{"title":"2013-2017年原油、欧元/美元和主要ETS市场波动溢出效应:一个三元cDCC-GARCH应用","authors":"K. Tsiaras, T. Simos","doi":"10.36348/sjef.2023.v07i03.009","DOIUrl":null,"url":null,"abstract":"This paper examines the time-varying conditional correlations among Crude oil. EUR/USD and major ETS markets. We apply a trivariate dynamic conditional correlation (cDCC) GARCH models in order to capture potential contagion effects between the markets for the period 2013-2017. Empirical results reveal contagion during the under investigation period regarding the trivariate models, showing potential volatility transmission channels among the markets. Findings have crucial implications for policymakers who provide regulations for the above derivative markets.","PeriodicalId":153790,"journal":{"name":"Saudi Journal of Economics and Finance","volume":"14 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2023-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Volatility Spillovers among Crude Oil, EUR/USD and Major ETS Markets during 2013-2017: A Trivariate cDCC-GARCH Application\",\"authors\":\"K. Tsiaras, T. Simos\",\"doi\":\"10.36348/sjef.2023.v07i03.009\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper examines the time-varying conditional correlations among Crude oil. EUR/USD and major ETS markets. We apply a trivariate dynamic conditional correlation (cDCC) GARCH models in order to capture potential contagion effects between the markets for the period 2013-2017. Empirical results reveal contagion during the under investigation period regarding the trivariate models, showing potential volatility transmission channels among the markets. Findings have crucial implications for policymakers who provide regulations for the above derivative markets.\",\"PeriodicalId\":153790,\"journal\":{\"name\":\"Saudi Journal of Economics and Finance\",\"volume\":\"14 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-03-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Saudi Journal of Economics and Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.36348/sjef.2023.v07i03.009\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Saudi Journal of Economics and Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.36348/sjef.2023.v07i03.009","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Volatility Spillovers among Crude Oil, EUR/USD and Major ETS Markets during 2013-2017: A Trivariate cDCC-GARCH Application
This paper examines the time-varying conditional correlations among Crude oil. EUR/USD and major ETS markets. We apply a trivariate dynamic conditional correlation (cDCC) GARCH models in order to capture potential contagion effects between the markets for the period 2013-2017. Empirical results reveal contagion during the under investigation period regarding the trivariate models, showing potential volatility transmission channels among the markets. Findings have crucial implications for policymakers who provide regulations for the above derivative markets.
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