Volatility spillovers across Russian oil and gas sector : evidence of the impact of global markets and extraordinary events
Year of publication: |
2024
|
---|---|
Authors: | Balash, Vladimir ; Faizliev, Alexey |
Published in: |
Energy economics. - Amsterdam [u.a.] : Elsevier Science, ISSN 1873-6181, ZDB-ID 2000893-4. - Vol. 129.2024, Art.-No. 107202, p. 1-11
|
Subject: | COVID-19 | Augmented vector autoregressive models | Commodity markets | Economic and political crises | Russian-Ukrainian military shock | Stock markets | Volatility spillover | Volatilität | Volatility | Spillover-Effekt | Spillover effect | VAR-Modell | VAR model | Schock | Shock | Russland | Russia | Börsenkurs | Share price | Coronavirus | Gaswirtschaft | Gas industry | Ölpreis | Oil price | ARCH-Modell | ARCH model | Aktienmarkt | Stock market |
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