Risk spillovers and hedge strategies between global crude oil markets and stock markets : do regime switching processes combining long memory and asymmetry matter?
Ling Lin, Zhongbao Zhou, Yong Jiang, Yangchen Ou
| Year of publication: |
2021
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|---|---|
| Authors: | Lin, Ling ; Zhou, Zhongbao ; Jiang, Yong ; Ou, Yangchen |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 57.2021, p. 1-25
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| Subject: | Global crude oil markets | Global stock markets | Hedge strategy | Long memory and asymmetry GARCH | Markov regime switching | Risk spillovers | Hedging | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Markov-Kette | Markov chain | Volatilität | Volatility | Welt | World | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Ölmarkt | Oil market | Spillover-Effekt | Spillover effect | Internationaler Finanzmarkt | International financial market | Rohstoffderivat | Commodity derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2021.101398 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012822126