Dynamic volatility spillovers across oil and natural gas futures markets based on a time-varying spillover method
Year of publication: |
2021
|
---|---|
Authors: | Gong, Xu ; Liu, Yun ; Wang, Xiong |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 76.2021, p. 1-14
|
Subject: | Dynamic volatility spillover | Energy commodity futures | TVP-VAR-SV model | Volatility spillover index | Volatilität | Volatility | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Rohstoffderivat | Commodity derivative | Ölpreis | Oil price | Erdgas | Natural gas |
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