The connectedness in the world petroleum futures markets using a Quantile VAR approach

Published 2021 View Full Article

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Title
The connectedness in the world petroleum futures markets using a Quantile VAR approach
Authors
Keywords
Petroleum futures prices, Volatility spillovers, Time-varying, TVP-VAR-Quantile risk spillover model, LASSO-VAR model
Journal
Journal of Commodity Markets
Volume -, Issue -, Pages 100222
Publisher
Elsevier BV
Online
2021-10-16
DOI
10.1016/j.jcomm.2021.100222
References
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