| 来源类型 | FEEM working papers "Note di lavoro" series |
| 规范类型 | 论文 |
| Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns | |
| Matteo Manera; Alessandro Lanza; Michael McAleer | |
| 发表日期 | 2004 |
| 出处 | Energy: Resources and Markets |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | This paper estimates the dynamic conditional correlations in the returns on WTI oil one-month forward prices, and one-, three-, six-, and twelve-month futures prices, using recently developed multivariate conditional volatility models. The dynamic correlations enable a determination of whether the forward and various futures returns are substitutes or complements, which are crucial for deciding whether or not to hedge against unforeseen circumstances. The models are estimated using daily data on WTI oil forward and futures prices, and their associated returns, from 3 January 1985 to 16 January 2004. At the univariate level, the estimates are statistically significant, with the occasional asymmetric effect in which negative shocks have a greater impact on volatility than positive shocks. In all cases, both the short- and long-run persistence of shocks are statistically significant. Among the five returns, there are ten conditional correlations, with the highest estimate of constant conditional correlation being 0.975 between the volatilities of the three-month and six-month futures returns, and the lowest being 0.656 between the volatilities of the forward and twelve-month futures returns. The dynamic conditional correlations can vary dramatically, being negative in four of ten cases and being close to zero in another five cases. Only in the case of the dynamic volatilities of the three-month and six-month futures returns is the range of variation relatively narrow, namely (0.832, 0.996). Thus, in general, the dynamic volatilities in the returns in the WTI oil forward and future prices can be either independent or interdependent over time. |
| 特色分类 | C32,G10,Q40 |
| 关键词 | Constant conditional correlations,Dynamic conditional correlations,Multivariate |
| URL | https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/modelling-dynamic-conditional-correlations-in-wti-oil-forward-and-futures-returns/ |
| 来源智库 | Fondazione Eni Enrico Mattei (Italy) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/117023 |
| 推荐引用方式 GB/T 7714 | Matteo Manera,Alessandro Lanza,Michael McAleer. Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns. 2004. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| NDL2004-072.pdf（533KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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