Dependences and volatility spillovers between the oil and stock markets: new evidence from the copula and VAR-BEKK-GARCH models
Lean Yu, Rui Zha, Dimitrios Stafylas, Kaijian He, Jia Liu
| Year of publication: |
2020
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|---|---|
| Authors: | Yu, Lean ; Zha, Rui ; Stafylas, Dimitrios ; He, Kaijian ; Liu, Jia |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 68.2020, p. 1-14
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| Subject: | Oil market | Stock market | Dependence | Volatility spillover | Copula model | Multivariate GARCH model | Volatilität | Volatility | ARCH-Modell | ARCH model | Aktienmarkt | Multivariate Verteilung | Multivariate distribution | Spillover-Effekt | Spillover effect | Ölmarkt | Ölpreis | Oil price | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2018.11.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012301075