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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: http://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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