The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market
Year of publication: |
2020
|
---|---|
Authors: | Chang, Kuang-Liang ; Lee, Chingnun |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 69.2020, p. 374-388
|
Subject: | Idiosyncratic jumps | Multichain Markov switching | Oil futures | Oil price | Spillover effect | Spillover-Effekt | Ölpreis | Markov-Kette | Markov chain | Volatilität | Volatility | ARCH-Modell | ARCH model | Rohstoffderivat | Commodity derivative | Ölmarkt | Oil market | Spotmarkt | Spot market | Derivat | Derivative | Schätzung | Estimation | Theorie | Theory |
-
Volatility and the hedging effectiveness of China fuel oil futures
Chen, Wei, (2010)
-
Tsuji, Chikashi, (2018)
-
Chang, Kuang-liang, (2012)
- More ...
-
Chang, Kuang-Liang, (2023)
-
Threshold model with a time‐varying threshold based on Fourier approximation
Yang, Lixiong, (2020)
-
Can dividend yields out-predict UK stock returns without short rates?
Wu, Jyh-lin, (2011)
- More ...