Does the Choice of the Multivariate GARCH Model on Volatility Spillovers Matter? Evidence from Oil Prices and Stock Markets in G7 Countries
<p>In this paper, we employ asymmetric multivariate GARCH approaches to examine their performance on the volatility interactions between global crude oil prices and seven major stock market indices. Insofar as volatility spillover across these markets is a crucial element for portfolio diversi...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2020-08-01
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| Series: | International Journal of Energy Economics and Policy |
| Online Access: | https://econjournals.com/index.php/ijeep/article/view/9469 |