzkrise hat sich tiefgreifend auf die Entwicklung der Preise von Kapital- und Finanzgütern ausgewirkt. Dabei weisen die exzessiven gemessenen Werte von Preisvolatilität während der Finanzkrise auf eine strukturelle Veränderung der Preisbildung von Kapital- und Finanzgütern an den Kapital- und Finanzmärkten hin. Interessanterweise lassen sich bei der Analyse von Ölpreisvolatilität bedeutende Fakten feststellen, deren Existenz die gegenwärtig verwendeten statistischen Modelle, die sich mit der Messung von Preisvolatilität befassen, in künftigen Arbeiten komplementieren könnten. Im Rahmen dieser Diplomarbeit werden fünf wichtige statistische Modelle analysiert: ARCH, GARCH, BEKK-GARCH und Markov-switching Modell. Dazu wird aus den Ölpreisdaten der letzten 8 Jahre die tägliche Preisvolatilität berechnet, um mögliche Relationen zwischen der Volatilität am Ölmarkt und der Volatilität am Finanzmarkt zu untersuchen. Dabei werden diese implementierten Verfahren auf ihre Gültigkeit in Berechnung und Vorhersage von plötzlichen Preisveränderungen untersucht. Insbesondere wird darauf eingegangen unter welchen Bedingungen die Verfahrensergebnisse als zuverlässig gelten. Diese Diplomarbeit wurde im Rahmen eines Forschungspraktikums bei der Organisation erdölexportierender Länder (OPEC) in Wien, Österreich unter Betreuung des Lehrstuhls für Wirtschaftstheorie der Universität Potsdam, fertiggestellt
Author : Stephane Goutte
Publisher : World Scientific
ISBN 13 : 9813278390
Total Pages : 827 pages
Book Rating : 4.8/5 (132 download)
Download or read book Handbook Of Energy Finance: Theories, Practices And Simulations written by Stephane Goutte and published by World Scientific. This book was released on 2020-01-30 with total page 827 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling the dynamics of energy markets has become a challenging task. The intensification of their financialization since 2004 had made them more complex but also more integrated with other tradable asset classes. More importantly, their large and frequent fluctuations in terms of both prices and volatility, particularly in the aftermath of the global financial crisis 2008-2009, posit difficulties for modeling and forecasting energy price behavior and are primary sources of concerns for macroeconomic stability and general economic performance.This handbook aims to advance the debate on the theories and practices of quantitative energy finance while shedding light on innovative results and technical methods applied to energy markets. Its primary focus is on the recent development and applications of mathematical and quantitative approaches for a better understanding of the stochastic processes that drive energy market movements. The handbook is designed for not only graduate students and researchers but also practitioners and policymakers.
Author : Mardochée Bopo Mokengoy
Publisher :
ISBN 13 :
Total Pages : 69 pages
Book Rating : 4.:/5 (11 download)
Download or read book Volatility Transmission Between the Oil Price, the Exchange Rate and the Stock Market Index written by Mardochée Bopo Mokengoy and published by . This book was released on 2015 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Matthias Kalkuhl
Publisher : Springer
ISBN 13 : 3319282018
Total Pages : 620 pages
Book Rating : 4.3/5 (192 download)
Download or read book Food Price Volatility and Its Implications for Food Security and Policy written by Matthias Kalkuhl and published by Springer. This book was released on 2016-04-12 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.
Author : Robert McNally
Publisher : Columbia University Press
ISBN 13 : 0231543689
Total Pages : 336 pages
Book Rating : 4.2/5 (315 download)
Download or read book Crude Volatility written by Robert McNally and published by Columbia University Press. This book was released on 2017-01-17 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: As OPEC has loosened its grip over the past ten years, the oil market has been rocked by wild price swings, the likes of which haven't been seen for eight decades. Crafting an engrossing journey from the gushing Pennsylvania oil fields of the 1860s to today's fraught and fractious Middle East, Crude Volatility explains how past periods of stability and volatility in oil prices help us understand the new boom-bust era. Oil's notorious volatility has always been considered a scourge afflicting not only the oil industry but also the broader economy and geopolitical landscape; Robert McNally makes sense of how oil became so central to our world and why it is subject to such extreme price fluctuations. Tracing a history marked by conflict, intrigue, and extreme uncertainty, McNally shows how—even from the oil industry's first years—wild and harmful price volatility prompted industry leaders and officials to undertake extraordinary efforts to stabilize oil prices by controlling production. Herculean market interventions—first, by Rockefeller's Standard Oil, then, by U.S. state regulators in partnership with major international oil companies, and, finally, by OPEC—succeeded to varying degrees in taming the beast. McNally, a veteran oil market and policy expert, explains the consequences of the ebbing of OPEC's power, debunking myths and offering recommendations—including mistakes to avoid—as we confront the unwelcome return of boom and bust oil prices.
