Does the volatility spillover effect matter in oil price volatility predictability? Evidence from high-frequency data
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DOI: 10.1016/j.iref.2022.06.024
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- Coskun, Merve & Taspinar, Nigar, 2022. "Volatility spillovers between Turkish energy stocks and fossil fuel energy commodities based on time and frequency domain approaches," Resources Policy, Elsevier, vol. 79(C).
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Keywords
Forecasting; Volatility spillovers; Realized volatility; Oil market; Equity market;All these keywords.
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