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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/120976

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/120976

Title:	Jump Spillover in Energy Futures Markets: The Bayesian Viewpoint
Authors:	Liu, Qingfu 杜化宇 Tu, Anthony
Contributors:	財管系
Keywords:	Bayesian factor;energy futures;jump-diffusion model;MCMC;spillover;stochastic volatility
Date:	2009-08
Issue Date:	2018-11-21 16:29:24 (UTC+8)
Abstract:	In this paper, we investigate jump spillover effects between five energy (petroleum) futures. In order to identify the latent historical jumps of each energy futures, we use a Bayesian MCMC approach to estimate a jump-diffusion model on each energy futures. We examine the simultaneous jump intensities of pairs of energy futures and the probabilities that jumps in crude oil (and natural gas) cause jumps or usually large returns in other energy futures. In all cases, we find significant evidence of jump spillover.
Relation:	Social Science Research Network
Data Type:	article
DOI 連結:	https://dx.doi.org/10.2139/ssrn.1460492
DOI:	10.2139/ssrn.1460492
Appears in Collections:	[財務管理學系] 期刊論文

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