Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5102616 | Physica A: Statistical Mechanics and its Applications | 2017 | 27 Pages |
Abstract
In this paper, we investigate the jump spillover effects between oil prices and exchange rates. To identify the latent historical jumps for exchange rates and oil prices, we use a Bayesian MCMC approach to estimate the stochastic volatility model with correlated jumps in both returns and volatilities for each. We examine the simultaneous jump intensities and the conditional jump spillover probabilities between oil prices and exchange rates, finding strong evidence of jump spillover effects. Further analysis shows that the jump spillovers are mainly due to exogenous events such as financial crises and geopolitical events. Thus, the findings have important implications for financial risk management.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Xiao-Ping Li, Chun-Yang Zhou, Chong-Feng Wu,