| dc.contributor | 財管系 | |
| dc.creator (作者) | Liu, Qingfu | |
| dc.creator (作者) | 杜化宇 | |
| dc.creator (作者) | Tu, Anthony | |
| dc.date (日期) | 2009-08 | |
| dc.date.accessioned | 21-Nov-2018 16:29:24 (UTC+8) | - |
| dc.date.available | 21-Nov-2018 16:29:24 (UTC+8) | - |
| dc.date.issued (上傳時間) | 21-Nov-2018 16:29:24 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/120976 | - |
| dc.description.abstract (摘要) | 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. | en_US |
| dc.format.extent | 569137 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Social Science Research Network | |
| dc.subject (關鍵詞) | Bayesian factor; energy futures; jump-diffusion model; MCMC; spillover; stochastic volatility | en_US |
| dc.title (題名) | Jump Spillover in Energy Futures Markets: The Bayesian Viewpoint | en_US |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.2139/ssrn.1460492 | |
| dc.doi.uri (DOI) | https://dx.doi.org/10.2139/ssrn.1460492 | |
