Template-type: ReDIF-Paper 1.0
Author-Name: Chia-Lin Chang
Author-Email: changchialin@nchu.edu.tw
Author-Workplace-Name: Department of Applied Economics Department of Finance National Chung Hsing University Taichung, Taiwan.
Author-Name: Michael McAleer
Author-Workplace-Name: Department of Quantitative Finance National Tsing Hua University, Taiwan and Econometric Institute, Erasmus 
	School of Economics Erasmus University Rotterdam and Tinbergen Institute, The Netherlands and Department of Quantitative 
	Economics Complutense University of Madrid, Spain.
Author-Name: Jiarong Tian
Author-Workplace-Name: Department of Quantitative Finance National Tsing Hua University Taiwan.
Title: Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China
Abstract: The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility 
	spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers 
	(namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or 
	co-volatility in another physical or financial asset) between the oil and financial markets. The oil industry has four major 
	regions, namely North Sea, USA, Middle East, and South-East Asia. Associated with these regions are two major financial 
	centers, namely UK and USA. For these reasons, the data to be used are the returns on alternative crude oil markets, returns 
	on crude oil derivatives, specifically futures, and stock index returns in UK and USA. The paper will also analyze the 
	Chinese financial markets, where the data are more recent. The empirical analysis will be based on the diagonal BEKK model, 
	from which the conditional covariances will be used for testing co-volatility spillovers, and policy recommendations. Based 
	on these results, dynamic hedging strategies will be suggested to analyze market fluctuations in crude oil prices and 
	associated financial markets.
Classification-JEL: C58, D53, G13, G31, O13
Keywords: Co-volatility spillovers, Crude oil, Financial markets, Spot, Futures, Diagonal BEKK, Optimal dynamic hedging.
Length: 46 pages 
Creation-Date: 2016-06
Number: 2016-09
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1609.txt
File-URL: https://eprints.ucm.es/id/eprint/38280/1/1609.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1609