Are the systemic risk spillovers of good and bad volatility in oil and global equity markets alike?
Year of publication: |
2023
|
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Authors: | Xie, Qichang ; Qin, Jingrui ; Li, Jianwei |
Published in: |
Energy strategy reviews. - Amsterdam [u.a.] : Elsevier, ZDB-ID 2652346-2. - Vol. 49.2023, Art.-No. 101191, p. 1-15
|
Subject: | Asymmetric risk spillover | Oil market | Stock market | Time-frequency domain | TVP-VAR spillover index model | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Aktienmarkt | Welt | World | Ölmarkt | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1016/j.esr.2023.101191 [DOI] |
Classification: | Q41 - Demand and Supply ; Q43 - Energy and the Macroeconomy ; G12 - Asset Pricing ; G15 - International Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
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