教師資料查詢 | 類別: 期刊論文 | 教師: 李命志 LEE, MING-CHIH (瀏覽個人網頁)

標題:Correlated Jumps in Crude Oil and Gasoline during the Gulf War
學年95
學期2
出版(發表)日期2007/04/01
作品名稱Correlated Jumps in Crude Oil and Gasoline during the Gulf War
作品名稱(其他語言)
著者Lee, Ming-chih; Cheng, Wan-hsiu
單位淡江大學財務金融學系
出版者Abingdon: Routledge
著錄名稱、卷期、頁數Applied Economics 39(7), pp.903-913
摘要This article employs a bivariate poisson jump model to investigate the relationship between the volatility of crude oil and gasoline especially during the period of the Gulf War. We find that greater jumps occurring in crude oil returns will appear in gasoline returns at the same time, but the magnitude of the co-movements in volatility falls. The covariance is relatively smaller in the Second Gulf War vs. the first conflict. The volatility of crude oil is of significantly high levels during periods of the war, yet the volatility of gasoline is not as sensitive as crude oil, particularly in the second conflict. Furthermore, the jump that occurred by the war did not lead both spot prices to a high persistent level for a long period, which fits the feature of the jump models. All these findings are important to market traders and hedging strategies.
關鍵字
語言英文
ISSN0003-6846; 1466-4283
期刊性質國外
收錄於SSCI
產學合作
通訊作者Cheng, Wan-hsiu
審稿制度
國別英國
公開徵稿
出版型式紙本
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