Covariance breakdowns and connectedness of crude oil futures markets with non-synchronous data
Jiawen Luo, Langnan Chen and Weiguo Zhang
| Year of publication: |
2019
|
|---|---|
| Authors: | Luo, Jiawen ; Chen, Langnan ; Zhang, Weiguo |
| Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 51.2019, 5, p. 422-443
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| Subject: | Market connectedness | covariance breakdowns | crude oil futures | VMA-DCC-B model | nonsynchronous trading data | Rohstoffderivat | Commodity derivative | Erdöl | Petroleum | Korrelation | Correlation | Ölmarkt | Oil market | Ölpreis | Oil price | Volatilität | Volatility | Welt | World |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2018.1489510 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012160576