Correlated Jumps in Crude Oil and Gasoline during the Gulf War

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Title:	Correlated Jumps in Crude Oil and Gasoline during the Gulf War
Authors:	Lee, Ming-chih;Cheng, Wan-hsiu
Contributors:	淡江大學財務金融學系
Date:	2007-04
Issue Date:	2009-11-30 17:52:39 (UTC+8)
Publisher:	Abingdon: Routledge
Abstract:	This article employs a bivariate poisson jump model to investigate the relationship between the volatility of crude oil and gasoline especially during the period of the Gulf War. We find that greater jumps occurring in crude oil returns will appear in gasoline returns at the same time, but the magnitude of the co-movements in volatility falls. The covariance is relatively smaller in the Second Gulf War vs. the first conflict. The volatility of crude oil is of significantly high levels during periods of the war, yet the volatility of gasoline is not as sensitive as crude oil, particularly in the second conflict. Furthermore, the jump that occurred by the war did not lead both spot prices to a high persistent level for a long period, which fits the feature of the jump models. All these findings are important to market traders and hedging strategies.
Relation:	Applied Economics 39(7), pp.903-913
DOI:	10.1080/00036840500474249
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Journal Article

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