Journal article
Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate
Energy economics, v 48, pp 46-60
01 Mar 2015
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper investigates the influence of structural changes on the asymmetry of volatility spillovers, asset allocation and portfolio diversification between the USD/euro exchange market and each of six major spot petroleum markets including WTI, Europe Brent, kerosene, gasoline and propane. Using the bivariate DCC-EGARCH model with and without structural change dummies, the results provide evidence of significant asymmetric volatility spillovers between the U.S. dollar exchange rate and the petroleum markets. Moreover, the model with the structural breaks reduces the degree of volatility persistence and leads to more appropriate hedging and asset allocation strategies for all pairs considered. Thus, the findings have important implications for financial risk management. (C) 2014 Elsevier B.V. All rights reserved.
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Details
- Title
- Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate
- Creators
- Walid Mensi - Department of Finance and Accounting, University of Tunis El Manar, B.P. 248, C.P. 2092 Tunis Cedex, TunisiaShawkat Hammoudeh - Drexel UniversitySeong-Min Yoon - Pusan National University
- Publication Details
- Energy economics, v 48, pp 46-60
- Publisher
- Elsevier
- Number of pages
- 15
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000352252600006
- Scopus ID
- 2-s2.0-84920913986
- Other Identifier
- 991019167832904721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Economics