Dynamic volatility behaviour in agricultural commodity markets : evidence from VIRF analysis and spillover index calculations
Year of publication: |
November 10, 2017
|
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Authors: | Bernhardt, Matthias |
Publisher: |
[Salzburg] : University of Salzburg |
Subject: | Agricultural commodity spot markets | BEKK in mean | Volatility Impulse Response | Spillover Index | generalized forecast error variance decomposition | VAR | Volatilität | Volatility | VAR-Modell | VAR model | Spillover-Effekt | Spillover effect | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Schätzung | Estimation | Dekompositionsverfahren | Decomposition method | Schock | Shock | Spotmarkt | Spot market |
Extent: | 1 Online-Ressource (circa 23 Seiten) Illustrationen |
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Series: | Working papers in economics. - Salzburg : University of Salzburg, ZDB-ID 2864893-6. - Vol. no. 2017, 02 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Other identifiers: | hdl:10419/184743 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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