Volatility spillover in crude oil market using Heston switching Clayton model
The purpose of this study is to investigate the effects and risk spillover from the global crude oil market on Tehran Stock Exchange Oil Group. For this purpose, we used a combination of copula models and switching models in this research. First, we will examine marginal models and examine Heston sw...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Allameh Tabataba'i University Press
2023-09-01
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| Series: | Mathematics and Modeling in Finance |
| Subjects: | |
| Online Access: | https://jmmf.atu.ac.ir/article_16145_f1de773e20e6e5fce200c0b40380b796.pdf |