Jebabli, Ikram; Arouri, Mohamed; Teulon, Frédéric - In: Energy Economics 45 (2014) C, pp. 66-98
spillovers. Our main findings suggest that volatility spillovers increase considerably during crisis and, namely after mid-2008 …-error variance decompositions are invariant to the variable ordering for the assessment of total and directional volatility …