Dynamic jump intensities and news arrival in oil futures markets

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dc.citation.firstpage292en_US
dc.citation.journalTitleJournal of Asset Managementen_US
dc.citation.lastpage325en_US
dc.citation.volumeNumber21en_US
dc.contributor.authorEnsor, Katherine B.en_US
dc.contributor.authorHan, Yuen_US
dc.contributor.authorOstdiek, Barbaraen_US
dc.contributor.authorTurnbull, Stuart M.en_US
dc.contributor.orgCenter for Computational Finance and Economic Systemsen_US
dc.date.accessioned2022-05-25T16:13:35Zen_US
dc.date.available2022-05-25T16:13:35Zen_US
dc.date.issued2020en_US
dc.description.abstractWe introduce a new class of discrete-time models that explicitly recognize the impact of news arrival. The distribution of returns is governed by three factors: dynamics volatility and two Poisson compound processes, one for negative news and one for positive news. We show in a model-free environment that the arrival of negative and positive news has an asymmetric effect on oil futures returns and volatility. Using the first 12 futures contracts, our empirical results confirm that the effects of negative and positive news are described by different processes, a significant proportion of volatility is explained by news arrival and the impact of negative news is larger than that of positive news.en_US
dc.identifier.citationEnsor, Katherine B., Han, Yu, Ostdiek, Barbara, et al.. "Dynamic jump intensities and news arrival in oil futures markets." <i>Journal of Asset Management,</i> 21, (2020) Springer Nature: 292-325. https://doi.org/10.1057/s41260-020-00168-z.en_US
dc.identifier.doihttps://doi.org/10.1057/s41260-020-00168-zen_US
dc.identifier.urihttps://hdl.handle.net/1911/112404en_US
dc.language.isoengen_US
dc.publisherSpringer Natureen_US
dc.rightsThis article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder.en_US
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/en_US
dc.titleDynamic jump intensities and news arrival in oil futures marketsen_US
dc.typeJournal articleen_US
dc.type.dcmiTexten_US
dc.type.publicationpublisher versionen_US
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