Dynamic frequency connectedness between oil and natural gas volatilities
Yuliya Lovcha, Alejandro Perez-Laborda
| Year of publication: |
2020
|
|---|---|
| Authors: | Lovcha, Yuliya ; Perez-Laborda, Alejandro |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 84.2020, p. 181-189
|
| Subject: | Volatility spillovers | Systemic risk | Frequency domain | Spectral analysis | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Erdgas | Natural gas |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2019.04.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012210340