Volatility spillover in crude oil market using Heston switching Clayton model

Soheil Salimi Nasab; Gholam Hosein Golarzi; Abdolsadeh Neisy

Volume 3, Issue 1 , September 2023, , Pages 119-135


  The purpose of this study is to investigate the effects and risk spillover from the global crude oil market on Tehran Stock Exchange Oil Group. For this purpose, we used a combination of copula models and switching models in this research. First, we will examine marginal models and examine Heston switching ...  Read More