A dynamic conditional regime-switching GARCH CAPM for energy and financial markets
Christian Urom, Julien Chevallier, Bangzhu Zhu
| Year of publication: |
2020
|
|---|---|
| Authors: | Urom, Christian ; Chevallier, Julien ; Zhu, Bangzhu |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 85.2020, p. 1-45
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| Subject: | Risk management | Natural gas | Crude oil | Conditional CAPM | Dynamic beta | MS-GARCH | Regime-switching | CAPM | ARCH-Modell | ARCH model | Betafaktor | Beta risk | Schätzung | Estimation | Risikomanagement | Volatilität | Volatility | Markov-Kette | Markov chain | Theorie | Theory | Gaswirtschaft | Gas industry | Erdgas | Erdöl | Petroleum | Finanzmarkt | Financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2019.104577 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012510103