The connectedness in the world petroleum futures markets using a Quantile VAR approach
Sangram Keshari Jena, Aviral Kumar Tiwari, Emmanuel Joel Aikins Abakah, Shawkat Hammoudeh
| Year of publication: |
2022
|
|---|---|
| Authors: | Jena, Sangram Keshari ; Tiwari, Aviral Kumar ; Abakah, Emmanuel Joel Aikins ; Hammoudeh, Shawkat |
| Published in: |
Journal of commodity markets. - Amsterdam : Elsevier, ISSN 2405-8513, ZDB-ID 3067450-5. - Vol. 27.2022, p. 1-19
|
| Subject: | Petroleum futures prices | Volatility spillovers | Time-varying | TVP-VAR-Quantile risk spillover model | LASSO-VAR model | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Spillover-Effekt | Spillover effect | VAR-Modell | VAR model | Ölmarkt | Oil market | ARCH-Modell | ARCH model | Erdöl | Petroleum |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jcomm.2021.100222 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014276628