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Volatility Spillovers With Spatial Effects On The Oil And Gas Market

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  • Karatetskaya Efrosiniya

    (National Research University Higher School of Economics)

  • Lakshina Valeriya

    (National Research University Higher School of Economics)

Abstract

The article is devoted to the estimation of volatility spillovers occurred on the oil and gas market taking into account cross-sectional dependence. The latter is implemented via spatial specifications of the BEKK multivariate volatility model. We also use DCC, GO-GARCH and ADCC models as a benchmark.

Suggested Citation

  • Karatetskaya Efrosiniya & Lakshina Valeriya, 2018. "Volatility Spillovers With Spatial Effects On The Oil And Gas Market," HSE Working papers WP BRP 72/FE/2018, National Research University Higher School of Economics.
    • Handle: RePEc:hig:wpaper:72/fe/2018
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    References listed on IDEAS

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    More about this item

    Keywords

    multivariate volatility models; spillover effects; spatial specifications; oil and gas market.;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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