Friday, November 8, 2024 3pm to 4pm
About this Event
6708 Pine St, Omaha, Omaha, NE 68106
https://www.eventbrite.com/e/volatility-and-dependence-in-crude-oil-and-agricultural-commodity-markets-tickets-875934342197Part of a UNO Economics seminar series. Research seminars run from 3PM-4PM. Appetizers at Inner Rail afterwards.
Abstract:
Advancing Knowledge in Economics and Finance through Quantitative Methods
How do cryptocurrency prices evolve? Is there any interdependence among cryptocurrency returns and/or volatilities? Are there any return spillovers and volatility spillovers between the cryptocurrency market and other financial markets? To answer these questions, we use GARCH-in-mean models to examine the relationship between volatility and returns of leading cryptocurrencies, to investigate spillovers within the cryptocurrency market, and also from the cryptocurrency market to other financial markets. Overall, we find statistically significant transmission of shocks and volatilities among the leading cryptocurrencies. We also find statistically significant spillover effects from the cryptocurrency market to other financial markets in the United States, as well as in other leading economies (Germany, the United Kingdom, and Japan).
We study the evolution, volatility dynamics, and nonlinear dynamics between crude oil prices and major agricultural commodity prices. Semiparametric GARCH-in-Mean copula models are applied to monthly crude oil, corn, soybean, palm oil, rice, sugar, and wheat prices from January 1990 to May 2023. We find the dependence among agriculture commodities and crude oil markets increases during economic contractions indicating the potential contagious movements in the energy markets.
Appetizers and discussion at Inner Rail
Economics Department
To further the goal of having a social discussion, the Department will buy the first round of appetizers at Inner Rail at 4:30PM
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