Volatility spillovers in commodity markets : a large t-vector autoregressive approach
Luca Barbaglia, Christophe Croux, Ines Wilms
| Year of publication: |
2020
|
|---|---|
| Authors: | Barbaglia, Luca ; Croux, Christophe ; Wilms, Ines |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 85.2020, p. 1-11
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| Subject: | Forecasting | Volatility spillover | Commodities | Lasso | Multivariate -distribution | Vector autoregressive model | Volatilität | Volatility | VAR-Modell | VAR model | ARCH-Modell | ARCH model | Spillover-Effekt | Spillover effect | Prognoseverfahren | Forecasting model | Rohstoffmarkt | Commodity market | Rohstoffderivat | Commodity derivative | Theorie | Theory | Rohstoffpreis | Commodity price | Multivariate Analyse | Multivariate analysis | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Schock | Shock |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2019.104555 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012509561