Volatility spillover across energy indices of the stock markets

被引：0
|
作者：
Acatrinei, Marius
机构：
来源：
ROMANIAN STATISTICAL REVIEW | 2015年 / 02期
关键词：
energy market; stock market indices; Markov Switching;
D O I：
暂无
中图分类号：
O1 [数学]; C [社会科学总论];
学科分类号：
03 ; 0303 ; 0701 ; 070101 ;
摘要：
The paper will use a MSGARCH model to analyze how are transmitted the sudden changes in volatility transmission from the energy market across several energy indices including Romania. In addition to the GARCH models, the class of Markov-switching GARCH (MSGARCH) may provide an early warning indication of changes in the conditional volatility. We use daily closing data spanning a ten year period in order to capture the dependencies and sensitivities of energy related equity sector.
引用
收藏
页码：5 / 13
页数：9
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