Crude oil volatility transmission across food commodity markets : a multivariate BEKK-GARCH approach
Year of publication: |
2021
|
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Authors: | Thenmozhi, M. ; Maurya, Shipra |
Published in: |
Journal of emerging market finance. - Thousand Oaks, Calif. : Sage Publications, ISSN 0973-0710, ZDB-ID 2180453-9. - Vol. 20.2021, 2, p. 131-164
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Subject: | Volatility spillover | commodity futures | crude oil price | agricultural commodity | BEKK-GARCH model | biofuel | Volatilität | Volatility | Ölpreis | Oil price | Rohstoffderivat | Commodity derivative | Welt | World | Biokraftstoff | Biofuel | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Rohstoffpreis | Commodity price | Rohstoffmarkt | Commodity market | Agrarpreis | Agricultural price | Erdöl | Petroleum | Warenbörse | Commodity exchange | Schätzung | Estimation |
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