Conditional correlations and volatility spillovers between crude oil and stock index returns
Year of publication: |
2013
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Authors: | Chang, Chia-Lin ; McAleer, Michael ; Roengchai Tansuchat |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 25.2013, p. 116-138
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Subject: | Multivariate GARCH | Volatility spillovers | Conditional correlations | Crude oil prices | Spot | Forward and futures prices | Stock indices | Volatilität | Volatility | Ölpreis | Oil price | ARCH-Modell | ARCH model | Spillover-Effekt | Spillover effect | Rohstoffderivat | Commodity derivative | Aktienindex | Stock index | Schätzung | Estimation | Kapitaleinkommen | Capital income | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price |
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