Does the Baltic Dry Index drive volatility spillovers in the commodities, currency, or stock markets?
Year of publication: |
2019
|
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Authors: | Lin, Arthur J. ; Chang, Hai Yen ; Hsiao, Jung Lieh |
Published in: |
Transportation research / E : an international journal. - Amsterdam : Elsevier, ISSN 1366-5545, ZDB-ID 1380969-6. - Vol. 127.2019, p. 265-283
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Subject: | Volatility spillover | VAR-BEKK-GARCH-X model | Baltic Dry Index | Dry bulk shipping | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Massengutschifffahrt | Baltische Staaten | Baltic countries | Indexberechnung | Index construction |
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