Search Results - subject:"Time-varying volatility spillovers"

Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets

Green, Rikard; Larsson, Karl; Lunina, Veronika; … - 2016

This study investigates volatility spillovers to electric power from large exogenous shocks in the prices of gas, coal, and carbon emission allowances in the German energy market. Our sample ranges from 2008 to 2016 and covers periods of different market conditions. We use a general VAR-BEKK...

Persistent link: https://www.econbiz.de/10013208746

Cross-commodity news transmission and volatility spillovers in the German energy markets

Green, Rikard; Larsson, Karl; Lunina, Veronika; … - In: Journal of banking & finance 95 (2018), pp. 231-243

Persistent link: https://www.econbiz.de/10011966754

Modelling time varying volatility spillovers and conditional correlations across commodity metal futures

Karanasos, Menelaos; Ali, Faek Menla; Margaronis, Zannis; … - In: International review of financial analysis 57 (2018), pp. 246-256

Persistent link: https://www.econbiz.de/10012006357