| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10281963 | Applied Energy | 2012 | 8 Pages |
Abstract
⺠A bivariate EGARCH model with time-varying correlation construction was employed. ⺠The volatility spillover effects between crude oil market and various non-energy markets are analyzed. ⺠The correlation between the crude oil market and non-energy markets strengthens after the financial crisis. ⺠Crude oil market is proved to occupy the core position in the whole commodity markets.
Related Topics
Physical Sciences and Engineering
Energy
Energy Engineering and Power Technology
Authors
Qiang Ji, Ying Fan,