Risk spillovers and hedge strategies between global crude oil markets and stock markets : do regime switching processes combining long memory and asymmetry matter?
Ling Lin, Zhongbao Zhou, Yong Jiang, Yangchen Ou
Year of publication: |
2021
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Authors: | Lin, Ling ; Zhou, Zhongbao ; Jiang, Yong ; Ou, Yangchen |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 57.2021, p. 1-25
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Subject: | Global crude oil markets | Global stock markets | Hedge strategy | Long memory and asymmetry GARCH | Markov regime switching | Risk spillovers | Welt | World | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Hedging | Volatilität | Volatility | Markov-Kette | Markov chain | Ölpreis | Oil price | Spillover-Effekt | Spillover effect | Rohstoffderivat | Commodity derivative |
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