Dynamic volatility spillover effects between oil and agricultural products
Year of publication: |
2020
|
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Authors: | Pick Schen Yip ; Brooks, Robert ; Do, Hung Xuan ; Nguyen, Duc Khuong |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 69.2020, p. 1-9
|
Subject: | Dynamic volatility spillovers | Regime switching | Agricultural commodities | Crude oil | Fractionally integrated VAR | Volatilität | Volatility | Spillover-Effekt | Spillover effect | VAR-Modell | VAR model | Ölpreis | Oil price | ARCH-Modell | ARCH model | Rohstoffderivat | Commodity derivative |
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