Finance and Accounting
OIL: Crude Oil (USD/BBL), NW Europe (Rotterdam), International Energy Agency (2012), Energy Prices and Taxes (Edition 2012, Quarter 3).
GASOIL: Gasoil (USD/BBL), NW Europe (Rotterdam), International Energy Agency (2012), Energy Prices and
Taxes (Edition 2012, Quarter 3).
JK: Jet Kerosene (USD/BBL), NW Europe (Rotterdam), International Energy Agency (2012), Energy Prices and Taxes (Edition 2012, Quarter 3).
NAPH: Naphtha (USD/BBL), NW Europe (Rotterdam), International Energy Agency (2012), Energy Prices and Taxes (Edition 2012, Quarter 3).
LSFO: Low Sulphur Fuel Oil (USD/BBL), NW Europe (Rotterdam), International Energy Agency (2012), Energy
Prices and Taxes (Edition 2012, Quarter 3).
HSFO: High Sulphur Fuel Oil (USD/BBL), NW Europe (Rotterdam), International Energy Agency (2012), Energy
Prices and Taxes (Edition 2012, Quarter 3).

Transform the original series as follows: , and .
1. Do the six series cointegrate? Test for the number of cointegrated vectors and briefly comment on the results. Elaborate on multivariate “predictability, but not cointegration” on the basis of your reading of Richards (1995) paper.

2. Test whether there is sign of contagion from the oil to the other markets. Elaborate (one-page essay) on this point also on the basis of your reading of Forbes and Rigobon (2002). Also discuss the main features of the way to test for possible contagion effects as proposed in Frey, Martin and Tang (2010).

3. Construct the log returns from each series. Then, using G@RCH 6 estimate the conditional variance of each returns series by identifying appropriate univariate (G)ARCH specifications.

7. Using the log returns series, estimate and comment the results from the implementation of two MGARCH models available in G@RCH 6.

8. Elaborate a short essay on alternative measures of volatility you know. In particular discuss the pros and cons of the realized volatility measure. You may also report an empirical application using high frequency data you may have available.

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