Volatility spillovers with spatial effects in the oil and gas market (in Russian)

Efrosiniya Karatetskaya () and Valeriya Lakshina ()
Additional contact information
Efrosiniya Karatetskaya: National Research University Higher School of Economics, Moscow, Russia
Valeriya Lakshina: National Research University Higher School of Economics, Nizhni Novgorod, Russia
Authors registered in the RePEc Author Service: Efrosiniia Karatetskaia

Quantile, 2019, issue 14, 83-95

Abstract: The article is devoted to estimation of volatility spillovers in the oil and gas market accounting for cross-sectional dependence. We use data on daily stock returns of 67 companies from the oil and gas sector from 13 countries. The volatility spillovers are estimated via a spatial specification of the BEKK model. Using the Vuong test, we compare explanatory power of the spatial BEKK and non-spatial GO-GARCH and ADCC models, the Diebold-Mariano and Hansen-Lunde-Nason tests being used for evaluating the predictive ability. The Vuong test reveals equal explanatory ability of the three models at any reasonable significance level. In the out-of-sample comparison, the tests do not provide clear evidence of significant superiority of the spatial specification over the other models.

Keywords: multivariate volatility models; spatial specifications; oil and gas market; volatility spillover effects (search for similar items in EconPapers)
JEL-codes: C32 C58 Q49 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations:

Downloads: (external link)
http://quantile.ru/14/14-KL.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:qnt:quantl:y:2019:i:14:p:83-95

Access Statistics for this article

Quantile is currently edited by Stanislav Anatolyev

More articles in Quantile from Quantile
Bibliographic data for series maintained by Stanislav Anatolyev ().