Do commodity markets catch a cold from stock markets? : Modelling uncertainty spillovers using Google search trends and wavelet coherence
Jan Jakub Szczygielski, Ailie Charteris, Lidia Obojska
| Year of publication: |
2023
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|---|---|
| Authors: | Szczygielski, Jan Jakub ; Charteris, Ailie ; Obojska, Lidia |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 87.2023, p. 1-19
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| Subject: | Commodities | Google search trends | Realised volatility | Spillovers | Uncertainty | Wavelet coherence | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Zustandsraummodell | State space model | Aktienmarkt | Stock market | Suchmaschine | Search engine | Prognoseverfahren | Forecasting model | Rohstoffmarkt | Commodity market | Zeitreihenanalyse | Time series analysis | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2022.102304 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014457702