Sabiia Seb
PortuguêsEspañolEnglish
Embrapa
        Busca avançada

Botão Atualizar


Botão Atualizar

Ordenar por: RelevânciaAutorTítuloAnoImprime registros no formato resumido
Registros recuperados: 2
Primeira ... 1 ... Última
Imagem não selecionada

Imprime registro no formato completo
Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis AgEcon
Du, Xiaodong; Yu, Cindy L.; Hayes, Dermot J..
This paper assesses the roles of various factors influencing the volatility of crude oil prices and the possible linkage between this volatility and agricultural commodity markets. Stochastic volatility models are applied to weekly crude oil, corn and wheat futures prices from November 1998 to January 2009. Model parameters are estimated using Bayesian Markov chain Monte Carlo methods. The main results are as follows. Speculation, scalping, and petroleum inventories are found to be important in explaining oil price variation. Several properties of crude oil price dynamics are established including mean-reversion, a negative correlation between price and volatility, volatility clustering, and infrequent compound Poisson jumps. We find evidence of volatility...
Tipo: Conference Paper or Presentation Palavras-chave: Gibbs sampling; Merton jump; Leverage effect; Stochastic volatility; Demand and Price Analysis; Financial Economics; Resource /Energy Economics and Policy; G13; Q4.
Ano: 2009 URL: http://purl.umn.edu/49276
Imagem não selecionada

Imprime registro no formato completo
Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis AgEcon
Du, Xiaodong; Yu, Cindy L.; Hayes, Dermot J..
This paper assesses the roles of various factors influencing the volatility of crude oil prices and the possible linkage between this volatility and agricultural commodity markets. Stochastic volatility models are applied to weekly crude oil, corn, and wheat futures prices from November 1998 to January 2009. Model parameters are estimated using Bayesian Markov chain Monte Carlo methods. The main results are as follows. Speculation, scalping, and petroleum inventories are found to be important in explaining oil price variation. Several properties of crude oil price dynamics are established, including mean-reversion, a negative correlation between price and volatility, volatility clustering, and infrequent compound jumps. We find evidence of volatility...
Tipo: Working or Discussion Paper Palavras-chave: Gibbs sampling; Merton jump; Leverage effect; Stochastic volatility.; Agricultural and Food Policy; Resource /Energy Economics and Policy.
Ano: 2009 URL: http://purl.umn.edu/50073
Registros recuperados: 2
Primeira ... 1 ... Última
 

Empresa Brasileira de Pesquisa Agropecuária - Embrapa
Todos os direitos reservados, conforme Lei n° 9.610
Política de Privacidade
Área restrita

Embrapa
Parque Estação Biológica - PqEB s/n°
Brasília, DF - Brasil - CEP 70770-901
Fone: (61) 3448-4433 - Fax: (61) 3448-4890 / 3448-4891 SAC: https://www.embrapa.br/fale-conosco

Valid HTML 4.01 Transitional