Arbeitspapier
Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper; No. 16-047/III
Bezug (was)
Wirtschaft
Financial Econometrics
General Equilibrium and Disequilibrium: Financial Markets
Contingent Pricing; Futures Pricing; option pricing
Capital Budgeting; Fixed Investment and Inventory Studies; Capacity
Economic Development: Agriculture; Natural Resources; Energy; Environment; Other Primary Products
Energy
natural gas
spot
futures
ETF
NYMEX
ICE
optimal hedging strategy
covolatility spillovers
diagonal BEKK
Financial Econometrics
General Equilibrium and Disequilibrium: Financial Markets
Contingent Pricing; Futures Pricing; option pricing
Capital Budgeting; Fixed Investment and Inventory Studies; Capacity
Economic Development: Agriculture; Natural Resources; Energy; Environment; Other Primary Products
Energy
natural gas
spot
futures
ETF
NYMEX
ICE
optimal hedging strategy
covolatility spillovers
diagonal BEKK
Beteiligte Personen und Organisationen
Chang, Chia-Lin
McAleer, Michael
Wang, Yanghuiting
Amsterdam and Rotterdam: Tinbergen Institute
McAleer, Michael
Wang, Yanghuiting
Amsterdam and Rotterdam: Tinbergen Institute
Erschienen
Amsterdam and Rotterdam: Tinbergen Institute
- Rechteinformation
-
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft
- Letzte Aktualisierung
-
18.10.2021, 08:57 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- Chang, Chia-Lin
- McAleer, Michael
- Wang, Yanghuiting
- Amsterdam and Rotterdam: Tinbergen Institute
Entstanden
- Amsterdam and Rotterdam: Tinbergen Institute
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