Author
Longguang Yang
Bio: Longguang Yang is an academic researcher. The author has contributed to research in topics: Volatility (finance) & Econometrics. The author has an hindex of 1, co-authored 1 publications receiving 20 citations.
Topics: Volatility (finance), Econometrics, Economics
Papers
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TL;DR: This paper examined the nature and dynamics of volatility spillovers between crude oil and agricultural commodity markets since the 2008-09 financial crisis and found that crude oil markets have become less integrated after the 2008 crisis.
Abstract: This study examines the nature and dynamics of volatility spillovers between crude oil and agricultural commodity markets since the 2008–09 financial crisis. We tested for volatility spillovers with a flexible bivariate heterogeneous autoregressive model to identify the short-, mid-, and long-term spillover effects. We observed bidirectional spillovers of short-term volatilities between crude oil and agricultural commodity markets in the crisis period, compared to mid-term and long-term volatilities of corn being transmitted to the crude oil volatility in the post-crisis period. These findings suggest that crude oil and agricultural commodity markets have become less integrated after the 2008–09 crisis.
29 citations
TL;DR: In this paper , the authors provide a volatility estimation based on cross-market spreads by analyzing the behavior of Bitcoin cross market arbitrageurs, and verify the accuracy and validity of the method employed by comparing it with the existing mainstream methods.
Abstract: This study provides a volatility estimation based on cross-market spreads by analyzing the behavior of Bitcoin cross-market arbitrageurs. This study crawls real-time price data from different exchanges for empirical analysis and verifies the accuracy and validity of the method employed by comparing it with the existing mainstream methods. The following conclusions are drawn: 1) The more exchanges that can be utilized, the smaller the Bitcoin price volatility, and the larger the cross-market spread, the better the estimation effect of the proposed method; and 2) Volume had no significant effect on the estimation using our method.
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TL;DR: In this article, the authors analyzed the lead-lag relationship between the price indices of energy fuels and each of food, industrial inputs, agriculture raw materials, metals and beverages in the time-frequency domain.
122 citations
TL;DR: In this article, the authors examined the time and frequency connectedness among electricity, carbon and clean energy markets, and oil price demand and supply shocks, and found increased connectedness during the global financial crisis as well as in the shale oil revolution period.
83 citations
TL;DR: In this paper , a rolling window-based Quantile VAR (QVAR) model is used to describe the conditional volatility spillover between energy, biofuel and agricultural commodity markets.
62 citations
TL;DR: In this article, the authors proposed a comprehensive study of their dynamic implied volatility spillover effects after the global financial crisis 2008-2009, while considering the transition between oil volatility's regimes.
57 citations
TL;DR: In this paper, the spillover effects and time-frequency connectedness between crude oil prices and agricultural commodity markets were analyzed using the wavelet coherence model to evaluate whether the time-varying return spillover index exhibited the intensity and direction of transmission during the Covid-19 outbreak.
47 citations