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 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 )

機構典藏連結
SDGS 尊嚴就業與經濟發展