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,...
Furkejuvvon:
| Váldodahkki: | |
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| Materiálatiipa: | Artigo |
| Giella: | Inglês |
| Almmustuhtton: |
MDPI AG
2022-07-01
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| Ráidu: | Algorithms |
| Fáttát: | |
| Liŋkkat: | https://www.mdpi.com/1999-4893/15/8/264 |
| Fáddágilkorat: |
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