Volatility spillover across energy indices of the stock markets
The paper will use a MSGARCH model to analyze how are transmitted the sudden changes in volatility transmission from the energy market across several energy indices including Romania. In addition to the GARCH models, the class of Markov-switching GARCH (MSGARCH) may provide an early warning indicati...
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| Format: | Article |
| Language: | English |
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Romanian National Institute of Statistics
2015-06-01
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| Series: | Revista Română de Statistică |
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| Online Access: | http://www.revistadestatistica.ro/wp-content/uploads/2015/04/RRS2_2015_A02.pdf |