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Volatility spillovers for energy prices: A diagonal BEKK approach · Study

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ArticleVolatility spillovers for energy prices: A diagonal BEKK approach

Mehdi Zolfaghari2020

Article2020

Volatility spillovers for energy prices: A diagonal BEKK approach

Mehdi Zolfaghari · Hamed Ghoddusi · Fatemeh Faghihian

56 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

2002Dynamic Conditional Correlation 1995Multivariate Simultaneous Generalized ARCH 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 2009THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*2008Oil price shocks and stock markets in the U.S. and 13 European countries 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL 2007Oil prices and the stock prices of alternative energy companies 2011Oil prices, exchange rates and emerging stock markets

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Year2020

Typearticle

Published2020-10-01

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations56

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.eneco.2020.104965

openalex_workW3089823905

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