Contagion, Volatility Persistence, and Volatility Spill-Overs: The Case of Energy Markets During the European Financial Crisis

2016 ◽  
Author(s):  
Kostas D. Andriosopoulos ◽  
Emilios C. Galariotis ◽  
Spyros I. Spyrou
Keyword(s):  
Financial Crisis ◽  
Energy Markets ◽  
Volatility Persistence

The Economic Impact of Volatility Persistence on Energy Markets

2020 ◽  
Author(s):  
Christina Sklibosios Nikitopoulos ◽  
Alice Thomas ◽  
Jian-Xin Wang
Keyword(s):  
Economic Impact ◽  
Energy Markets ◽  
Volatility Persistence

Do Fine Wines Blend with Crude Oil? Seizing the Transmission of Mean and Volatility Between Two Commodity Prices

2013 ◽  
Vol 8 (1) ◽  
pp. 49-68 ◽  
Author(s):  
Elie I. Bouri
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Commodity Prices ◽  
Oil Prices ◽  
Multivariate Model ◽  
Volatility Transmission ◽  
Volatility Persistence ◽  
Crude Oil Prices ◽  
Risk Managers ◽  
Jel Classifications

AbstractThis study applies a multivariate model to examine the dynamics of mean and volatility transmission between fine wine and crude oil prices using daily observations from January 2004 to December 2011. The results suggest that the crude oil mean determines the wine market. In each series, volatility persistence is high and significant; innovations in each market seem to include figures that are valuable to risk managers seeking to predict volatility in other markets. During the financial crisis of 2008, wine and oil conditional volatilities climbed but then returned to their overall pre-crisis levels. (JEL Classifications: G11, G15, Q14, Q40)

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