Macro news and commodity returns
Year of publication: |
January 2017
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Authors: | Caporale, Guglielmo Maria ; Spagnolo, Fabio ; Spagnolo, Nicola |
Published in: |
International journal of finance & economics : IJFE. - Chichester, Sussex : Wiley, ISSN 1076-9307, ZDB-ID 1324693-8. - Vol. 22.2017, 1, p. 68-80
|
Subject: | macro news | commodity prices | VAR‐GARCH model | Rohstoffpreis | Commodity price | Ankündigungseffekt | Announcement effect | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Rohstoffmarkt | Commodity market |
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