Author, as appears in the article.: Lovcha Y; Perez-Laborda A
Department: Economia
URV's Author/s: Lovcha Lovcha, Yuliya / Perez Laborda, Alejandro
Keywords: Stock markets evidence Persistence Oil Frequency domain Diebold-yilmaz Connectedness time-series range-based estimation price persistence oil natural-gas frequency dynamics frequency domain energy markets diebold-yilmaz crude-oil connectedness clean energy
Abstract: Return volatility usually presents a degree of persistence, which, although still consistent with an essential stationary process, cannot be adequately captured by standard autoregressive specifications. In this study, we examine the transmission mechanism across petroleum volatilities accounting for this stylized fact. To do so, we compute both time and frequency domain measures of connectedness based on variance decompositions from a fractionally integrated VAR (FIVAR). Our main findings summarize: (1) there is strong evidence of long-memory in petroleum volatilities, but no evidence of infinite variances; (2) an adequate quantification of spillovers must consider long-memory persistence explicitly; (3) spillovers are relatively high, but considerably lower than predicted in the traditional short-memory framework, especially at low frequencies. Thus, accounting for long-memory has asymmetric implications for different market participants.
Thematic Areas: Thermodynamics Renewable energy, sustainability and the environment Química Pollution Modeling and simulation Medicina iii Medicina ii Mechanical engineering Materiais Management, monitoring, policy and law Interdisciplinar Industrial and manufacturing engineering Geografía Geociências General energy Fuel technology Engineering, chemical Engenharias iv Engenharias iii Engenharias ii Engenharias i Energy engineering and power technology Energy (miscellaneous) Energy (all) Energy & fuels Electrical and electronic engineering Economia Civil and structural engineering Ciências ambientais Ciências agrárias i Ciência de alimentos Ciência da computação Building and construction Biotecnología Biodiversidade Administração pública e de empresas, ciências contábeis e turismo
licence for use: https://creativecommons.org/licenses/by/3.0/es/
Author's mail: alejandro.perez@urv.cat yuliya.lovcha@urv.cat
Author identifier: 0000-0003-4247-598X 0000-0002-0481-7785
Record's date: 2024-02-25
Papper version: info:eu-repo/semantics/publishedVersion
Link to the original source: https://www.sciencedirect.com/science/article/pii/S0360544221031996
Licence document URL: http://repositori.urv.cat/ca/proteccio-de-dades/
Papper original source: Energy. 243
APA: Lovcha Y; Perez-Laborda A (2022). Long-memory and volatility spillovers across petroleum futures. Energy, 243(), -. DOI: 10.1016/j.energy.2021.122950
Article's DOI: 10.1016/j.energy.2021.122950
Entity: Universitat Rovira i Virgili
Journal publication year: 2022
Publication Type: Journal Publications
Repositori URV