Author : Ming-Lei Liu
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (13 download)
Download or read book How Does Oil Market Uncertainty Interact with Other Markets? An Empirical Analysis of Implied Volatility Index written by Ming-Lei Liu and published by . This book was released on 2016 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: OVX (Crude oil volatility index), as a measure of oil market uncertainty and new volatility derivatives published by CBOE (Chicago Board Options Exchange) during the 2008 global financial crisis, provides a direct prediction of the market's expectation for future 30-day crude oil price volatility. This paper investigates the short- and long-term cross-market uncertainty transmission implied by OVX and other important volatility indices which are VIX (stock market volatility index), EVZ (euro/dollar exchange rate volatility index) and GVZ (gold price volatility index). The results indicate that there are no strong long-run equilibrium relationships among these volatility indices, which indirectly verify the effectiveness of crossmarket volatility portfolio strategy for risk hedge. Furthermore, OVX is significantly influenced by other ones, which indicates that investors' volatility expectation in the oil market become more sensitive to uncertainty shocks from other markets when the global economic situation is extremely unstable. Finally, impacts of interior and exterior uncertainty shocks on OVX are found to be positive and transient. And the significant short-term uncertainty transmission between oil and other major markets has been confirmed.
Author : Sofia Ramos
Publisher : Springer
ISBN 13 : 3642553826
Total Pages : 315 pages
Book Rating : 4.6/5 (425 download)
Download or read book The Interrelationship Between Financial and Energy Markets written by Sofia Ramos and published by Springer. This book was released on 2014-08-09 with total page 315 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last decade, energy markets have developed substantially due to the growing activity of financial investors. One consequence of this massive presence of investors is a stronger link between the hitherto segmented energy and financial markets. This book addresses some of the recent developments in the interrelationship between financial and energy markets. It aims to further the understanding of the rich interplay between financial and energy markets by presenting several empirical studies that illustrate and discuss some of the main issues on this agenda.
Author : Jihad Majdoub
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (13 download)
Download or read book Volatility Spillover Among Equity Indices and Crude Oil Prices written by Jihad Majdoub and published by . This book was released on 2018 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the volatility spillover between Islamic equity markets and oil prices. We use a sample of five countries from the Gulf region. The results show that there is a reduction in the volatility spillover, particularly for the Saudi market. This can be interpreted, in our opinion, in terms of the distinguishing features of the Islamic financial intermediation mode, which is more able to alleviate the transmission of shocks to domestic markets and ensure a better stability to financial markets. The new structure of volatility spillover has important implications for international investors with respect to portfolio diversification benefits and for financial policymakers regarding contagion risks and portfolio allocative policies.
Author : Bo Guan
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (141 download)
Download or read book Asymmetric Volatility Spillover Between Crude Oil and Other Asset Markets written by Bo Guan and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study uses the Multiplicative Error Model (MEM) to explore asymmetric volatility spillovers between crude oil and other major asset markets. We have extended the MEM of Engle et al. (2012) and ddd to include asymmetric volatility spillovers and developed the spillover balance as well as asymmetric spillover indexes. We have then allowed these indexes to vary over time. Our results reveal that the stock market is the dominant contributor to volatility spillover, while the crude oil is mostly the volatility spillover recipient. The asymmetric spillover effects are predominantly negative in the stock and crude oil markets and positive in the bond market. We further show that the spillover indexes are dynamic and influenced by specific events, such as the global financial crisis and the COVID-19 pandemic, as well as varying economic conditions.
Author : Roger D. Huang
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (129 download)
Download or read book Energy Shocks and Financial Markets written by Roger D. Huang and published by . This book was released on 2014 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study analyzes the information transmission mechanism linking oil futures with stock prices, where we examine the lead and lag cross-correlations of returns in one market with the others. We investigate the dynamic interactions between oil futures prices traded on the New York Mercantile Exchange (NYMEX) and U.S. stock prices, which allows us to examine the effects of energy shocks on financial markets. In particular, we examine the extent to which these markets are contemporaneously correlated, with particular attention paid to the association of oil price indexes with the Samp;P 500 index; 12 major industry stock price indices and 3 individual oil company stock price series. We also examine the extent to which price changes or returns in one market dynamically lead returns in the others and whether volatility spillover effects exist across these markets. Using VAR model estimates for various time series of returns we find that petroleum industry stock index and our three oil company stocks are the only series where we can reject the null hypothesis that oil futures do not lead Treasury Bill rates and stock returns, while we can reject the hypothesis that oil futures lag these other two series. Finally, the return volatility evidence for oil futures leading individual oil company stocks is much weaker than is the evidence for returns themselves.
