Volatility Spillovers with Spatial Effects on the Oil and Gas Market

The article is devoted to the estimation of volatility spillovers occurred on the oil and gas market taking into account cross-sectional dependence. The latter is implemented via spatial specifications of the BEKK multivariate volatility model. We also use DCC, GO-GARCH and ADCC models as a benchmark

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Year of publication:	2018
Authors:	Karatetskaya, Efrosiniya
Other Persons:	Lakshina, Valeria (contributor)
Publisher:	[2018]: [S.l.] : SSRN
Subject:	Spillover-Effekt \| Spillover effect \| Volatilität \| Volatility \| Regionalökonomik \| Regional economics \| Erdgasmarkt \| Natural gas market \| Erdölindustrie \| Oil industry

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Extent:	1 Online-Ressource (25 p)
Series:	Higher School of Economics Research Paper ; No. WP BRP 72/FE/2018
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 25, 2018 erstellt
Other identifiers:	10.2139/ssrn.3306340 [DOI]
Classification:	C32 - Time-Series Models ; c58 ; G15 - International Financial Markets ; G17 - Financial Forecasting
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012906295