Volatility spillovers between oil and equity markets and portfolio risk implications in the US and vulnerable EU countries
Walid Mensi, Shawkat Hammoudeh, Xuan Vinh Vo, Sang Hoon Kang
| Year of publication: |
2021
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| Authors: | Mensi, Walid ; Hammoudeh, Shawkat ; Vo Xuan Vinh ; Kang, Sang Hoon |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 75.2021, p. 1-27
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| Subject: | Frequency spillover index | Hedging | Oil | Stock markets | Volatilität | Volatility | Aktienmarkt | Stock market | Spillover-Effekt | Spillover effect | USA | United States | Portfolio-Management | Portfolio selection | Ölpreis | Oil price | Börsenkurs | Share price | Welt | World | Schätzung | Estimation | ARCH-Modell | ARCH model | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2021.101457 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012820834