Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach
Hyun Jin Jang,
Kiseop Lee and
Journal of Futures Markets, 2020, vol. 40, issue 2, 247-275
We propose the Hawkes flocking model that assesses systemic risk in high‐frequency processes at the two perspectives—endogeneity and interactivity. We examine the futures markets of West Texas Intermediate (WTI) crude oil and gasoline for the past decade, and perform a comparative analysis with conditional value‐at‐risk as a benchmark measure. In terms of high‐frequency structure, we derive the empirical findings. The endogenous systemic risk in WTI was significantly higher than that in gasoline, and the level at which gasoline affects WTI was constantly higher than that in the opposite case. Moreover, although the relative influence's degree was asymmetric, its difference has gradually reduced.
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:40:y:2020:i:2:p:247-275
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314
Access Statistics for this article
Journal of Futures Markets is currently edited by Robert I. Webb
More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().