Intensity and Direction of Volatility Spillover Effect in Carbon–Energy Markets: A Regime-Switching Approach
This paper advances a volatility-regime-switching mechanism to investigate the intensity and direction of the volatility spillover effect in carbon–energy markets. Switching between a low-volatility (LV) and high-volatility (HV) regime, our mechanism involves a four-state system (i.e., LV-LV, HV-LV,...
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| Hoofdauteur: | |
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| Formaat: | Artigo |
| Taal: | Inglês |
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MDPI AG
2022-07-01
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| Reeks: | Algorithms |
| Onderwerpen: | |
| Online toegang: | https://www.mdpi.com/1999-4893/15/8/264 |
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