Original paper
Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach
Abstract
This paper reveals some new evidence on the volatility spillover between fuel oil and stock index futures markets in China by considering its time-variant feature. Time-varying effect is specified by the Legendre polynomials in a DCC GARCH model. Moreover, the semi-nonparametric (SNP) approach accounting for marginal excess kurtosis and asymmetry is applied. We find different time-evolving patterns of volatility spillover across multiple periods...
Paper Details
Title
Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach
Published Date
Sep 1, 2019
Journal
Volume
83
Pages
119 - 143
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