Speaker:Paola Zerilli, University of York

Date:March 20, 2013

Time:01:30 p.m —02:30 p.m.

Location:Room 513, Run Run Shaw Science Building, Central Campus

Sponsor:The Center for Economic Research Shandong University

Abstract:Markets for crude oil derivatives have shown high volatility particularly around the recent financial turmoil in 2008. Returns on Crude Oil Futures show heavy tails, autocorrelation, volatility clustering We exploit the distributional information embedded in high-frequency (10-minute interval) intra-day data in order to test for the presence of stochastic volatility and jumps in crude oil futures. Even the very simple Stochastic Volatility models (with diffusive shocks only but no jumps) work very well in fitting oil futures prices in this dataset where kurtosis for both returns on futures and realized volatility are around 9. We find evidence of jumps in returns.

For further information, please visit:http://www.cer.sdu.edu.cn/articleshow.php?id=2544