中国科学院机构知识库网格
Chinese Academy of Sciences Institutional Repositories Grid
首页 机构 成果 学者
  
  1. CAS IR Grid
  2. 数学与系统科学研究院
  3. 中国科学院数学与系统科学研究院
  4. 系统科学研究所
Time-Varying Volatility Feedback of Energy Prices: Evidence from Crude Oil, Petroleum Products, and Natural Gas Using a TVP-SVM Model

文献类型：期刊论文

作者Jiang, Yong1; Ma, Chao-Qun1,2; Yang, Xiao-Guang3; Ren, Yi-Shuai1,2
刊名SUSTAINABILITY
出版日期2018-12-01
卷号10期号:12页码:17
关键词crude oil natural gas petroleum product structural breaks time-varying volatility feedback TVP-SVM model
ISSN号2071-1050
DOI10.3390/su10124705
英文摘要In this paper, the time-varying volatility feedback of nine series of energy prices is researched by employing the time-varying parameter stochastic volatility in mean (TVP-SVM) model. The major findings and conclusions can be grouped as follows: Significant differences exist in the time-varying volatility feedback among the nine major energy productions. Specifically, crude oil and diesel's price volatility has a remarkable positive time-varying effect on their returns. Yet the returns, for natural gas and most petroleum products are negatively affected by their price volatility over time. Furthermore, obvious structural break features exist in the time-varying volatility feedback of energy prices, which coincide with the breakpoints in the energy volatility. This indicates that some factors such as major global economic and geopolitical events that cause the sudden structural breaks in the energy volatility may also affect the volatility feedback of the energy price. Moreover, the volatility feedback in energy price will become weak and even have no impact on energy returns in some special periods when the energy price volatility is extremely high.
资助项目National Natural Science Foundation of China[71431008] ; National Natural Science Foundation of China[71521061] ; National Natural Science Foundation of China[71790593] ; Department of Science and Technology of Hunan province[2018GK1020]
WOS研究方向Science & Technology - Other Topics ; Environmental Sciences & Ecology
语种英语
WOS记录号WOS:000455338100371
出版者MDPI
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/32248]  
专题系统科学研究所
通讯作者Ma, Chao-Qun; Yang, Xiao-Guang; Ren, Yi-Shuai
作者单位1.Hunan Univ, Business Sch, Changsha 410082, Hunan, Peoples R China
2.Hunan Univ, Ctr Resource & Environm Management, Changsha 410082, Hunan, Peoples R China
3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Jiang, Yong,Ma, Chao-Qun,Yang, Xiao-Guang,et al. Time-Varying Volatility Feedback of Energy Prices: Evidence from Crude Oil, Petroleum Products, and Natural Gas Using a TVP-SVM Model[J]. SUSTAINABILITY,2018,10(12):17.
APA Jiang, Yong,Ma, Chao-Qun,Yang, Xiao-Guang,&Ren, Yi-Shuai.(2018).Time-Varying Volatility Feedback of Energy Prices: Evidence from Crude Oil, Petroleum Products, and Natural Gas Using a TVP-SVM Model.SUSTAINABILITY,10(12),17.
MLA Jiang, Yong,et al."Time-Varying Volatility Feedback of Energy Prices: Evidence from Crude Oil, Petroleum Products, and Natural Gas Using a TVP-SVM Model".SUSTAINABILITY 10.12(2018):17.

入库方式： OAI收割

来源：数学与系统科学研究院

浏览0
下载0
收藏0
其他版本

除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。