Research Journal of Economics

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Dimitrios G Tsoutsas Author

dts@hotmail.gr 24210-74776 | 24210-74776

Subjects of specialization
Global financial crisis,Gold futures,Oil futures,Gas futures

Affiliation
Department of Economics, University of Thessaly, Greece

Biography

Dimitrios G Tsoutsas Department of Economics, University of Thessaly, Greece. His publication include: 1. Alquist R, Kilian L (2010) What do we learn from the price of crude oil futures? J Appl Econ 25: 539-573. 2. Batten JA, Lucey BM (2010) Volatility in the gold futures market. Appl Econ Lett 17: 187-190.

Publications

Research Article Open Access

Crisis Effects on Relations between US Commodities Futures: An E-garch Approach

Author(s):

Dimitrios G Tsoutsas

This paper estimates the nexus among gold futures, crude oil WTI futures, and natural gas futures before and after the global financial crisis’ outburst. Weekly data are employed and estimations are applied during two sub-periods by using a Nelson’s Exponential Generalized Autoregressive Conditional Heteroskedasticity (E-GARCH) approach in order to test for asymmetries in volatilities. Results provide evidence of significant effects of gold price on oil and gas price volatility in an exponential way, but reverse causality does not hold. Moreover, oil prices are found to depend on gas prices.

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