Causal relation and dynamic volatility spillover between commodity market and stock market : empirical evidence from India
Year of publication: |
2022
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Authors: | Kaura, Ruchika ; Kishor, Nawal ; Rajput, Namita |
Published in: |
Afro-Asian Journal of Finance and Accounting : AAJFA. - Genève [u.a.] : Inderscience Enterprises, ISSN 1751-6455, ZDB-ID 2408741-5. - Vol. 12.2022, 2, p. 232-253
|
Subject: | causality | commodity market | DCC-GARCH | dynamic volatility spillover | India | Nifty | stock market | VAR | vector autoregressive | Indien | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Aktienmarkt | Stock market | Kausalanalyse | Causality analysis | VAR-Modell | VAR model | ARCH-Modell | ARCH model | Rohstoffmarkt | Commodity market | Börsenkurs | Share price |
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