Do spillover effects between crude oil and natural gas markets disappear? : evidence from option markets
Fangfei Zhu, Yabei Zhu, Xuejun Jin, Xingguo Luo
| Year of publication: |
March 2018
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|---|---|
| Authors: | Zhu, Fangfei ; Zhu, Yabei ; Jin, Xuejun ; Luo, Xingguo |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 24.2018, p. 25-33
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| Subject: | Crude oil | Implied volatility | Natural gas | Options | Time-varying causality | Volatilität | Volatility | Optionsgeschäft | Option trading | Rohstoffderivat | Commodity derivative | Erdgasmarkt | Natural gas market | Ölpreis | Oil price | Erdöl | Petroleum | Erdgas | Spillover-Effekt | Spillover effect | Kausalanalyse | Causality analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2017.05.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011982448