Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China

Research English OPEN
Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong; (2016)
  • Publisher: Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
  • Subject: D53 | crude oil | optimal dynamic hedging | G31 | C58 | G13 | diagonal BEKK | futures | O13 | Co-volatility spillovers | Econometría | spot | financial markets | Mercados bursátiles y financieros
    • ddc: ddc:330
    mesheuropmc: health care economics and organizations

textabstractThe primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers (namely, the ... View more
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