Volatility spillover between oil and stock prices : structural connectedness based on a multi-sector DSGE model approach with Bayesian estimation
Ying Tung Chan, Hui Qiao
| Year of publication: |
2023
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|---|---|
| Authors: | Chan, Ying Tung ; Qiao, Hui |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 87.2023, p. 265-286
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| Subject: | Bayesian estimation | Connectedness | DSGE model | Oil shocks | Volatilität | Volatility | Bayes-Statistik | Bayesian inference | Börsenkurs | Share price | Ölpreis | Oil price | DSGE-Modell | Schätzung | Estimation | VAR-Modell | VAR model | Dynamisches Gleichgewicht | Dynamic equilibrium | Schock | Shock | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Preisrigidität | Price stickiness |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2023.04.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014472255