贵金属和石油实现的波动性之间的动态溢出：来自分位数扩展的联合连通性度量的证据

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2023-06-01 DOI:10.1016/j.jcomm.2023.100327

Juncal Cunado , Ioannis Chatziantoniou , David Gabauer , Fernando Perez de Gracia , Marfatia Hardik

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引用次数: 0

摘要

本文提出了一个新的分位数向量自回归扩展联合连通性框架，利用2006年5月1日至2021年6月18日的每日数据来检验石油和贵金属商品之间已实现的波动溢出。我们的研究结果表明，原油是所有四分位数网络中冲击的主要净传递者。随着时间的推移，动态的整体连通性是异质的，并由经济事件驱动。有趣的是，我们发现四分位数越高，实现的波动性的净传递机制就越明显。值得注意的是，净总方向性和成对连通性度量在大多数情况下说明了类似的动态。

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Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures

This paper proposes a novel quantile vector autoregressive extended joint connectedness framework to examine realized volatilities spillovers between oil and precious metals commodities using daily data from May 1st, 2006 until June 18th, 2021. Our findings suggest that crude oil is the main net transmitter of shocks in the network across all quartiles. The dynamic total connectedness is heterogeneous over time and driven by economic events. Interestingly, we see that the higher the quartile the more pronounced the net transmission mechanisms of realized volatilities. Notably, the net total directional and pairwise connectedness measures illustrate in most cases similar dynamics.

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.