TY  - RPRT
AU  - Chang, Chia-Lin
AU  - McAleer, Michael
AU  - Tian, Jiarong
PY  - 2016
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/27576
AB  - The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers...
LA  - eng
A3  - Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - Co-volatility spillovers
KW  - Crude oil
KW  - Financial markets
KW  - Spot
KW  - Futures
KW  - Diagonal BEKK
KW  - Optimal dynamic hedging.
TI  - Modelling and testing volatility spillovers in oil andfinancial markets for USA, UK and China
TY  - technical report
VL  - 2016
ER  -