Author
Thomas K. Lee
Bio: Thomas K. Lee is an academic researcher from Marymount University. The author has contributed to research in topics: Volatility (finance) & Futures contract. The author has an hindex of 2, co-authored 4 publications receiving 35 citations.
Papers
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TL;DR: This article used calculated historical volatility and GARCH models to compare the historical price volatility behavior of crude oil, motor gasoline and heating oil in U.S. markets since 1990, and found that there was an increase in volatility as a result of a structural shift to higher crude oil prices after April 1999.
Abstract: This paper utilizes calculated historical volatility and GARCH models to compare the historical price volatility behavior of crude oil, motor gasoline and heating oil in U.S. markets since 1990. We incorporate a shift variable in the GARCH/TARCH models to capture the response of price volatility to a change in OPEC’s pricing behavior. This study has three major conclusions. First, there was an increase in volatility as a result of a structural shift to higher crude oil prices after April 1999. Second, volatility shocks from current news are not important since GARCH effects dominate ARCH effects in the variance equation. Third, persistence of volatility in all commodity markets is quite transitory, with half-lives normally being a few weeks.
34 citations
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TL;DR: In this article, the authors investigated the changing relationship between price and volume traded of short and long-maturity NYMEX light sweet crude oil futures contracts and major changes in the physical crude oil market during the last decade.
Abstract: This study investigates the changing relationship between price and volume traded of short- and long-maturity NYMEX light sweet crude oil futures contracts and major changes in the physical crude oil market during the last decade. Monthly series for the #1-month to 84-month out maturity contracts are generated from daily price and volume data for NYMEX West Texas Intermediate (WTI) futures contracts for the period from January 2000 to the middle of 2009. 3-D graphical analysis of the futures prices, contract volumes, maturity dates, and time is used to demonstrate the changing trading volume pattern and evolution of the shape of futures price term structure across various contract maturities in different market regimes. The study observes the impacts of both May 2004, when excess production capacity reached nearly zero, and September 2006, when electronic trading was implemented on the NYMEX WTI futures markets. This analysis will be used to determine if futures contract information can provide an early indication of market regime shifts and improve short-run crude oil spot price forecast models.
2 citations
16 Sep 2007
1 citations
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09 Nov 2009
TL;DR: This paper used MGARCH models to identify volatility comovements between financial and commodity markets in the United States since 2000 and found that financial markets have strong impacts on prices and volatility in commodity markets which could be due to intertemporal capital mobility.
Abstract: The central bank policy instruments have become less effective in an environment where economies are integrated with sophisticated financial products. We argue that economic stability is a function of interactions between financial and commodity markets. We utilize MGARCH models to identify volatility comovements between these markets in the United States since 2000. Our results suggest that financial markets have strong impacts on prices and volatility in commodity markets which could be due to intertemporal capital mobility. Thus, understanding commodity markets is inseparable from understanding financial market activities, and must now be included in an economic equation to achieve an effective policy.
1 citations
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TL;DR: In this article, the same macroeconomic factors jointly influence the volatility processes of the precious metal price series, although there is some evidence of volatility feedback between the precious metals, which lends weight to views that individual commodities are too distinct to be considered a single asset class or represented by a single index.
Abstract: We investigate key macroeconomic factors that impact the price returns of precious metals markets over a 20 year period. The markets investigated are gold, silver, platinum and palladium; whereas the macroeconomic factors accommodated business cycle, monetary environment and financial market sentiment factors. The key findings present limited evidence that the same macroeconomic factors jointly influence the volatility processes of the precious metal price series, although there is some evidence of volatility feedback between the precious metals. This finding lends weight to views that individual commodities are too distinct to be considered a single asset class or represented by a single index; a finding of considerable importance for portfolio managers and investors.
297 citations
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TL;DR: In this article, the macroeconomic determinants (business cycle, monetary environment and financial market sentiment) of the volatility of four precious metals (gold, silver, platinum and palladium) are investigated.
272 citations
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TL;DR: This paper analyzed the time-varying volatility and spillover effects in crude oil, heating oil, and natural gas futures markets by incorporating changes in important macroeconomic variables and major political and weather-related events into the conditional variance equations.
100 citations
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TL;DR: In this paper, the authors investigated the joint phenomena of permanent and transitory components in conditional variance and jump intensity along with verification of structural breaks for crude oil prices using a Component-ARJI model with structural break analysis.
88 citations
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TL;DR: The authors examined the effect of structural breaks on the spot-futures oil prices relationship and explored the impact of structural break on four critical issues including cointegrating relationships, market efficiency under the expectation hypothesis and the no arbitrage rule, causalities, and forecasting performance of futures oil volatility.
73 citations