Exploring the dynamic behaviour of commodity market tail risk connectedness during the negative WTI pricing event
Yang Hu, Chunlin Lang, Shaen Corbet, Yang (Greg) Hou, Les Oxley
| Year of publication: |
2023
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|---|---|
| Authors: | Hu, Yang ; Lang, Chunlin ; Corbet, Shaen ; Hou, Yang ; Oxley, Les |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 125.2023, p. 1-17
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| Subject: | Dynamic connectedness | EGARCH | Negative valuation | Oil markets | TVP-VAR | Ölmarkt | Oil market | Volatilität | Volatility | Ölpreis | Oil price | Rohstoffmarkt | Commodity market | Welt | World |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2023.106829 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014485230