16-053/III - Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China

• Authors
  Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands; Complutense University of Madrid, Spain; Jiarong Tian, National Tsing Hua University, Taiwan
• Publication date
  July 18, 2016

• Keywords
  Co-volatility spillovers, crude oil, financial markets, spot, futures, diagonal BEKK, optimal dynamic hedging
• JEL
  C58, D53, G13, G31, O13