Volatility spillovers across the spot and futures oil markets after news announcements
Year of publication: |
2024
|
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Authors: | Apostolakis, George N. ; Floros, Christos ; Gillas, Konstantinos Gkillas ; Wohar, Mark E. |
Published in: |
The North American journal of economics and finance : a journal of theory and practice. - Amsterdam [u.a.] : Elsevier Science, ISSN 1062-9408, ZDB-ID 2023759-5. - Vol. 69.2024, 1, Art.-No. 102002, p. 1-21
|
Subject: | Asymmetric effects | Connectedness index | COVID-19 pandemic | DCC | Futures | MGARCH | VECM | Volatility impulse responses | Volatility spillovers | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Coronavirus | ARCH-Modell | ARCH model | Ankündigungseffekt | Announcement effect | Schock | Shock | VAR-Modell | VAR model | Welt | World | Rohstoffderivat | Commodity derivative | Wirkungsanalyse | Impact assessment | Börsenkurs | Share price | Ölpreis | Oil price |
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