Structural sources of oil market volatility and correlation dynamics

Andre Harrison, Xiaochun Liu, Shamar L. Stewart

Year of publication:	2023
Authors:	Harrison, Andre ; Liu, Xiaochun ; Stewart, Shamar L.
Published in:	Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 121.2023, p. 1-14
Subject:	Correlation decomposition \| Level-volatility transmission matrix \| Oil price persistence \| Oil shock size \| Volatility impulse response \| Volatilität \| Volatility \| Ölpreis \| Oil price \| Ölmarkt \| Oil market \| Korrelation \| Correlation \| Schock \| Shock \| ARCH-Modell \| ARCH model \| VAR-Modell \| VAR model \| Zeitreihenanalyse \| Time series analysis \| Schätzung \| Estimation

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