英文文献：Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis-原油和农产品市场的投机和波动溢出:贝叶斯分析
英文文献作者：Du, Xiaodong,Yu, Cindy L.,Hayes, Dermot J.
英文文献摘要：
This paper assesses the roles of various factors influencing the volatility of crude oil prices and the possible linkage between this volatility and agricultural commodity markets. Stochastic volatility models are applied to weekly crude oil, corn and wheat futures prices from November 1998 to January 2009. Model parameters are estimated using Bayesian Markov chain Monte Carlo methods. The main results are as follows. Speculation, scalping, and petroleum inventories are found to be important in explaining oil price variation. Several properties of crude oil price dynamics are established including mean-reversion, a negative correlation between price and volatility, volatility clustering, and infrequent compound Poisson jumps. We find evidence of volatility spillover among crude oil, corn and wheat markets after the fall of 2006. This could be largely explained by tightened interdependence between these markets induced by ethanol production.

本文评估了影响原油价格波动的各种因素的作用，以及这种波动与农产品市场之间的可能联系。将随机波动率模型应用于1998年11月至2009年1月原油、玉米和小麦期货的周价格。利用贝叶斯马尔科夫链蒙特卡罗方法估计模型参数。主要结果如下。研究发现，投机、倒卖和石油库存在解释油价变动中起着重要作用。建立了原油价格动态的一些性质，包括均值回归、价格与波动率之间的负相关、波动率聚类和罕见的复合泊松跳。我们发现了2006年秋季后原油、玉米和小麦市场波动溢出的证据。这在很大程度上可以解释为乙醇生产导致这些市场之间的相互依赖更加紧密。