Dynamic transmission mechanisms in global crude oil prices: Estimation and implications

Energy9.00
Volume: 175, Pages: 1181 - 1193
Published: May 1, 2019
Abstract
This study examines the dynamic behavior and spillover effects in global crude oil markets by introducing a connectedness measure based on the vector autoregressive model. Seven major crude oil prices are selected for the analysis on return and volatility connectedness and used to investigate information spillover and their dynamic linkages. Our empirical results suggest that the degree of market integration in global crude oil markets remains...
Paper Details
Title
Dynamic transmission mechanisms in global crude oil prices: Estimation and implications
Published Date
May 1, 2019
Journal
Volume
175
Pages
1181 - 1193
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