The volatility spillover effect between the international crude oil futures price and China's stock market : multivariate BEKK-GARCH model based on wavelet multiresolution
Maoguo Wu & Zhehao Zhu
| Year of publication: |
2019
|
|---|---|
| Authors: | Wu, Maoguo ; Zhu, Zhehao |
| Published in: |
International journal of financial research. - Toronto : Sciedu Press, ISSN 1923-4023, ZDB-ID 2611282-6. - Vol. 10.2019, 4, p. 84-89
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| Subject: | wavelet multiresolution | BEKK-GARCH model | volatility spillover effect | WTI | Shanghai composite index | Volatilität | Volatility | China | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Shanghai | Spillover-Effekt | Spillover effect | Zustandsraummodell | State space model | Ölpreis | Oil price | Rohstoffderivat | Commodity derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.5430/ijfr.v10n4p84 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012321225