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.

Hα emission fluxes and lithium abundances of low-mass stars in the young open cluster IC 4665

As part of a long term effort to understand pre-main sequence Li burning, we have obtained high resolution spectroscopic observations of 14 late type stars (G0-M1) in the young open cluster IC 4665. Most of the stars have Hα filled-in and Li I absorption, as expected for their young age. From the equivalent widths of Hα emission excess (obtained using the spectral subtraction technique) and the the Li i λ6708 feature, we have derived Hα emission fluxes and photospheric Li abundances. The mean Li abundance of IC 4665 solar-type stars is log N(Li) = 3.1; the same as in other young clusters (α Per, Pleiades) and T Tauri stars. Our results support the conclusions from previous works that PMS Li depletion is very small for masses ∼ 1 M_⨀ . Among the IC 4665 late-G and early K-type stars, there is a spread in Li abundances of about one order of magnitude. The Li-poor IC 4665 members have low Hα excess and vsini≤10. Hence, the Li-activity-rotation connection which has been clearly established in the Pleiades also seems to hold in IC 4665. One M-type IC 4665 star that we have observed does not show Li, implying a very efficient Li depletion as observed in α Per stars of the same spectral type. The level of chromospheric activity and Li depletion among the low-mass stars of IC 4665 is similar to that in the Pleiades. In fact, we note that the Li abundance distributions in several young clusters (α Per, Pleiades, IC 2391, IC 4665) and in post T Tauri stars are strikingly similar. This result suggests that Hα emission and Li abundance not well correlated with age for low-mass stars between 20 and 100 Myr old. We argue that a finer age indicator, the ''LL-clock'', would be the luminosity at which the transition between efficient Li depletion and preservation takes place for fully convective objects. The LL-clock could allow in the near future to derive the relative ages of young open clusters, and clarify the study of PMS evolution of cool stars.

FR Cnc revisited: photometry, polarimetry and spectroscopy

This paper is part of a multiwavelength study aimed at using complementary photometric, polarimetric and spectroscopic data to achieve an understanding of the activity process in late-type stars. Here, we present the study of FR Cnc, a young, active and spotted star. We performed analysis of All Sky Automated Survey 3 (ASAS-3) data for the years 2002–08 and amended the value of the rotational period to be 0.826518 d. The amplitude of photometric variations decreased abruptly in the year 2005, while the mean brightness remained the same, which was interpreted as a quick redistribution of spots. BVR_C and I_C broad-band photometric calibration was performed for 166 stars in FR Cnc vicinity. The photometry at Terskol Observatory shows two brightening episodes, one of which occurred at the same phase as the flare of 2006 November 23. Polarimetric BVR observations indicate the probable presence of a supplementary source of polarization. We monitored FR Cnc spectroscopically during the years 2004–08. We concluded that the radial velocity changes cannot be explained by the binary nature of FR Cnc. We determined the spectral type of FR Cnc as K7V. Calculated galactic space-velocity components (U, V, W) indicate that FR Cnc belongs to the young disc population and might also belong to the IC 2391 moving group. Based on Li Iλ6707.8 measurement, we estimated the age of FR Cnc to be between 10 and 120 Myr. Doppler tomography was applied to create a starspot image of FR Cnc. We optimized the goodness of fit to the deconvolved profiles for axial inclination, equivalent width and v sin i, finding v sin  i=46.2 km s^−1 and i= 55°. We also generated a syntheticV-band light curve based on Doppler imaging that makes simultaneous use of spectroscopic and photometric data. This synthetic light curve displays the same morphology and amplitude as the observed one. The starspot distribution of FR Cnc is also of interest since it is one of the latest spectral types to have been imaged. No polar spot was detected on FR Cnc.

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.