Information spillovers among international crude oil markets - An empirical analysis based on CCF method and ECM

Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice

Volumn 28, Issue 3, 2008, Pages

  Lu, Feng Bin ^a   Li, Yi ^b   Wang, Shuan Hong ^b   Wang, Shou Yang ^a,b  

^a CHINESE ACADEMY OF SCIENCES   (China)

^b UNIVERSITY OF CHINESE ACADEMY OF SCIENCES   (China)

Author keywords

Cointegration; Crude oil futures; ECM; GARCH; Granger causality; Information spillover; Risk spillover

Indexed keywords

COSTS; CRUDE PETROLEUM; ERROR CORRECTION; INFORMATION ANALYSIS; MATHEMATICAL MODELS; RISK ANALYSIS;

COINTEGRATION; CRUDE OIL FUTURES; ERROR CORRECTION MODEL; GRANGER CAUSALITY; INFORMATION SPILLOVER; RISK SPILLOVER;

MARKETING;

EID: 43249087617     PISSN: 10006788     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (16)

1. Granger C. Testing for causality: A personal view[J]. Journal of Economic Dynamics and Control, 1980, 2: 329-352.
2. Hong Y. A test for volatility spillover with applications to exchange rates[J]. Journal of Econometrics, 2001, 103: 183-224.
3. Bollerslev T. A generalized autoregressive conditional heteroskedasticity[J]. Journal of Econometrics, 1986, 31: 307-27.
4. Brunetti C, Gilbert C. Bivariate FIGARCH and fractional cointegration[J]. Journal of Empirical Finance, 2000, 7: 509-530.
5. Engle R, Granger C. Co-integration and error correction: Representation, estimation, and testing[J]. Econometrica, 1987, 55(2): 251-276.
6. Engle R, Russell J. Autoregressive conditional duration: A new model for irregularly spaced transaction data[J]. Econometrica, 1998, 66: 1127-1162.
7. Lin S, Tamvakis M. Spillover effects in energy futures markets[J]. Energy Economics, 2001, 23: 43-56.
8. Hammoudeh S, Li H, Jeon B. Causality and volatility spillovers among petroleum prices of WTI, gasoline and heating oil in different locations[J]. North American Journal of Economics and Finance, 2003, 14: 89-114.
9. Lin S, Tamvakis M. Effects of NYMEX trading on IPE rent crude futures markets: A duration analysis[J]. Energy Policy, 2004, 32: 77-82.
10. Hammoudeh S, Li H. The impact of the Asian crisis on the behavior of US and international petroleum prices[J]. Energy Economics, 2004, 26: 135-160.
11. Tse Y, Xiang J. Market quality and price discovery: Introduction of the E-mini energy futures[J]. Global Finance Journal, 2005, 16: 164-179.
12. Bhara R, Hamori S. Causality in variance and the type of traders in crude oil futures[J]. Energy Economics, 2005, 27: 527-539.