Volatility spillover of energy stocks in different periods and clusters based on structural break recognition and network method
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DOI: 10.1016/j.energy.2019.116585
Abstract: This paper investigates the volatility spillover among multiple energy stocks in different periods and clusters (the period of similar fluctuation) by employing the Toeplitz inverse covariance-based clustering method (TICC) and network method. Specifically, we investigate… read more here.
Keywords: volatility spillover; energy; different periods; periods clusters ... See more keywords