Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets

Published:2022-02-04 Issue:5 Volume:42 Page:868-887
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:Journal of Futures Markets

Author:

Dhaene Geert¹,Sercu Piet²^ORCID,Wu Jianbin³

Affiliation:

1. Department of Economics, Faculty of Economics and Applied Economics KU Leuven Leuven Belgium

2. Department of Accounting, Finance and Insurance Faculty of Economics and Applied Economics KU Leuven Leuven Belgium

3. School of Economics Nanjing University Nanjing Jiangsu China

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22312

Reference64 articles.

1. Financialization in commodity markets: A passing trend or the new normal?

2. Dynamic Conditional Correlation: On Properties and Estimation

3. Assessing contagion risk from energy and non-energy commodity markets

4. Dynamic spillover effects in futures markets: UK and US evidence

5. Estimation and empirical performance of non-scalar dynamic conditional correlation models

Cited by 4 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. Spatial Multivariate GARCH Models and Financial Spillovers;Journal of Risk and Financial Management;2023-09-06

2. Trading around the clock: Revisit volatility spillover between crude oil and equity markets in different trading sessions;Journal of Futures Markets;2023-04-03

3. Diagnostic analytics for a GARCH model under skew-normal distributions;Communications in Statistics - Simulation and Computation;2022-12-22

4. Exploring time-varying impact of world pandemic uncertainty on China's commodity prices using TVP-SVAR-SV model;Frontiers in Public Health;2022-08-15

同舟云学术

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