Volatility spillovers and hedging effectiveness between oil and stock markets : evidence from a wavelet-based and structural breaks analysis
Olfa Belhassine, Chiraz Karamti
| Year of publication: |
2021
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|---|---|
| Authors: | Belhassine, Olfa ; Karamti, Chiraz |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 102.2021, p. 1-18
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| Subject: | Structural breaks | Oil prices | Oil-exporting countries | Oil-importing countries | Volatility spillovers | Wavelet decomposition | Volatilität | Volatility | Ölpreis | Oil price | Strukturbruch | Structural break | Spillover-Effekt | Spillover effect | Hedging | ARCH-Modell | ARCH model | Welt | World | Aktienmarkt | Stock market | Zustandsraummodell | State space model | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2021.105513 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013162440