Volatility spillover between oil and stock prices : structural connectedness based on a multi-sector DSGE model approach with Bayesian estimation
Year of publication: |
2023
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Authors: | Chan, Ying Tung ; Qiao, Hui |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 87.2023, p. 265-286
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Subject: | Bayesian estimation | Connectedness | DSGE model | Oil shocks | Ölpreis | Oil price | Bayes-Statistik | Bayesian inference | Volatilität | Volatility | Börsenkurs | Share price | Dynamisches Gleichgewicht | Dynamic equilibrium | Spillover-Effekt | Spillover effect | Schätzung | Estimation | VAR-Modell | VAR model | DSGE-Modell | Schock | Shock |
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