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Asymmetric volatility impulse response functions with applications to the energy markets

Vansteelandt, Marie
(2024)

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Vansteelandt_12391700_2024.pdf
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Supervisors
Hafner, Christian
Faculty
Faculté des sciences
Degree label
Master [120] en statistique, orientation générale, à finalité spécialisée
Abstract
The objective is to analyze the effect of the recent surge in energy prices on the volatility of other markets using the volatility impulse response methodology. Energy markets, and commodity markets in general, are characterized by the so-called inverse leverage effect, which implies an asymmetric response of volatility to positive and negative news. The methodology will be based on a particular multivariate volatility model including asymmetric effects.