Structural sources of oil market volatility and correlation dynamics
Year of publication: |
2023
|
---|---|
Authors: | Harrison, Andre ; Liu, Xiaochun ; Stewart, Shamar L. |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 121.2023, p. 1-14
|
Subject: | Correlation decomposition | Level-volatility transmission matrix | Oil price persistence | Oil shock size | Volatility impulse response | Ölpreis | Oil price | Volatilität | Volatility | Korrelation | Correlation | Ölmarkt | Oil market | ARCH-Modell | ARCH model | Schock | Shock | Schätzung | Estimation | VAR-Modell | VAR model |
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