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
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