Volatility spillovers : a sparse multivariate GARCH approach with an application to commodity markets
Geert Dhaene, Piet Sercu, Jianbin Wu
| Year of publication: |
2022
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|---|---|
| Authors: | Dhaene, Geert ; Sercu, Piet ; Wu, Jianbin |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 42.2022, 5, p. 868-887
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| Subject: | commodity markets | correlation spillovers | multivariate GARCH | penalized estimation | price discovery | regularization | volatility spillovers | Volatilität | Volatility | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Rohstoffmarkt | Commodity market | Rohstoffderivat | Commodity derivative | Multivariate Analyse | Multivariate analysis | Schätzung | Estimation | Theorie | Theory | Börsenkurs | Share price |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22312 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013187611