Regime specific spillovers across US sectors and the role of oil price volatility
Year of publication: |
2022
|
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Authors: | Hernandez, Jose Arreola ; Shahzad, Syed Jawad Hussain ; Sadorsky, Perry A. ; Uddin, Mohammed Gazi Salah ; Bouri, Elie ; Kang, Sang Hoon |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 107.2022, p. 1-13
|
Subject: | Oil price volatility | COVID19 | Markov switching | Non-linear causality | Return connectedness | US stock sectors | Ölpreis | Oil price | Volatilität | Volatility | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Welt | World | Markov-Kette | Markov chain |
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