Intraday volatility transmission in global energy markets : a Bayesian nonparametric approach
Martina Danielova Zaharieva, Audronė Virbickaitė, André Portela Santos
| Year of publication: |
2025
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|---|---|
| Authors: | Zaharieva, Martina Danielova ; Virbickaitė, Audronė ; Santos, André A. P. |
| Published in: |
Journal of commodity markets : JCM. - Amsterdam : Elsevier, ISSN 2405-8505, ZDB-ID 2851869-X. - Vol. 39.2025, Art.-No. 100496, p. 1-27
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| Subject: | COVID-19 | Credible intervals | Dirichlet process mixture (DPM) | Marginal log likelihood | Value-at-Risk | Volatility spillovers | Volatilität | Volatility | Coronavirus | ARCH-Modell | ARCH model | Bayes-Statistik | Bayesian inference | Nichtparametrisches Verfahren | Nonparametric statistics | Energiemarkt | Energy market | Risikomaß | Risk measure | Theorie | Theory | Spillover-Effekt | Spillover effect |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jcomm.2025.100496 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015484715