Covered Calls Indices in Crude Oil Markets

2009 ◽  
Author(s):  
Berlinda Liu ◽  
Srikant Dash
Keyword(s):  
Crude Oil ◽  
Oil Markets

scholarly journals Assessing Market Risk in BRICS and Oil Markets: An Application of Markov Switching and Vine Copula

2021 ◽  
Vol 9 (2) ◽  
pp. 30
Author(s):  
John Weirstrass Muteba Mwamba ◽  
Sutene Mwambetania Mwambi
Keyword(s):  
South Africa ◽  
Crude Oil ◽  
South African ◽  
Asset Allocation ◽  
Markov Switching ◽  
Tail Dependence ◽  
Lower Tail ◽  
Oil Market ◽  
Oil Markets ◽  
Vine Copula

This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics. For this purpose, we employ a combination of novel statistical techniques, including Vector Autoregressive (VAR), Markov-switching GJR-GARCH, and vine copula methods. Using a data set consisting of daily stock and world crude oil prices, we find evidence of a structure break in the volatility process, consisting of high and low persistence volatility processes, with a high persistence in the probabilities of transition between lower and higher volatility regimes, as well as the presence of leverage effects. Furthermore, our results based on the C-vine copula confirm the existence of two types of tail dependence: symmetric tail dependence between South Africa and China, South Africa and Russia, and South Africa and India, and asymmetric lower tail dependence between South Africa and Brazil, and South Africa and crude oil. For the purpose of diversification in these markets, we formulate an asset allocation problem using raw returns, MS GARCH returns, and C-vine and R-vine copula-based returns, and optimize it using a Particle Swarm optimization algorithm with a rebalancing strategy. The results demonstrate an inverse relationship between the risk contribution and asset allocation of South Africa and the crude oil market, supporting the existence of a lower tail dependence between them. This suggests that, when South African stocks are in distress, investors tend to shift their holdings in the oil market. Similar results are found between Russia and crude oil, as well as Brazil and crude oil. In the symmetric tail, South African asset allocation is found to have a well-diversified relationship with that of China, Russia, and India, suggesting that these three markets might be good investment destinations when things are not good in South Africa, and vice versa.

Price and volatility transmission in, and between, skimmed milk powder, livestock feed and oil markets

2017 ◽  
Vol 46 (4) ◽  
pp. 248-257 ◽  
Author(s):  
Dennis Bergmann ◽  
Declan O’Connor ◽  
Andreas Thümmel
Keyword(s):  
Crude Oil ◽  
Milk Powder ◽  
Multivariate Garch ◽  
Volatility Transmission ◽  
Crude Oil Prices ◽  
Multivariate Garch Model ◽  
Oil Markets ◽  
Skimmed Milk ◽  
Derivative Markets ◽  
Skimmed Milk Powder

Price and volatility transmission effects between European Union (EU) and World skimmed milk powder (SMP) prices, as well as those between both SMP series, soybeans and crude oil prices from 2004 to 2014 were analysed using a vector error correction model combined with a multivariate GARCH model. The results show significant transmission effects between EU and World SMP prices, but no significant transmission effects from soybeans or crude oil to either of the SMP prices. For policymakers and modellers, these results indicate the need to consider World SMP prices when considering EU prices. On the other hand, the finding of no transmission effects from soybean to SMP prices reduces the opportunity for a successful cross-hedging for dairy commodities using well-established soybean derivative markets.

Efficiency of crude oil markets: Evidences from informational entropy analysis

Energy Policy ◽  
2012 ◽  
Vol 41 ◽  
pp. 365-373 ◽  
Author(s):  
Alejandro Ortiz-Cruz ◽  
Eduardo Rodriguez ◽  
Carlos Ibarra-Valdez ◽  
Jose Alvarez-Ramirez
Keyword(s):  
Crude Oil ◽  
Entropy Analysis ◽  
Informational Entropy ◽  
Oil Markets

Volatility transmission across international markets amid COVID 19 pandemic

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Hechem Ajmi ◽  
Nadia Arfaoui ◽  
Karima Saci
Keyword(s):  
Crude Oil ◽  
International Markets ◽  
The Novel ◽  
Data Set ◽  
Health Crisis ◽  
Content Type ◽  
Volatility Transmission ◽  
Oil Markets ◽  
Novel Coronavirus ◽  
Death Cases

Purpose This paper aims to investigate the volatility transmission across stocks, gold and crude oil markets before and during the novel coronavirus (COVID-19) crisis. Design/methodology/approach A multivariate vector autoregression (VAR)-Baba, Engle, Kraft and Kroner generalized autoregressive conditional heteroskedasticity model (BEKK-GARCH) is used to assess volatility transmission across the examined markets. The sample is divided as follows. The first period ranging from 02/01/2019 to 10/03/2020 defines the pre-COVID-19 crisis. The second period is from 11/03/2020 to 05/10/2020, representing the COVID-19 crisis period. Then, a robustness test is used using exponential GARCH models after including an exogenous variable capturing the growth of COVID-19 confirmed death cases worldwide with the aim to test the accuracy of the VAR-BEKK-GARCH estimated results. Findings Results indicate that the interconnectedness among the examined market has been intensified during the COVID-19 crisis, proving the lack of hedging opportunities. It is also found that stocks and Gold markets lead the crude oil market especially during the COVID-19 crisis, which explains the freefall of the crude oil price during the health crisis. Similarly, results show that Gold is most likely to act as a diversifier rather than a hedging tool during the current health crisis. Originality/value Although the recent studies in the field focused on analyzing the relationships between different markets during the first quarter of 2020, this study considers a larger data set with the aim to assess the volatility transmission across the examined international markets Amid the COVID-19 crisis, while it shows the most significant impact on various financial markets compared to other diseases.

How Do Bitcoin Price Fluctuations Affect Crude Oil Markets ?

Gestion 2000 ◽  
2020 ◽  
Vol 37 (1) ◽  
pp. 47
Author(s):  
Olfa Kaabia ◽  
Ilyes Abid ◽  
Khaled Guesmi ◽  
Jean-Michel Sahut
Keyword(s):  
Crude Oil ◽  
Price Fluctuations ◽  
Oil Markets

Hedging the risk of travel and leisure stocks: The role of crude oil

2020 ◽  
pp. 135481662092262
Author(s):  
Naji Jalkh ◽  
Elie Bouri ◽  
Xuan Vinh Vo ◽  
Anupam Dutta
Keyword(s):  
Crude Oil ◽  
Implied Volatility ◽  
Stock Index ◽  
Model Specification ◽  
The United Kingdom ◽  
Crude Oil Prices ◽  
Oil Markets ◽  
Hedge Ratios ◽  
Correlation Process

Unlike previous studies, we examine which of the implied volatilities of US stock and crude oil markets are more suitable and effective hedge for the downside risk of US travel and leisure (T&L) stocks. Using the corrected dynamic conditional correlation process, the results show that the T&L stock index is more negatively and more consistently correlated with the implied volatility of crude oil prices, suggesting that the oil implied volatility is a more suitable hedging asset. Similar results are reported for France, the United Kingdom, and developed markets. They are robust to the frequency of the data and model specification. Furthermore, the hedge ratios vary over time, which requires a regular update of hedged positions. Importantly, the highest hedge effectiveness is associated with the oil implied volatility.

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