Volatility spillovers between WTI and Brent spot crude oil prices : an analysis of granger causality in variance patterns over time
Erdal Atukeren, Emrah İsmail Çevik, Turhan Korkmaz
| Year of publication: |
2021
|
|---|---|
| Authors: | Atukeren, Erdal ; Cevik, Emrah Ismail ; Korkmaz, Turhan |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 56.2021, p. 1-14
|
| Subject: | Energy economics | Granger-causality | Oil prices | Volatility spillovers | Volatilität | Volatility | Ölpreis | Oil price | Kausalanalyse | Causality analysis | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Rohstoffderivat | Commodity derivative | Welt | World | Ölmarkt | Oil market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2021.101385 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013267899