Structural changes and volatility transmission in crude oil markets

Title
Structural changes and volatility transmission in crude oil markets
Author(s)
강상훈[강상훈]정종철윤성민[윤성민]
Keywords
AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; STOCK MARKETS; CROSS-CORRELATIONS; GARCH MODEL; EXCHANGE; VARIANCE; ARCH
Issue Date
201111
Publisher
ELSEVIER SCIENCE BV
Citation
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.390, no.23-24, pp.4317 - 4324
Abstract
This study examines the influence of structural changes in volatility on the transmission of information in two crude oil prices. In an effort to assess the impact of these structural changes, we first identify the time points at which structural changes in volatility occurred using the ICSS algorithm, and then incorporate this information into our volatility modeling. From the estimation results using a bi-variate GARCH framework with and without structural change dummies, we find that the degree of persistence of volatility can be reduced via the incorporation of these structural changes in the volatility model. In this direction, we conclude that ignoring structural changes may distort the direction of information inflow and volatility transmission between crude oil markets. (C) 2011 Elsevier B.V. All rights reserved.
URI
http://hdl.handle.net/YU.REPOSITORY/24317http://dx.doi.org/10.1016/j.physa.2011.06.056
ISSN
0378-4371
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기초교육대학 > 교양학부 > Articles
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