Asymmetric and time-frequency volatility connectedness between China and international crude oil markets with portfolio implications
Zhenhua Liu, Qiang Ji, Pengxiang Zhai, Zhihua Ding
| Year of publication: |
2023
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|---|---|
| Authors: | Liu, Zhenhua ; Ji, Qiang ; Zhai, Pengxiang ; Ding, Zhihua |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 66.2023, p. 1-22
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| Subject: | High-frequency data | Oil market | Time-frequency domain | Trading strategy | Volatility spillovers | Volatilität | Volatility | China | Ölmarkt | Welt | World | Spillover-Effekt | Spillover effect | Ölpreis | Oil price | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2023.102039 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014462203