Do macroprudential policies reduce risk spillovers between energy markets? : evidence from time-frequency domain and mixed-frequency methods
Qichang Xie, Yu Bai, Nanfei Jia, Xin Xu
| Year of publication: |
2024
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|---|---|
| Authors: | Xie, Qichang ; Bai, Yu ; Jia, Nanfei ; Xu, Xin |
| Published in: |
Energy economics. - Amsterdam [u.a.] : Elsevier Science, ISSN 1873-6181, ZDB-ID 2000893-4. - Vol. 134.2024, Art.-No. 107558, p. 1-16
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| Subject: | Energy market risk spillover | GARCH-MIDAS-MPP model | Macroprudential policy | Mixed-frequency | Time-frequency domain | TVP-VAR model | Energiemarkt | Energy market | Spillover-Effekt | Spillover effect | Finanzmarktaufsicht | Financial supervision | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2024.107558 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015047096