Information spillover dynamics of the energy futures market sector : a novel common factor approach
Duminda Kuruppuarachchi, I.M. Premachandra
| Year of publication: |
June 2016
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|---|---|
| Authors: | Kuruppuarachchi, Duminda ; Premachandra, I. M. |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 57.2016, p. 277-294
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| Subject: | Information spillover | Energy futures | Granger causality | Heteroscedastic principle component factors | Impulse response functions | Spillover-Effekt | Spillover effect | Kausalanalyse | Causality analysis | Zeitreihenanalyse | Time series analysis | Rohstoffderivat | Commodity derivative | VAR-Modell | VAR model | Energiemarkt | Energy market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2016.05.015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011698469