Dynamic volatility spillovers across oil and natural gas futures markets based on a time-varying spillover method
Xu Gong, Yun Liu, Xiong Wang
| Year of publication: |
2021
|
|---|---|
| Authors: | Gong, Xu ; Liu, Yun ; Wang, Xiong |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 76.2021, p. 1-14
|
| Subject: | Dynamic volatility spillover | Energy commodity futures | TVP-VAR-SV model | Volatility spillover index | Volatilität | Volatility | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Rohstoffderivat | Commodity derivative | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2021.101790 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012804753