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Testing the Relationship between Oil Equities and Oil Futures with High-Frequency Data: A Look at Returns, Jumps, and Volatility

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Date
2009
Author
Jansen, Brian Northrop
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Abstract
This paper looks at simultaneous returns, jumps, and volatilities of oil futures, oil equities, and other equities in the S&P 100 using high-frequency data. Through this method, a market factor is found to affect the overall level of returns across the equities and the likelihood that two given equities to jump simultaneously. A second factor is found to affect the returns and jumps that uniquely describes the variation in the oil equity and futures data. Volatility in oil futures and equities is not found to have a common factor due to the differences in types and motivations of traders.
Type
Honors thesis
Department
Economics
Permalink
https://hdl.handle.net/10161/1391
Citation
Jansen, Brian Northrop (2009). Testing the Relationship between Oil Equities and Oil Futures with High-Frequency Data: A Look at Returns, Jumps, and Volatility. Honors thesis, Duke University. Retrieved from https://hdl.handle.net/10161/1391.
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This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 3.0 United States License.

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