The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market
Kuang-Liang Chang, Chingnun Lee
| Year of publication: |
2020
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|---|---|
| Authors: | Chang, Kuang-Liang ; Lee, Chingnun |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 69.2020, p. 374-388
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| Subject: | Idiosyncratic jumps | Multichain Markov switching | Oil futures | Oil price | Spillover effect | Spillover-Effekt | Ölpreis | Markov-Kette | Markov chain | Ölmarkt | Oil market | Volatilität | Volatility | Spotmarkt | Spot market | Rohstoffderivat | Commodity derivative | Schätzung | Estimation | Welt | World |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2020.06.028 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012486979