Does economic policy uncertainty drive nonlinear risk spillover in the commodity futures market?
Yinghua Ren, Anqi Tan, Huiming Zhu, Wanru Zhao
| Year of publication: |
2022
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|---|---|
| Authors: | Ren, Ying-hua ; Tan, Anqi ; Zhu, Huiming ; Zhao, Wanru |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 81.2022, p. 1-18
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| Subject: | Commodity futures market | Economic policy uncertainty | Nonlinear tail risk spillover | Quantile-on-quantile approach | Rolling tail-event driven network | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Wirtschaftspolitik | Economic policy | Rohstoffderivat | Commodity derivative | Risiko | Risk | Warenbörse | Commodity exchange |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2022.102084 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013375403