Volatility Spillovers between Oil and Financial Markets
The article uses a GARCH-VAR-Spillover Index method to study the two-way volatility relationship between oil and stock markets during financial crises.
Featured in No. 30 on 20 Dec 2023 · on release day
- Released
- 20 Dec 2023
- First featured
- No. 30 · 20 Dec 2023
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- Identifier
- RePEc:spr:jecfin:v:47:y:2023:i:4:d:10.1007_s12197-023-09634-x
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).