Author : Bhaskar Bagchi
Publisher : Emerald Group Publishing Limited
ISBN 13 : 9781786355546
Total Pages : 0 pages
Book Rating : 4.3/5 (555 download)
Download or read book Dynamic Linkages and Volatility Spillover written by Bhaskar Bagchi and published by Emerald Group Publishing Limited. This book was released on 2016-11-01 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and stock markets of emerging economies. Unfortunately very little research has been conducted to analyze the volatility spillovers and dynamic relationship between crude oil prices, exchange rates and stock markets of India.
Author : Kent Moors
Publisher : John Wiley & Sons
ISBN 13 : 1118077091
Total Pages : 324 pages
Book Rating : 4.1/5 (18 download)
Download or read book The Vega Factor written by Kent Moors and published by John Wiley & Sons. This book was released on 2011-04-12 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: How oil volatility is affecting the global political scene, and where the oil market is heading The world is rapidly moving towards an oil environment defined by volatility. The Vega Factor: Oil Volatility and the Next Global Crisis takes an in-depth look at the most important topics in the industry, including strategic risk, why traditional pricing mechanisms will no longer govern the market, and how the current government approaches have only worsened an already bad situation. Details the industry's players, including companies, traders, and governments Describes the priorities that will need to be revised, and the policies needed to achieve stability Explains how today's oil market is fundamentally different from the pre-crisis market Oil prices affect everyone. The Vega Factor explains the new international oil environment of increasing consolidation and decreasing competition, and reveals how consumers and investors can navigate price volatility and new government policies.
Author : Qiang Ji
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (13 download)
Download or read book How Does Oil Price Volatility Affect Non-Energy Commodity Markets? written by Qiang Ji and published by . This book was released on 2016 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: The influence of price volatility in the crude oil market is expanding to non-energy commodity markets. With the substitution of fossil fuels by bio-fuel and hedge strategies against inflation induced by high oil prices, the link between crude oil market and agriculture markets and metal markets has increased. This study measures the influence of the crude oil market on non-energy commodity markets before and after the 2008 financial crisis. By introducing the US dollar index as exogenous shocks, we investigate price and volatility spillover between commodity markets by constructing a bi-variate EGARCH model with time-varying correlation construction. The results reveal that the crude oil market has significant volatility spillover effects on non-energy commodity markets, which demonstrates its core position among commodity markets. The overall level of correlation strengthened after the crisis, which indicates that the consistency of market price trends was enhanced affected by economic recession. In addition, the influence of the US dollar index on commodity markets has weakened since the crisis.
Author : Gulin Vardar
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Shock Transmission and Volatility Spillover in Stock and Commodity Markets written by Gulin Vardar and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper employs a VAR-BEKK GARCH model to examine the shock transmission and volatility spillover (STVS) effects among daily stock market indices of the US, UK, France, Germany, Japan, Turkey, China, South Korea, South Africa and India, together with the five major commodity spot price--crude oil, natural gas, platinum, silver and gold--over the period 05 July, 2005 and 14 October, 2016, i.e., covering the pre-crisis, crisis and post global financial crisis periods. In the full period, the primary trend in advanced and emerging countries is the bidirectional STVS effects between stock and the commodity returns. However, the results also illustrate relatively less unilateral STVS effects from the commodity to stock returns, but significant unilateral STVS effects from the stock returns to the commodity returns in advanced and emerging countries. We also find more cases of significant STVS effects between commodity and stock markets in all countries during the crisis and post-crisis periods compared to the pre-crisis period. Therefore, it indicates that STVS effects are the new normal for stock and commodity markets, despite the efforts of central banks during post-global crisis period. In practical terms, our findings suggest that resource allocation decision between stocks and commodities should involve the analysis of the direction of the STVS effects in particular stock/commodity markets and cycles of the global economy.
Author : Luc Bauwens
Publisher : John Wiley & Sons
ISBN 13 : 1118272056
Total Pages : 566 pages
Book Rating : 4.1/5 (182 download)
Download or read book Handbook of Volatility Models and Their Applications written by Luc Bauwens and published by John Wiley & Sons. This book was released on 2012-03-22 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
Author : Komain Jiranyakul
Publisher :
ISBN 13 :
Total Pages : 10 pages
Book Rating : 4.:/5 (13 download)
Download or read book Does Oil Price Uncertainty Transmit to the Thai Stock Market? written by Komain Jiranyakul and published by . This book was released on 2015 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the impact of oil price volatility (uncertainty) on the Stock Exchange of Thailand. Monthly data from May 1987 to December 2013 are applied to the two-stage procedure. In the first step, a bivariate generalized autoregressive conditional heteroskedastic (GARCH) model is estimated to obtain the volatility series of stock market index and oil price. In the second step, the pairwise Granger causality tests are performed to .determine the direction of volatility transmission between oil to stock markets. It is found that movement in real oil price does not adversely affect real stock market return, but stock price volatility does affect real stock return. In addition, there exists a positive one-directional volatility transmission running from oil to stock market. It is also found that oil price movement and its uncertainty adversely affect two main sub-index returns. These important findings give some implications for risk management and policy measures.
