期刊論文
| 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 | en |
| ISSN | 0003-6846; 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 | 是 |
| 國別 | GBR |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/23763 ) |