Repository logo
Documentos

Documentos

Libros

Libros

Investigadores

Investigadores

Grupos

Grupos

Universidades

Universidades

Nosotros

Nosotros

 

Spillovers beyond the variance: exploring the natural gas and oil higher order risk linkages with the global financial markets

Simple item page
dc.audienceResearcherseng
dc.audienceStudentseng
dc.audienceTeacherseng
dc.audience
dc.contributor.institucionUniversidad de la Sabanaspa
dc.coverage.ciudadBogotáspa
dc.creatorGomez-Gonzalez, Jose Eduardospa
dc.creatorHirs-Garzon, Jorgespa
dc.creatorUribe, Jorge M.spa
dc.date.accessioned2020-06-03T14:07:46Zspa
dc.date.available2020-06-03T14:07:46Zspa
dc.date.created2020-06-03spa
dc.description.abstractWe explore the higher order linkages between energy commodity markets and global financial markets. Our focus is on spillovers of realized good and bad volatilities, realized signed jump variation, realized skewness and realized kurtosis. Our results show that the measurement of risk spillovers is sensitive to the definition of risk used in their construction. Asymmetries between good and bad volatility transmission matter, and results when jumps and higher order risk measures are considered are substantially different from those obtained when traditional volatility measures are used. We provide empirical support for theoretical asset pricing models that conduct the optimization required for portfolio balancing in the mean-variance-skewness space by showing that risk diversification opportunities vary greatly when one considers variance or skewness as the fundamental proxy for riskeng
dc.format.extent33 páginasspa
dc.format.mimetypePDFspa
dc.identifier.urihttp://repositorio.redinvestigadores.org/Riec/67spa
dc.language.isoengeng
dc.relation.ispartofDocumentos de Trabajospa
dc.relation.numberNo. 46spa
dc.relation.repechttps://ideas.repec.org/p/rie/riecdt/46.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0spa
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
dc.subject.jelE44 - Financial Markets and the Macroeconomyeng
dc.subject.jelF31 - Foreign Exchangeeng
dc.subject.jelG01 - Financial Criseseng
dc.subject.jelG12 - Asset Pricing; Trading Volume; Bond Interest Rateseng
dc.subject.jelG15 - International Financial Marketseng
dc.subject.keywordEnergy commodity marketseng
dc.subject.keywordRisk spillovereng
dc.subject.keywordHigher order risk measureeng
dc.subject.keywordLASSO methodseng
dc.subject.lembMacroeconomía -- Mercados financierosspa
dc.subject.lembFinanzas internacionales -- Tipos de cambiospa
dc.titleSpillovers beyond the variance: exploring the natural gas and oil higher order risk linkages with the global financial marketseng
dc.typeWorking papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de Trabajospa

Files

Original bundle
Now showing 1 - 1 of 1
Name:
Working paper Red Investigadores de Economía No. 46
Size:
623.78 KB
Format:
Adobe Portable Document Format
Description:
Working paper Red Investigadores de Economía No. 46
Download
License bundle
Now showing 1 - 1 of 1
Name:
license.txt
Size:
7.52 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Documentos de Trabajo