題目：Volatility and a Century of Energy Markets Dynamics
主講人：Apostolos Serletis 教授（Economics and Finance at the University of Calgary，加拿大）
時間：2015年5月8日 10：00 -12：00
地點：主樓6樓（能源與環境政策研究中心）
主講人介紹：
Professor Serletis is Associate Editor of Macroeconomic Dynamics, Energy Economics, and the Journal of Economic Asymmetries. He is also a member of the editorial board of the Journal of Economic Studies. He is listed in a variety of directories, including Who’s Who in Economics and Who’s Who in the World.
Professor Serletis’ teaching and research interests focus on monetary and financial economics, macro econometrics, and nonlinear and complex dynamics. He is the author of eight books, including Money, Banking and Financial Markets (Sixth Canadian Edition) with Frederic S. Mishkin (Pearson, 2016), Principles of Economics (First Canadian Edition) with R. Glenn Hubbard, Anthony Patrick O’Brien, and Jason Childs (Pearson, 2015); Macroeconomics: A Modern Approach (First Canadian Edition) with Robert J. Barro (Nelson, 2010); The Demand for Money: Theoretical and Empirical Approaches (Springer, 2007); Financial Markets and Institutions: Canadian Edition, with Frederic S. Mishkin and Stanley G. Eakins (Addison-Wesley, 2004); and The Theory of Monetary Aggregation, co-edited with William A. Barnett (Elsevier, 2000). In addition, he has published over 150 articles in such journals as Journal of Economic Literature; Journal of Monetary Economics; Journal of Money, Credit, and Banking; Journal of Econometrics; Journal of Applied Econometrics; Journal of Business and Economic Statistics; Macroeconomic Dynamics; Journal of Banking and Finance; Journal of Economic Dynamics and Control; Economic Inquiry; and the Canadian Journal of Economics.
內容介紹：
How similar is the price behavior of petrol, natural gas, and coal? Are there any interactions among these three fuel prices and their volatilities? Using an annual data for the United States, over the period from 1870 to 2014, and state-of-the-art econometric methodology, we explore for spillovers and interactions among the three energy markets. In doing so, we use a range of univariate and multivariate volatility models. The key contribution to the literature is the estimation of a trivariate BEKK model that allows for the interdependence of petrol, natural gas, and coal prices and volatilities, using the longest span prices that have ever been studied before.
（主辦：能源與環境政策研究中心）
