Co-volatility and asymmetric transmission of risks between the global oil and China's futures markets
Year of publication: |
2023
|
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Authors: | Luo, Jiawen ; Marfatia, Hardik A. ; Ji, Qiang ; Klein, Tony |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 117.2023, p. 1-20
|
Subject: | Asymmetric volatility spillover | Co-volatility | Commodity markets | Futures markets | MHAR-CSV model | Time-varying volatility connectedness | Volatilität | Volatility | China | Spillover-Effekt | Spillover effect | Rohstoffderivat | Commodity derivative | Welt | World | ARCH-Modell | ARCH model | Derivat | Derivative |
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