Spillover effects in energy futures markets
By Sharon Lin, M. Tamvakis. 2001
171 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment
View Paper: https://www.semanticscholar.org/paper/7d00c1e5bc309a20b85b63d9723ba135b8ae7673
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In Economics and Econometrics
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In Renewable Energy, Sustainability and the Environment
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Citations in the corpus
- Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets (2010, unknown): “Volatility (or risk) is important in finance and is typically unobservable, and volatility spillovers appear to be widespread in financial markets (Milunovich and Thorp, 2006), including energy futures markets (Lin and Tamvakis, 2001).”
- Modelling dynamic conditional correlations in WTI oil forward and futures returns (2004, background): “Xiaowen and Tamvakis (2001) investigated information transmission between the NYMEX and London’s International Petroleum Exchange, and found that NYMEX was a true leader in the crude oil market.”
- Modeling and forecasting the volatility of petroleum futures prices (2013, methodology): “Modelling and forecasting petroleum futures prices and their volatility are of great interest because accurately measuring the volatility of petroleum futures prices is an important component of the price linkage between spot and futures markets (Silvapulle and Moosa, 1999; Lin and Tamvakis, 2001; H”
- Volatility Spillovers Across Petroleum Markets (2015, background): “The spillover effect between the two major markets for crude oil (NYMEX and London’s International Petroleum Exchange) has been studied by Lin and Tamvakis (2001), who found substantial spillover effects when both markets are 2The importance of crude oil can be documented by the 89.4 million…”
- Energy markets volatility modelling using GARCH (2014, methodology): “The 1990’s and early 2000’s saw several empirical studies using univariate GARCH models with energy data – the most notable include Morana (2001) and Lin and Tamvakis (2001).”