Exploring the dynamic price discovery, risk transfer and spillover among INE, WTI and Brent crude oil futures markets: Evidence from the high-frequency data

2020 ◽  
Author(s):  
Yue-Jun Zhang ◽  
Shu-Jiao Ma
Keyword(s):  
Crude Oil ◽  
High Frequency ◽  
Futures Markets ◽  
Price Discovery ◽  
High Frequency Data ◽  
Frequency Data ◽  
Oil Futures ◽  
Risk Transfer ◽  
Dynamic Price ◽  
Crude Oil Futures

Investigating the risk-return trade-off for crude oil futures using high-frequency data

2017 ◽  
Vol 196 ◽  
pp. 152-161 ◽  
Author(s):  
Xu Gong ◽  
Fenghua Wen ◽  
X.H. Xia ◽  
Jianbai Huang ◽  
Bin Pan
Keyword(s):  
Crude Oil ◽  
High Frequency ◽  
High Frequency Data ◽  
Frequency Data ◽  
Oil Futures ◽  
Trade Off ◽  
Risk Return ◽  
Crude Oil Futures

Test for volatility spillover effects in Japan’s oil futures markets by a realized variance approach

2019 ◽  
Vol 36 (2) ◽  
pp. 224-239 ◽  
Author(s):  
Tadahiro Nakajima
Keyword(s):  
Crude Oil ◽  
Granger Causality ◽  
High Frequency ◽  
High Frequency Data ◽  
Volatility Spillover ◽  
Frequency Data ◽  
Oil Futures ◽  
Content Type ◽  
Daily Data ◽  
Egarch Model

Purpose The purpose of this paper is twofold. First, the paper examines the risk transmission between crude oil and petroleum product prices of Japan’s oil futures market. Second, it compares the performance of two tests for Granger causality using realized variance (RV) and the exponential generalized autoregressive conditional heteroscedasticity (EGARCH) model. Design/methodology/approach The author measures the daily RV of crude oil, kerosene and gasoline futures listed on the Tokyo Commodity Exchange using high-frequency data, and he examines the Granger causality in variance between these variables using the vector autoregression model. Further, the author estimates the EGARCH model based on daily data and test for Granger causality in variance between commodity futures using Hong’s (2001) approach. Findings The results of the RV approach reveal that the hypothesis on the existence of a mutual volatility spillover between crude oil and petroleum product markets is accepted. However, the results of the conventional approach indicate that all the hypotheses on Granger causalities in variance are rejected. The methodology based on intraday high-frequency data exhibits higher power than the conventional approach based on daily data. Originality/value This is the first paper to investigate Japan’s oil market using RV. The authors conclude that the approach based on RV is universally adoptable when testing for Granger causality in variance.

Covariance breakdowns and connectedness of crude oil futures markets with non-synchronous data

2018 ◽  
Vol 51 (5) ◽  
pp. 422-443 ◽  
Author(s):  
Jiawen Luo ◽  
Langnan Chen ◽  
Weiguo Zhang
Keyword(s):  
Crude Oil ◽  
Futures Markets ◽  
Oil Futures ◽  
Crude Oil Futures
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