Dynamic Spillovers Between International Crude Oil Market and China's Commodity Sectors: Evidence From Time-Frequency Perspective of Stochastic Volatility

Dynamic Spillovers Between International Crude Oil Market and China's Commodity Sectors: Evidence From Time-Frequency Perspective of Stochastic Volatility

We study the time-frequency dynamics of stochastic volatility spillovers between international crude oil markets and China's commodity sectors in the spectral representation framework of generalized forecast error variance decomposition (GFEVD). We find evidence that international crude oil mar...

Full description

Bibliographic Details
Main Authors: Zhenghui Li, Yaya Su
Format: Article
Language:English
Published: Frontiers Media S.A. 2020-04-01
Series:Frontiers in Energy Research
Subjects:
crude oil prices
bulk commodity markets
stochastic volatility
volatility spillover effects
frequency decomposition
Online Access:https://www.frontiersin.org/article/10.3389/fenrg.2020.00045/full

Similar Items

Similar Items