Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach

被引:8
|
作者
Jang, Hyun Jin [1 ]
Lee, Kiseop [2 ]
Lee, Kyungsub [3 ]
机构
[1] UNIST, Sch Business Adm, Ulsan, South Korea
[2] Purdue Univ, Dept Stat, W Lafayette, IN 47907 USA
[3] Yeungnam Univ, Dept Stat, Gyongsan, South Korea
基金
新加坡国家研究基金会;
关键词
branching ratio; calibration; conditional value-at-risk; flocking; gasoline futures; Hawkes process; systemic risk; West Texas Intermediate crude oil futures; STOCK; COINTEGRATION; DEPENDENCE; DYNAMICS; TIME; REPRESENTATION; SPECTRA;
D O I
10.1002/fut.22048
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We propose the Hawkes flocking model that assesses systemic risk in high-frequency processes at the two perspectives-endogeneity and interactivity. We examine the futures markets of West Texas Intermediate (WTI) crude oil and gasoline for the past decade, and perform a comparative analysis with conditional value-at-risk as a benchmark measure. In terms of high-frequency structure, we derive the empirical findings. The endogenous systemic risk in WTI was significantly higher than that in gasoline, and the level at which gasoline affects WTI was constantly higher than that in the opposite case. Moreover, although the relative influence's degree was asymmetric, its difference has gradually reduced.
引用
收藏
页码:247 / 275
页数:29
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