Volatility spillovers

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dc.contributor.author Ben Sita, Bernard
dc.contributor.author Abosedra, Salah
dc.date.accessioned 2016-12-15T08:04:58Z
dc.date.available 2016-12-15T08:04:58Z
dc.date.copyright 2012 en_US
dc.date.issued 2016-12-15
dc.identifier.issn 0892-7626 en_US
dc.identifier.uri http://hdl.handle.net/10725/4947 en_US
dc.description.abstract This paper provides evidence on the lead, the contemporaneous and the lagged transmission mechanism of extreme shocks across energy products. Our findings reveal a weak leadership of crude oil in guiding hedgers against risk that is specific to natural gas whose changes show a weak reliance on changes in crude oil. Moreover, our findings are consistent with the competitive use of energy products. It follows that substitutability characterizes the relationship between heating oil and natural gas when extreme standardized shocks are considered. en_US
dc.language.iso en en_US
dc.title Volatility spillovers en_US
dc.type Article en_US
dc.description.version Published en_US
dc.title.subtitle evidence on U.S. oil product markets en_US
dc.author.school SOB en_US
dc.author.idnumber 200603722 en_US
dc.author.department Department of Finance and Accounting (FINA) en_US
dc.description.embargo N/A en_US
dc.relation.journal Journal of Applied Business Research (JABR) en_US
dc.journal.volume 28 en_US
dc.journal.issue 6 en_US
dc.article.pages 1237-1242 en_US
dc.keywords GARCH en_US
dc.keywords Oil products en_US
dc.keywords Natural Gas en_US
dc.keywords Volatility spillovers en_US
dc.identifier.doi http://dx.doi.org/10.19030/jabr.v28i6.7339 en_US
dc.identifier.ctation Sita, B. B., & Abosedra, S. (2012). Volatility Spillovers: Evidence On US Oil Product Markets. Journal of Applied Business Research (JABR), 28(6), 1237-1242. en_US
dc.identifier.tou http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php en_US
dc.identifier.url http://www.cluteinstitute.com/ojs/index.php/JABR/article/view/7339 en_US
dc.author.affiliation Lebanese American University en_US

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