Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong - 2016 - Revised: June, 2016
-volatility spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers …-volatility in another physical or financial asset) between the oil and financial markets. The oil industry has four major regions … financial markets, where the data are more recent. The empirical analysis will be based on the diagonal BEKK model, from which …