Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications
Kousik Guhathakurta, Saumya Ranjan Dash, Debasish Maitra
| Year of publication: |
2020
|
|---|---|
| Authors: | Guhathakurta, Kousik ; Dash, Saumya Ranjan ; Maitra, Debasish |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 85.2020, p. 1-22
|
| Subject: | Oil price | Portfolio diversification | Structural breaks | Volatility spillover | Volatilität | Volatility | Ölpreis | Portfolio-Management | Portfolio selection | Welt | World | Spillover-Effekt | Spillover effect | Rohstoffpreis | Commodity price | Strukturbruch | Structural break | 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.2019.104566 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012510102