Volatility Spillovers with Spatial Effects on the Oil and Gas Market

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2018 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Efrosiniya Karatetskaya; Valeria Lakshina;

doi: 10.2139/ssrn.3185802 , 10.2139/ssrn.3306340

Volatility Spillovers with Spatial Effects on the Oil and Gas Market

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Abstract

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.

Related Organizations

National Research University Higher School of Economics
Russian Federation

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