Jump Spillover in Energy Futures Markets: The Bayesian Viewpoint

41 Pages Posted: 24 Aug 2009

See all articles by Qingfu Liu

Qingfu Liu

Independent

Anthony Tu

National Chengchi University

Date Written: August 24, 2009

Abstract

In this paper, we investigate jump spillover effects between five energy (petroleum) futures. In order to identify the latent historical jumps of each energy futures, we use a Bayesian MCMC approach to estimate a jump-diffusion model on each energy futures. We examine the simultaneous jump intensities of pairs of energy futures and the probabilities that jumps in crude oil (and natural gas) cause jumps or usually large returns in other energy futures. In all cases, we find significant evidence of jump spillover.

Keywords: Bayesian factor, energy futures, jump-diffusion model, MCMC, spillover, stochastic volatility

JEL Classification: C11, Q40

Suggested Citation

Liu, Qingfu and Tu, Anthony, Jump Spillover in Energy Futures Markets: The Bayesian Viewpoint (August 24, 2009). Available at SSRN: https://ssrn.com/abstract=1460492 or http://dx.doi.org/10.2139/ssrn.1460492

Qingfu Liu

Independent ( email )

Anthony Tu (Contact Author)

National Chengchi University ( email )

No. 64, Chih-Nan Road
Section 2
Wenshan, Taipei 11623
Taiwan

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