Jump dynamics with structural breaks for crude oil prices
Tóm tắt
Từ khóa
Tài liệu tham khảo
Ahn, 2002, Quadratic term structure models: theory and evidence, Review of Financial Studies, 15, 243, 10.1093/rfs/15.1.243
Ane, 2006, Short- and long-term components of volatility in Hong Kong stock returns, Applied Financial Economics, 16, 439, 10.1080/09603100500397203
Bai, 1998, Estimating and testing linear models with multiple structural changes, Econometrica, 66, 47, 10.2307/2998540
Bai, 2003, Computation and analysis of multiple structural change models, Journal of Applied Economics, 18, 1, 10.1002/jae.659
Balkan, 1992, Political instability, country risk and probability of default, Applied Economics, 24, 999, 10.1080/00036849200000077
Beck, 2001, Autoregressive conditional heteroscedasticity in commodity spot prices, Journal of Applied Econometrics, 16, 115, 10.1002/jae.591
Casassus, 2005, Stochastic convenience yield implied from commodity futures and interest rates, Journal of Finance, 60, 2283, 10.1111/j.1540-6261.2005.00799.x
Chan, 2002, Conditional jump dynamics in stock market returns, Journal of Business & Economic Statistics, 20, 377, 10.1198/073500102288618513
Chen, 2004, GARCH, jumps and permanent and transitory components of volatility: the case of the Taiwan exchange rate, Mathematics and Computers in Simulation, 67, 201, 10.1016/j.matcom.2004.06.006
Chiang, 2009, ‘Permanent and transitory components in the Chinese stock market: the ARJI-trend model, Emerging Markets Finance and Trade, 45, 35, 10.2753/REE1540-496X450303
Cortazar, 2003, Implementing a stochastic model for oil future prices, Energy Economics, 25, 215, 10.1016/S0140-9883(02)00096-8
Dickey, 1981, Likelihood ration statistics for autoregressive time series with a unit root, Econometrica, 49, 1057, 10.2307/1912517
Engle, 1993, A permanent and transitory component model of stock return volatility
Eraker, 2003, The impact of jumps in volatility and returns, Journal of Finance, 63, 1269, 10.1111/1540-6261.00566
Garcia, 1996, An analysis of the real interest rate under regime shifts, Review of Economics and Statistics, 78, 111, 10.2307/2109851
Gibson, 1990, Stochastic convenience yield and the pricing of oil contingent claims, Journal of Finance, 45, 959, 10.2307/2328801
Johannes, 2003, The statistical and economic role of jumps in continuous-time interest rate models, Journal of Finance, 59, 227, 10.1111/j.1540-6321.2004.00632.x
Khalaf, 2003, Simulation-based exact jump tests in models with conditional heteroskedasticity, Journal of Economic Dynamics and Control, 28, 531, 10.1016/S0165-1889(03)00034-4
Kim, 2001, ’What makes the stock market jump? An analysis of political risk on the Hong Kong stock returns’, Journal of International Money and Finance, 20, 1003, 10.1016/S0261-5606(01)00035-3
Lee, 2007, Volatility relationship between crude oil and petroleum products, International Atlantic Economic Society, 35, 97, 10.1007/s11293-006-9051-9
Liu, 1997, On segmented multivariate regressions, Statistica Sinica, 7, 497
Lumsdaine, 1997, Multiple trend breaks and the unit root hypothesis, Review of Economics and Statistics, 79, 212, 10.1162/003465397556791
Maheu, 2004, News arrival, jump dynamics and volatility components for individual stock returns, Journal of Finance, 59, 755, 10.1111/j.1540-6261.2004.00648.x
Maurece, 1961
Papell, 2000, The structure of unemployment, Review of Economics and Statistics, 82, 309, 10.1162/003465300558696
Park, 2008, Oil price shocks and stock markets in the U.S. and 13 European countries, Energy Economics, 30, 2587, 10.1016/j.eneco.2008.04.003
Pindyck, 1999, ‘The long-run evolution of energy prices’, Energy Journal, 20, 1, 10.5547/ISSN0195-6574-EJ-Vol20-No2-1
Pindyck, 2001, ‘The dynamics of commodity spot and future markets: a primer’, Energy Journal, 22, 1, 10.5547/ISSN0195-6574-EJ-Vol22-No3-1
Rapach, 2006, ‘Structural breaks and the predictive regressions models of aggregate U.S. stock returns’, Journal of Financial Econometrics, 4, 238, 10.1093/jjfinec/nbj008
Saphores, 2002, ‘On jumps and ARCH effects in natural resource prices: an application to stumpage prices from Pacific Northwest National Forests’, American Journal of Agriculture Economics, 84, 387, 10.1111/1467-8276.00305
Schwartz, 1997, The stochastic behavior of commodity prices: implications for valuation and hedging, Journal of Finance, 52, 922, 10.2307/2329512
Schwartz, 2000, ‘Short-term variations and long-term dynamics in commodity prices’, Management Science, 46, 893, 10.1287/mnsc.46.7.893.12034