The evolution of spillover effects between oil and stock markets across multi-scales using a wavelet-based GARCH-BEKK model
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- 作者：Xueyong Liu ; Haizhong An ; ahz369@163.com" class="auth_mail" title="E-mail the corresponding author ; Shupei Huang ; Shaobo Wen
- 关键词：Multi-scale ; Volatility spillover ; Oil price ; Stock index ; Wavelet ; GARCH&ndash ; BEKK model
- 刊名：Physica A: Statistical Mechanics and its Applications
- 出版年：2017
- 出版时间：1 January 2017
- 年：2017
- 卷：465
- 期：Complete
- 页码：374-383
- 全文大小：546 K
文摘
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We captured the spillover effects between oil price and stock indices at multiscale.
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We considered the time-varying spillover relationship.
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There are significant evolutions of spillovers between the observed markets.
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Different evolution features were found between Oil-US and Oil-Russia stock market.