Does OVX affect WTI and Brent oil spot variance? : evidence from an entropy analysis
Francesco Benedetto, Loretta Mastroeni, Greta Quaresima, Pierluigi Vellucci
| Year of publication: |
2020
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|---|---|
| Authors: | Benedetto, Francesco ; Mastroeni, Loretta ; Quaresima, Greta ; Vellucci, Pierluigi |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 89.2020, p. 1-12
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| Subject: | Mutual information | Oil volatility index | Transfer entropy | Volatilität | Volatility | Entropie | Entropy | Ölpreis | Oil price | Ölmarkt | Oil market | Rohstoffderivat | Commodity derivative | Schätzung | Estimation | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2020.104815 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012517069