"VAR-GARCH model" - Selaus asiasanan mukaanArtikkelit
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(World Scientific, 05 / 2020)
bookPartTo the best of our knowledge, this is the initial study to investigate the linkages between implied volatilities of global crude oil and Chinese equity markets. At the empirical stage, the bivariate VAR-GARCH model has ...
Oil and non-energy commodity markets : an empirical analysis of volatility spillovers and hedging effectiveness (Cogent OA, an imprint of Taylor & Francis, 05.05.2017)
articleAlthough a large number of empirical papers have examined the price spillover in global oil and non-energy commodity markets, very little is known about the volatility transmission between these two markets. The present ...