Does the volatility spillover effect matter in oil price volatility predictability? : evidence from high-frequency data
Lan Wu, Weiju Xu, Dengshi Huang, Pan Li
| Year of publication: |
2022
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| Authors: | Wu, Lan ; Xu, Weiju ; Huang, Dengshi ; Li, Pan |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 82.2022, p. 299-306
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| Subject: | Equity market | Forecasting | Oil market | Realized volatility | Volatility spillovers | Volatilität | Volatility | Ölpreis | Oil price | Prognoseverfahren | Forecasting model | Welt | World | Spillover-Effekt | Spillover effect | Aktienmarkt | Stock market | Schätzung | Estimation | ARCH-Modell | ARCH model | Ölmarkt | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2022.06.024 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013543121