Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China

The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers (namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility in another physical or financial asset) between the oil and financial markets. The oil industry has four major regions, namely North Sea, USA, Middle East, and South-East Asia. Associated with these regions are two major financial centers, namely UK and USA. For these reasons, the data to be used are the returns on alternative crude oil markets, returns on crude oil derivatives, specifically futures, and stock index returns in UK and USA. The paper will also analyze the Chinese financial markets, where the data are more recent. The empirical analysis will be based on the diagonal BEKK model, from which the conditional covariances will be used for testing co-volatility spillovers, and policy recommendations. Based on these results, dynamic hedging strategies will be suggested to analyze market fluctuations in crude oil prices and associated financial markets.

Simultaneous optical and X-ray observations of flares and rotational modulation on the RS CVn binary HR 1099 (V711 Tau) from the MUSICOS 1998 campaign

We present simultaneous and continuous observations of the Hα, Hβ, He I D_3, Na I D_1,D_2 doublet and the Ca II H&K lines for the RS CVn system HR 1099. The spectroscopic observations were obtained during the MUSICOS 1998 campaign involving several observatories and instruments, both echelle and long-slit spectrographs. During this campaign, HR 1099 was observed almost continuously for more than 8 orbits of 2^d.8. Two large optical flares were observed, both showing an increase in the emission of Hα, Ca II H K, Hβ and He I D_3 and a strong filling-in of the Na I D_1, D_2 doublet. Contemporary photometric observations were carried out with the robotic telescopes APT-80 of Catania and Phoenix-25 of Fairborn Observatories. Maps of the distribution of the spotted regions on the photosphere of the binary components were derived using the Maximum Entropy and Tikhonov photometric regularization criteria. Rotational modulation was observed in Hα and He I D_3 in anti-correlation with the photometric light curves. Both flares occurred at the same binary phase (0.85), suggesting that these events took place in the same active region. Simultaneous X-ray observations, performed by ASM on board RXTE, show several flare-like events, some of which correlate well with the observed optical flares. Rotational modulation in the X-ray light curve has been detected with minimum flux when the less active G5 V star was in front. A possible periodicity in the X-ray flare-like events was also found.

Library of medium-resolution Fiber Optic Echelle spectra of F, G, K, and M field dwarfs to giant stars

We present a library of Penn State Fiber Optic Echelle (FOE) observations of a sample of field stars with spectral types F to M and luminosity classes V to I. The spectral coverage is from 3800 to 10000 Å with a nominal resolving power of 12,000. These spectra include many of the spectral lines most widely used as optical and near-infrared indicators of chromospheric activity such as the Balmer lines (Hα to H epsilon), Ca II H & K, the Mg I b triplet, Na I D_1, D_2, He I D_3, and Ca II IRT lines. There are also a large number of photospheric lines, which can also be affected by chromospheric activity, and temperature-sensitive photospheric features such as TiO bands. The spectra have been compiled with the goal of providing a set of standards observed at medium resolution. We have extensively used such data for the study of active chromosphere stars by applying a spectral subtraction technique. However, the data set presented here can also be utilized in a wide variety of ways ranging from radial velocity templates to study of variable stars and stellar population synthesis. This library can also be used for spectral classification purposes and determination of atmospheric parameters (T_eff, log g, [Fe/H]). A digital version of all the fully reduced spectra is available via ftp and the World Wide Web (WWW) in FITS format.

Volatility spillovers for spot, futures, and ETF prices in energy and agriculture

The agricultural and energy industries are closely related, both biologically and financially. The paper discusses the relationship and the interactions on price and volatility, with special focus on the covolatility spillover effects for these two industries. The interaction and covolatility spillovers or the delayed effect of a returns shock in one asset on the subsequent volatility or covolatility in another asset, between the energy and agricultural industries is the primary emphasis of the paper. Although there has already been significant research on biofuel and biofuel-related crops, much of the previous research has sought to find a relationship among commodity prices. Only a few published papers have been concerned with volatility spillovers. However, it must be emphasized that there have been numerous technical errors in the theoretical and empirical research, which needs to be corrected. The paper not only considers futures prices as a widely-used hedging instrument, but also takes an interesting new hedging instrument, ETF, into account. ETF is regarded as index futures when investors manage their portfolios, so it is possible to calculate an optimal dynamic hedging ratio. This is a very useful and interesting application for the estimation and testing of volatility spillovers. In the empirical analysis, multivariate conditional volatility diagonal BEKK models are estimated for comparing patterns of covolatility spillovers. The paper provides a new way of analyzing and describing the patterns of covolatility spillovers, which should be useful for the future empirical analysis of estimating and testing covolatility spillover effects.