Volatility spillovers in commodity markets: A large t-vector autoregressive approach

Energy Economics, Volume 85, January 2020

Author(s):

Luca Barbaglia

European Commission, Joint Research Centre (JRC), Ispra, Italy

Christophe Croux

EDHEC Business School

Ines Wilms

Department of Quantitative Economics, Maastricht University, The Netherlands

Energy Economics, Volume 85, January 2020

Type: Academic publication
Date: le 02/01/2020
Research Cluster :
Source : Energy Economics

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