英文标题：
《How does bad and good volatility spill over across petroleum markets?》
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作者：
Jozef Barunik and Evzen Kocenda and Lukas Vacha
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最新提交年份：
2014
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英文摘要：
  We detect and quantify asymmetries in volatility spillovers using the realized semivariances of petroleum commodities: crude oil, gasoline, and heating oil. During the 1987--2014 period we document increasing spillovers from volatility among petroleum commodities that substantially change after the 2008 financial crisis. The increase in volatility spillovers correlates with the progressive financialization of the commodities. In terms of asymmetries in spillovers we show that periods of increasing crude oil prices strongly correlate with dominating spillovers due to bad volatility. Overall, bad volatility due to negative returns spills over among petroleum commodities to a much larger extent than good volatility due to positive returns. After the 2008 financial crisis the asymmetries in spillovers markedly declined in terms of total as well as directional spillovers. An analysis of directional spillovers further reveals that no commodity dominates other commodities in terms of spillover transmission in general.
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中文摘要：
我们使用原油、汽油和取暖油等石油商品的已实现半方差来检测和量化波动溢出的不对称性。在1987年至2014年期间，我们记录了2008年金融危机后发生重大变化的石油大宗商品波动带来的溢出效应不断增加。波动溢出效应的增加与商品的渐进金融化相关。就溢出的不对称性而言，我们表明，原油价格上涨的时期与不良波动导致的主导溢出密切相关。总的来说，负回报导致的不良波动在石油商品中的溢出程度远远大于正回报导致的良好波动。2008年金融危机后，溢出的不对称性在总溢出和方向溢出方面都显著下降。对定向溢出的分析进一步表明，就溢出传导而言，没有一种商品在总体上主导其他商品。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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