Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong - 2016
spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers …The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility … (namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility …