کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5064273 1476709 2016 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Volatility and a century of energy markets dynamics
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی (عمومی)
پیش نمایش صفحه اول مقاله
Volatility and a century of energy markets dynamics
چکیده انگلیسی


- We use univariate and multivariate volatility models to model hydrocarbon prices.
- We use annual United States data that span over a century, from 1870 to 2014.
- We find strong ARCH and GARCH effects in the univariate and multivariate models.
- A VARMA, GARCH-in-Mean, BEKK model confirms significant spillover effects.
- The results are of interest to participants in oil, natural gas, and coal markets.

How similar is the price behavior of oil, natural gas, and coal? Are there any interactions among these three fuel prices and their volatilities? Using the Yatchew and Dimitropoulos (2016) annual data for the United States, over the period from 1870 to 2014, and state-of-the-art econometric methodology, we explore for spillovers and interactions among the three energy markets. In doing so, we use a range of univariate and multivariate volatility models. The key contribution to the literature is the estimation of a trivariate BEKK model that allows for the interdependence of oil, natural gas, and coal returns and volatilities, using the longest span prices that have ever been studied before.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 55, March 2016, Pages 1-9
نویسندگان
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