题目：Spikes and stochastic volatility in commodity prices: evidence from crude oil futures prices using conditional moments of integrated volatility

演讲人：Paola Zerilli University of York

时间：2013年3月20日（周三）13:30—14:30

地点：邵逸夫科学馆513

摘要：

Markets for crude oil derivatives have shown high volatility particularly around the recent financial turmoil in 2008. Returns on Crude Oil Futures show heavy tails, autocorrelation, volatility clustering We exploit the distributional information embedded in high-frequency (10-minute interval) intra-day data in order to test for the presence of stochastic volatility and jumps in crude oil futures. Even the very simple Stochastic Volatility models (with diffusive shocks only but no jumps) work very well in fitting oil futures prices in this dataset where kurtosis for both returns on futures and realized volatility are around 9. We find evidence of jumps in returns.