Volatility spillovers : a sparse multivariate GARCH approach with an application to commodity markets
Geert Dhaene, Piet Sercu, Jianbin Wu
| Year of publication: |
2022
|
|---|---|
| Authors: | Dhaene, Geert ; Sercu, Piet ; Wu, Jianbin |
| Subject: | commodity markets | correlation spillovers | multivariate GARCH | penalized estimation | price discovery | regularization | volatility spillovers | Volatilität | Volatility | ARCH-Modell | ARCH model | Spillover-Effekt | Spillover effect | Rohstoffmarkt | Commodity market | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Rohstoffderivat | Commodity derivative | Multivariate Analyse | Multivariate analysis | Börsenkurs | Share price | Theorie | Theory | Rohstoffpreis | Commodity 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