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  • Volatility transmission in energy futures markets

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    102170_1.pdf (336.9Kb)
    Author(s)
    Todorova, Neda
    Soucek, Michael
    Griffith University Author(s)
    Todorova, Neda
    Year published
    2014
    Metadata
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    Abstract
    This study is novel in the application of a multivariate HAR-GARCH model for studying volatility transmission patterns in energy futures markets. In particular, the nature of volatility spillovers between futures on crude oil, natural gas and gas-oil is examined using range-based volatility proxies and splitting volatility in components defined over different time horizons. The results provide evidence that crude oil futures carry significant information for the volatility evolution of other energy futures traded on the ICE and reveal interesting insights in the sources of the documented volatility interrelations. Short-term ...
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    This study is novel in the application of a multivariate HAR-GARCH model for studying volatility transmission patterns in energy futures markets. In particular, the nature of volatility spillovers between futures on crude oil, natural gas and gas-oil is examined using range-based volatility proxies and splitting volatility in components defined over different time horizons. The results provide evidence that crude oil futures carry significant information for the volatility evolution of other energy futures traded on the ICE and reveal interesting insights in the sources of the documented volatility interrelations. Short-term shocks in Brent oil volatility significantly affect the volatility of gas-oil futures, while the impact of oil and gas-oil on natural gas is driven by the long-term volatility component. Additionally, Brent oil and gas-oil ICE futures volatilities exhibit strong positive dynamic correlation, whereas the remaining pairwise correlation curves are fluctuating around zero.
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    Journal Title
    The Journal of Energy Markets
    Volume
    7
    Issue
    3
    DOI
    https://doi.org/10.2139/ssrn.2132267
    Copyright Statement
    © 2014 Incisive Media. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Please refer to the journal website for access to the definitive, published version.
    Subject
    Financial Econometrics
    Electrical and Electronic Engineering
    Applied Economics
    Publication URI
    http://hdl.handle.net/10072/69079
    Collection
    • Journal articles

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