Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach
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Description
We analyze the degree of mutual excitation that exists between extreme events across the stock markets of OECD member nations and the Brent and WTI crude oil markets. For this analysis, marked point process models are proposed which are able to capture the dynamics of the intensity of occurrence and comovement during periods of crisis. The results show a significant, negative interdependence between most OECD markets, especially those of the USA, Japan and France. These major oil importing countries display links between equity market losses and positive returns in both oil markets. However, positive interdependence is not observed between any of the OECD countries except for South Korea. The great advantage of this methodology is that, apart from using the size distribution of extreme events, it also uses the occurrence times of extreme events as a source of information. With this information, these models are better able to capture the stylized facts of extreme events in financial markets such as clustering behavior and cross-excitation.
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ID Code: | 131850 | ||
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Item Type: | Contribution to Journal (Journal Article) | ||
Refereed: | Yes | ||
ORCID iD: |
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Measurements or Duration: | 19 pages | ||
Keywords: | Extreme value theory, Financial markets, Oil markets, Value at risk, Interdependence | ||
DOI: | 10.1016/j.najef.2018.03.010 | ||
ISSN: | 1062-9408 | ||
Pure ID: | 40866298 | ||
Divisions: | Past > QUT Faculties & Divisions > QUT Business School Current > Schools > School of Economics & Finance |
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Copyright Owner: | Consult author(s) regarding copyright matters | ||
Copyright Statement: | This work is covered by copyright. Unless the document is being made available under a Creative Commons Licence, you must assume that re-use is limited to personal use and that permission from the copyright owner must be obtained for all other uses. If the document is available under a Creative Commons License (or other specified license) then refer to the Licence for details of permitted re-use. It is a condition of access that users recognise and abide by the legal requirements associated with these rights. If you believe that this work infringes copyright please provide details by email to qut.copyright@qut.edu.au | ||
Deposited On: | 05 Aug 2019 22:16 | ||
Last Modified: | 03 Mar 2024 06:55 |
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