Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances
Chia-Lin Chang (Department of Applied Economics, Department of Finance, National Chung Hsing University, Taiwan), Michael McAleer (Department of Quantitative Finance, National Tsing Hua University, Taiwan and Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Department of Quantitative Economics, Complutense University of Madrid), Yanghuiting Wang (Department of Quantitative Finance, National Tsing Hua University)
| Year of publication: |
June 2016 ; Revised: June, 2016
|
|---|---|
| Authors: | Chang, Chia-Lin ; McAleer, Michael ; Wang, Yanghuiting |
| Publisher: |
[Rotterdam] : [Econometric Institute, Erasmus School of Economics] |
| Subject: | Erdgas | Natural gas | Spotmarkt | Spot market | Futures | Indexderivat | Index derivative | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Hedging | USA | United States | Großbritannien | United Kingdom |
freely available
| Extent: | 1 Online-Ressource (circa |
|---|---|
| Series: | Econometric Institute research papers. - Rotterdam : [Verlag nicht ermittelbar], ZDB-ID 2169625-1. - Vol. EI2016-29 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Other identifiers: | hdl:1765/93116 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011500276