Realized volatility transmission between crude oil and equity futures markets: A multivariate HAR approach
Year of publication: |
2013
|
---|---|
Authors: | Souček, Michael ; Todorova, Neda |
Published in: |
Energy Economics. - Elsevier, ISSN 0140-9883. - Vol. 40.2013, C, p. 586-597
|
Publisher: |
Elsevier |
Subject: | Volatility transmission | HAR model | Equity markets | Energy markets | Dynamic conditional correlation |
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