Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets
Year of publication: |
2016
|
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Authors: | Green, Rikard ; Larsson, Karl ; Lunina, Veronika ; Nilsson, Birger |
Publisher: |
Lund : Lund University, School of Economics and Management, Department of Economics |
Subject: | energy markets | time-varying volatility spillovers | volatility impulse response function | skew-Student asymmetric BEKK |
Series: | Working Paper ; 2016:2 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | hdl:10419/260175 [Handle] RePEc:hhs:lunewp:2016_002 [RePEc] |
Classification: | C32 - Time-Series Models ; c58 ; G10 - General Financial Markets. General ; Q41 - Demand and Supply |
Source: |
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Cross-commodity news transmission and volatility spillovers in the German energy markets
Green, Rikard, (2018)
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Chang, Chia-Lin, (2015)
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Chang, Chia-Lin, (2015)
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Cross-commodity news transmission and volatility spillovers in the German energy markets
Green, Rikard, (2016)
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Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets
Green, Rikard, (2017)
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Cross-commodity news transmission and volatility spillovers in the German energy markets
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