Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach
Yang Hou, Steven Li, Fenghua Wen
| Year of publication: |
2019
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|---|---|
| Authors: | Hou, Yang ; Li, Steven ; Wen, Fenghua |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 83.2019, p. 119-143
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| Subject: | Chinese fuel oil futures | Chinese stock index futures | GARCH models | SNP approach | Time-varying volatility spillover | Volatilität | Volatility | ARCH-Modell | ARCH model | China | Index-Futures | Index futures | Spillover-Effekt | Spillover effect | Rohstoffderivat | Commodity derivative | Ölpreis | Oil price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2019.06.020 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012175247