Choi, Sunghee - In: Economies : open access journal 12 (2024) 4, pp. 1-14
Using a diagonal BEKK model, this paper estimates a spillover effect from the international crude oil market to the … power and gas firms' portfolio and chemical firms' portfolio, had a greater spillover effect from the international crude …-capitalization firm portfolios had a relatively greater spillover effect. Several implications and important avenues for further research …