Testing the Relationship between Oil Equities and Oil Futures with High-Frequency Data: A Look at Returns, Jumps, and Volatility
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 thesisDepartment
EconomicsPermalink
https://hdl.handle.net/10161/1391Citation
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.Collections
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