Energy ETF return jump contagion: a multivariate Hawkes process approach
Author:
Affiliation:
1. School of Business, Stevens Institute of Technology, Hoboken, NJ, USA
2. Division of Economic and Risk Analysis, U.S. Securities and Exchange Commission, Washington, DC, USA
Publisher
Informa UK Limited
Subject
Economics, Econometrics and Finance (miscellaneous)
Link
https://www.tandfonline.com/doi/pdf/10.1080/1351847X.2021.1903962
Reference62 articles.
1. Natural gas prices and stock prices: Evidence from EU-15 countries
2. To trust or not to trust? A comparative study of conventional and clean energy exchange-traded funds
3. Forecasting crude-oil market volatility: Further evidence with jumps
4. Asymmetric correlations of equity portfolios
5. Modelling microstructure noise with mutually exciting point processes
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