Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China
Chia-Lin Chang (Department of Applied Economics, Department of Finance, National Chung Hsing University, Taiwan), Michael McAleer (Department of Quantitative Finance, National Tsing Hua University, Taiwan and Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Department of Quantitative Economics, Complutense University of Madrid), Jiarong Tian (Department of Quantitative Finance, National Tsing Hua University, Taiwan)
| Year of publication: |
June, 2016 ; Revised: June, 2016
|
|---|---|
| Authors: | Chang, Chia-Lin ; McAleer, Michael ; Tian, Jiarong |
| Publisher: |
[Rotterdam] : [Econometric Institute, Erasmus School of Economics] |
| Subject: | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Ölmarkt | Oil market | Finanzmarkt | Financial market | Spotmarkt | Spot market | Futures | Hedging | ARCH-Modell | ARCH model | USA | United States | Großbritannien | United Kingdom | China |
freely available
| Extent: | 1 Online-Ressource (circa 45 Seiten) Illustrationen |
|---|---|
| Series: | Econometric Institute research papers. - Rotterdam : [Verlag nicht ermittelbar], ZDB-ID 2169625-1. - Vol. EI2016-30 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Other identifiers: | hdl:1765/93117 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011541151