Volatility spillovers across financial markets : the role of oil price uncertainty
Year of publication: |
2023
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Authors: | Lee, Seojin ; Kim, Young Min |
Published in: |
Applied economics letters. - New York, NY : Routledge, ISSN 1466-4291, ZDB-ID 1484783-8. - Vol. 30.2023, 17, p. 2342-2347
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Subject: | bayesian estimation | Markov-switching | Oil price | spillovers | Ölpreis | Spillover-Effekt | Spillover effect | Volatilität | Volatility | ARCH-Modell | ARCH model | Bayes-Statistik | Bayesian inference | Finanzmarkt | Financial market | VAR-Modell | VAR model | Heteroskedastizität | Heteroscedasticity | Markov-Kette | Markov chain |
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