Volatility spillover in crude oil market using Heston switching Clayton model
The purpose of this study is to investigate the effects and risk spillover from the global crude oil market on Tehran Stock Exchange Oil Group. For this purpose, we used a combination of copula models and switching models in this research. First, we will examine marginal models and examine Heston sw...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Allameh Tabataba'i University Press
2023-09-01
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| Series: | Mathematics and Modeling in Finance |
| Subjects: | |
| Online Access: | https://jmmf.atu.ac.ir/article_16145_f1de773e20e6e5fce200c0b40380b796.pdf |
| _version_ | 1797386710046212096 |
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| author | Soheil Salimi Nasab Gholam Hosein Golarzi Abdolsadeh Neisy |
| author_facet | Soheil Salimi Nasab Gholam Hosein Golarzi Abdolsadeh Neisy |
| author_sort | Soheil Salimi Nasab |
| collection | DOAJ |
| description | The purpose of this study is to investigate the effects and risk spillover from the global crude oil market on Tehran Stock Exchange Oil Group. For this purpose, we used a combination of copula models and switching models in this research. First, we will examine marginal models and examine Heston switching and Markov switching models in this market. Then we create the multivariate distribution function using Clayton's copula. The data analyzed in this research are related to the global crude oil markets and the Tehran Stock Exchange Oil Group from December 2011 to January 2023. This time period was chosen due to the examination of different regimes in the above markets and also the selection of the appropriate marginal model for these markets. The results show the crude oil market has influenced on Tehran Stock Exchange and also the Tehran Stock Exchange Oil Group indices. Volatility in this global market cause turbulence in the Tehran stock market and this market is affected by the global crude oil market. This is due to the influence of the global crude oil market on total prices in these markets. Heston switching model and its combination with copula models including Clayton copula can bring good results. This is confirmed by comparing this model with other models such as copula Markov switching models. |
| first_indexed | 2024-03-08T22:14:16Z |
| format | Article |
| id | doaj.art-7754f8ec74e349e7acef0ad0aae24501 |
| institution | Directory Open Access Journal |
| issn | 2783-0578 2783-056X |
| language | English |
| last_indexed | 2024-03-08T22:14:16Z |
| publishDate | 2023-09-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | Mathematics and Modeling in Finance |
| spelling | doaj.art-7754f8ec74e349e7acef0ad0aae245012023-12-19T05:16:31ZengAllameh Tabataba'i University PressMathematics and Modeling in Finance2783-05782783-056X2023-09-013111913510.22054/jmmf.2023.74294.108916145Volatility spillover in crude oil market using Heston switching Clayton modelSoheil Salimi Nasab0Gholam Hosein Golarzi1Abdolsadeh Neisy2Department of economic and management, Semnan University, Semnan, IranDepartment of economic and management, Semnan University, Semnan, IranDepartment of Mathematics, Faculty of Statistics, Mathematics & Computer, Allameh Tabataba’i University, Tehran, IranThe purpose of this study is to investigate the effects and risk spillover from the global crude oil market on Tehran Stock Exchange Oil Group. For this purpose, we used a combination of copula models and switching models in this research. First, we will examine marginal models and examine Heston switching and Markov switching models in this market. Then we create the multivariate distribution function using Clayton's copula. The data analyzed in this research are related to the global crude oil markets and the Tehran Stock Exchange Oil Group from December 2011 to January 2023. This time period was chosen due to the examination of different regimes in the above markets and also the selection of the appropriate marginal model for these markets. The results show the crude oil market has influenced on Tehran Stock Exchange and also the Tehran Stock Exchange Oil Group indices. Volatility in this global market cause turbulence in the Tehran stock market and this market is affected by the global crude oil market. This is due to the influence of the global crude oil market on total prices in these markets. Heston switching model and its combination with copula models including Clayton copula can bring good results. This is confirmed by comparing this model with other models such as copula Markov switching models.https://jmmf.atu.ac.ir/article_16145_f1de773e20e6e5fce200c0b40380b796.pdfheston switching copulaclayton copulaspilloverenergy marketsoil shocks |
| spellingShingle | Soheil Salimi Nasab Gholam Hosein Golarzi Abdolsadeh Neisy Volatility spillover in crude oil market using Heston switching Clayton model Mathematics and Modeling in Finance heston switching copula clayton copula spillover energy markets oil shocks |
| title | Volatility spillover in crude oil market using Heston switching Clayton model |
| title_full | Volatility spillover in crude oil market using Heston switching Clayton model |
| title_fullStr | Volatility spillover in crude oil market using Heston switching Clayton model |
| title_full_unstemmed | Volatility spillover in crude oil market using Heston switching Clayton model |
| title_short | Volatility spillover in crude oil market using Heston switching Clayton model |
| title_sort | volatility spillover in crude oil market using heston switching clayton model |
| topic | heston switching copula clayton copula spillover energy markets oil shocks |
| url | https://jmmf.atu.ac.ir/article_16145_f1de773e20e6e5fce200c0b40380b796.pdf |
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