Analyzing volatility spillovers and hedging between oil and stock markets : evidence from wavelet analysis
R. Khalfaoui, M. Boutahar, H. Boubaker
| Year of publication: |
May 2015
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|---|---|
| Authors: | Khalfaoui, R. ; Boutahar, Mohamed ; Boubaker, H. |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 49.2015, p. 540-549
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| Subject: | Discrete wavelet analysis | Wavelet coherence | BEKK-GARCH | Volatility spillovers | Hedge ratio | Crude oil prices | Stock prices | Volatilität | Volatility | Hedging | Zustandsraummodell | State space model | Ölpreis | Oil price | Börsenkurs | Share price | Spillover-Effekt | Spillover effect | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2015.03.023 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011537181