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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

Abstract: 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)
New Economics Papers: this item is included in nep-ene
Date: 2018
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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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