Detecting volatility changes across the oil sector

Journal of Futures Markets

Volumn 16, Issue 3, 1996, Pages 313-330

  Wilson, Berry ^a   Aggarwal, Reena ^b   Inclan, Carla ^b  

^a Federal Maritime Commission   (United States)

^b GEORGETOWN UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030528206     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(sici)1096-9934(199605)16:3<313::aid-fut4>3.0.co;2-m     Document Type: Article

References (14)

1. Baillie, R. T., and Myers, R. J. (1991): "Bivariate Garch Estimation of the Optimal Commodity Futures Hedge," Journal of Applied Econometrics, 6:109-124.
2. Diebold, F. X. (1986): "Modeling Persistence in Conditional Variances: A Comment," Econometric Reviews, 5:51-56.
3. Edwards, F. R. (January-February, 1988): "Does Futures Trading Increase Stock Volatility?," Financial Analysts Journal, 63-69.
4. French, K. R., Schwert, G. W., and Stambaugh, R. F. (1987): "Expected Stock Returns and Volatility," Journal of Financial Economics, 19:3-29.
5. Inclan, Carla, and Tiao, G. C. (1994): "Use of Cumulative Sums of Squares for Retrospective Detection of Changes in Variance," Journal of the American Statistical Association, 89:913-923.
6. Kim, M., Oh, Y., and Brooks, R. (1994): "Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing," Jon mal of Financial and Quantitative Analysis, 29:609-631.
7. Lamoreux, C. G., and Lastrapes, W. D. (1990): "Persistence in Variance, Structural Change and the GARCH model," Journal of Business and Economic Statistics, 68:225-234.
8. Lastrapes, W. D. (1989): "Exchange Rate Volatility and U.S. Monetary Policy: An ARCH Application," Journal of Money, Credit, and Banking, 21:66-77.
9. Miller, M. H., and Upton, C. W. (1985a): "A Test of the Hotelling Valuation Principle," Journal of Political Economy, 93:1-25.
10. Miller, M. H., and Upton, C. W. (1985b): "The Pricing of Oil and Gas: Some Further Results," Journal of Finance, 40:1009-1020.
11. Poterba, L., and Summers, L. (1986): "The Persistence of Volatility and Stock Market Fluctuations," American Economic Review, 76:1142-1151.
12. Schwert, G. William (1989a): "Business Cycles, Financial Crises and Stock Volatility," Carnegie-Rochester Conference Series on Public Policy, 31:83-125.
13. Schwert, G. William (1989b): "Why Does Stock Market Volatility Change Over Time?" Journal of Finance, 44:1115-1153.
14. Schwert, G. William (1990): "Stock Volatility and the Crash of 1987," Review of Financial Studies, 3:77-102.