Spillovers between non-commercial traders' activity and spot prices? : analysis of the financialization mechanism in the crude oil market
Year of publication: |
2023
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Authors: | Focacci, Antonio |
Published in: |
China finance review international. - Bingley : Emerald, ISSN 2044-1401, ZDB-ID 2589380-4. - Vol. 13.2023, 2, p. 157-182
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Subject: | C01 (Econometrics) | C32 (time series models) | D84 (Expectations/Speculations) | Financialization | G12 (Asset Pricing) G15 (International financial markets) | Linear cointegration | Multibreakpoint analysis | Oil prices | Threshold cointegration | VAR models | Kointegration | Cointegration | Ölpreis | Oil price | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model | Spillover-Effekt | Spillover effect | Finanzmarkt | Financial market | Volatilität | Volatility | Internationaler Finanzmarkt | International financial market | Ölmarkt | Oil market |
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