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Volatility transmission and volatility impulse response functions in crude oil markets · Study

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ArticleVolatility transmission and volatility impulse response functions in crude oil markets

Michael N. Tamvakis2012

Article2012

Volatility transmission and volatility impulse response functions in crude oil markets

Michael N. Tamvakis

64 citations·0/0 files stored·Energy Economics

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Market Dynamics and Volatility Economics of Agriculture and Food Markets Financial Risk and Volatility Modeling

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1988Testing for a Unit Root in Time Series Regression 1980Macroeconomics and Reality 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1996Impulse response analysis in nonlinear multivariate models 1995Multivariate Simultaneous Generalized ARCH

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2019Volatility Spillovers in Energy Markets 2018On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach 2016Volatility spillover and multivariate volatility impulse response analysis of GFC news events

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Year2012

Typearticle

Published2012-03-12

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations64

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.eneco.2012.03.003

openalex_workW2081378407

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