Search Results - subject:"Multiplicative error model"

The impact of WTI futures on Shanghai crude futures : identifying spillover effects on crude oil prices using the multiplicative error model

Forgione, Antonio Fabio; Migliardo, Carlo; Otranto, Edoardo - In: Journal of economic studies 52 (2025) 9, pp. 215-233

Persistent link: https://www.econbiz.de/10015574303

Multivariate AutoRegressive Smooth Liquidity (MARSLiQ)

Hafner, Christian M.; Linton, Oliver; Wang, Linqi - 2025

Persistent link: https://www.econbiz.de/10015651378

Asymmetric volatility spillover between crude oil and other asset markets

Guan, Bo; Mazouz, Khelifa; Xu, Yongdeng - In: Energy economics 130 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10014559169

Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets

Xu, Yongdeng; Guan, Bo; Lu, Wenna; Heravi, Saeed M. - In: Energy economics 136 (2024), pp. 1-12

Persistent link: https://www.econbiz.de/10015046875

Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets

Xu, Yongdeng; Guan, Bo; Lu, Wenna; Heravi, Saeed M. - 2024

This paper introduces a novel model to analyse the impact of macroeconomic shocks on volatility spillovers within key financial markets, such as Stock, Bond, Gold and Crude Oil. By treating macroeconomic variables as external factors to financial market volatility, our study distinguishes...

Persistent link: https://www.econbiz.de/10015149616