Macro determinants of volatility and volatility spillover in energy markets

We analyze the time-varying volatility and spillover effects in crude oil, heating oil, and natural gas futures markets by incorporating changes in important macroeconomic variables and major political and weather-related events into the conditional variance equations. We allow asymmetric responses...

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Veröffentlicht in:	Energy economics 2014-11, Vol.46, p.413-421
Hauptverfasser:	Karali, Berna, Ramirez, Octavio A.
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied sciences Asymmetric shocks Asymmetry Crude oil Economic data Economics Energy Energy economics Energy industry Energy market Energy markets Energy resources Exact sciences and technology Fossil fuels and derived products Futures Futures market GARCH GARCH models Gas General, economic and professional studies Heating Macroeconomics Markets Mathematical analysis Methodology. Modelling Natural gas News Oil Oil market Petroleum industry Spillover effects Spillovers Studies Volatility
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