Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets

Energy Economics

Volumn 32, Issue 6, 2010, Pages 1445-1455

  Chang, Chia Lin ^a   McAleer, Michael ^b,c   Tansuchat, Roengchai ^d  

^a NATIONAL CHUNG HSING UNIVERSITY   (Taiwan)

^b Erasmus University Rotterdam   (Netherlands)

^c TINBERGEN INSTITUTE   (Netherlands)

^d MAEJO UNIVERSITY   (Thailand)

Author keywords

Asymmetries; Conditional correlation; Hedging; Multivariate GARCH; Volatility spillovers

Indexed keywords

ASYMMETRIES; CONDITIONAL CORRELATION; HEDGING; MULTIVARIATE GARCH; VOLATILITY SPILLOVERS;

CRUDE OIL; FORECASTING; OPTIMIZATION; RISK ANALYSIS; RISK MANAGEMENT; VALUE ENGINEERING;

COMMERCE;

CORRELATION; CRUDE OIL; ENERGY MARKET; FORECASTING METHOD; MULTIVARIATE ANALYSIS; NUMERICAL MODEL; PRICE DYNAMICS; SPILLOVER EFFECT;

EID: 78149414986     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2010.04.014     Document Type: Article

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