Chang, Chia-Lin; McAleer, Michael; Wang, Chien-Hsun - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-24
It is well known that there is an intrinsic link between the financial and energy sectors, which can be analysed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other’s subsequent volatility in both spot and futures markets....
