【报告人】： Apostolos Serletis （ Professor of Economics and Finance at the University of Calgary，加拿大）
【报告题目】：Volatility and a Century of Energy Markets Dynamics
【报告时间】：2015年5月8日 10：00 am-12：00 am
【报告地点】：主楼6楼（北京理工大学能源与环境政策研究中心）
【报告摘要】：
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.
【报告人介绍】：
Apostolos Serletis is Professor of Economics and Finance at the University of Calgary. Since receiving his Ph.D. from McMaster University in 1984, he has held visiting appointments at the University of Texas at Austin, the Athens University of Economics and Business, and the Research Department of the Federal Reserve Bank of St. Louis.
Professor Serletis’ teaching and research interests focus on monetary and financial economics, macroeconometrics, 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.
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.
