Research on tail risk contagion in international energy markets : the quantile time-frequency volatility spillover perspective
Year of publication: |
2023
|
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Authors: | Gong, Xiao-Li ; Zhao, Min ; Wu, Zhuo-Cheng ; Jia, Kai-Wen ; Xiong, Xiong |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 121.2023, p. 1-21
|
Subject: | Clean energy | Conditional quantile | Frequency domain | Tail risk spillover | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Risikomaß | Risk measure | Energiemarkt | Energy market | ARCH-Modell | ARCH model | Ansteckungseffekt | Contagion effect | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution |
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