Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold
Year of publication: |
2013-02-15
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Authors: | Mensi, Walid ; Beljid, Makram ; Boubaker, Adel ; Managi, Shunsuke |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Stock markets | Commodity prices | Volatility spillovers | Hedge ratios | VAR-GARCH models | Energy price |
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