Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets
Author:
Publisher
Elsevier BV
Subject
General Energy,Economics and Econometrics
Reference26 articles.
1. Generalized autoregressive conditional heteroscedasticity;Bollerslev;Journal of Econometrices,1986
2. Modelling the coherence in short-run nominal exchange rate: a multivariate generalized ARCH approach;Bollerslev;Review of Economics and Statistics,1990
3. Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances;Bollerslev;Econometric Reviews,1992
4. Caporin, M. and M. McAleer, 2009, Do we really need both BEKK and DCC? A tale of two covariance models. Available at SSRN: http://ssrn.com/abstract=1338190.
5. Caporin, M. and M. McAleer, 2010, Do we really need both BEKK and DCC? A tale of two multivariate GARCH models. Available at SSRN: http://ssrn.com/abstract=1549167.
Cited by 122 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Mapping the landscape of energy markets research: A bibliometric analysis and predictive assessment using machine learning;Energy Economics;2024-08
2. Volatility Spillover from the Chinese Stock Market to the G20 Stock Markets in the Wake of the Pandemic COVID-19;Review of Pacific Basin Financial Markets and Policies;2024-06-25
3. Energy Price Inflation, Geopolitical Risk, and Bitcoin Dependence Structure: Evidence from BRICS;Emerging Markets Finance and Trade;2024-04-03
4. Frequency volatility connectedness and portfolio hedging of U.S. energy commodities;Research in International Business and Finance;2024-04
5. From black gold to financial fallout: Analyzing extreme risk spillovers in oil-exporting nations;Journal of International Financial Markets, Institutions and Money;2024-03
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3