VOLATILITY SPILLOVERS WITH SPATIAL EFFECTS ON THE OIL AND GAS MARKET
Karatetskaya Efrosiniya () and
Lakshina Valeriya ()
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Karatetskaya Efrosiniya: National Research University Higher School of Economics
Lakshina Valeriya: National Research University Higher School of Economics
No WP BRP 72/FE/2018, HSE Working papers from National Research University Higher School of Economics
The article is devoted to the estimation of volatility spillovers occurred on the oil and gas market taking into account cross-sectional dependence. The latter is implemented via spatial specifications of the BEKK multivariate volatility model. We also use DCC, GO-GARCH and ADCC models as a benchmark.
Keywords: multivariate volatility models; spillover effects; spatial specifications; oil and gas market. (search for similar items in EconPapers)
JEL-codes: C32 C58 G15 G17 (search for similar items in EconPapers)
Pages: 25 pages
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Published in WP BRP Series: Financial Economics / FE, December 2018, pages - 25
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Persistent link: https://EconPapers.repec.org/RePEc:hig:wpaper:72/fe/2018
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