1. Ktisis Cyprus University of Technology
  2. Cyprus University of Technology (Research Output)
  3. Άρθρα/Articles
Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/10293
DC FieldValueLanguage
dc.contributor.authorMagkonis, Georgios-
dc.contributor.authorTsouknidis, Dimitris-
dc.date.accessioned2017-10-17T09:35:20Z-
dc.date.available2017-10-17T09:35:20Z-
dc.date.issued2017-07-
dc.identifier.citationInternational Review of Financial Analysis, 2017, vol. 52, pp. 104-118en_US
dc.identifier.issn10575219-
dc.identifier.urihttps://hdl.handle.net/20.500.14279/10293-
dc.description.abstractThis paper examines the existence of dynamic spillover effects across petroleum based commodities and among spot-futures volatilities, trading volume and open interest. Realized volatilities of spot-futures markets are used as inputs to estimate a VAR model following Diebold and Yilmaz (2014, 2015) and distinguish dynamic spillovers in total and net effects. Results reveal the existence of large and time-varying spillovers among the spot-futures volatilities and across petroleum-based commodities when examined pairwise. In addition, speculative pressures, as reflected by futures trading volume, and hedging pressures, as reflected by open interest, are shown to transmit large and persistent spillovers to the spot and futures volatilities of crude oil and heating oil-gasoline markets, respectively.en_US
dc.formatpdfen_US
dc.language.isoenen_US
dc.relation.ispartofInternational Review of Financial Analysisen_US
dc.rights© Elsevieren_US
dc.subjectDynamic spilloversen_US
dc.subjectSpot and futures marketsen_US
dc.subjectPetroleum marketsen_US
dc.subjectTrading volumeen_US
dc.subjectOpen interesten_US
dc.titleDynamic spillover effects across petroleum spot and futures volatilities, trading volume and open interesten_US
dc.typeArticleen_US
dc.collaborationCyprus University of Technologyen_US
dc.collaborationUniversity of Bradforden_US
dc.subject.categoryEnvironmental Engineeringen_US
dc.journalsSubscriptionen_US
dc.countryCyprusen_US
dc.countryUnited Kingdomen_US
dc.subject.fieldEngineering and Technologyen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.1016/j.irfa.2017.05.005en_US
dc.relation.volume52en_US
cut.common.academicyear2017-2018en_US
dc.identifier.spage104en_US
dc.identifier.epage118en_US
item.openairecristypehttp://purl.org/coar/resource_type/c_6501-
item.openairetypearticle-
item.cerifentitytypePublications-
item.grantfulltextnone-
item.languageiso639-1en-
item.fulltextNo Fulltext-
crisitem.journal.journalissn1057-5219-
crisitem.journal.publisherElsevier-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.facultyFaculty of Management and Economics-
crisitem.author.orcid0000-0003-1866-2590-
crisitem.author.parentorgFaculty of Management and Economics-
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