Mean and volatility transmission for commodity futures
Year of publication: |
2015
|
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Authors: | Grieb, Terrance |
Published in: |
Journal of economics and finance. - New York, NY : Springer, ISSN 1055-0925, ZDB-ID 1163091-7. - Vol. 39.2015, 1, p. 100-118
|
Subject: | Price spillover | Volatility spillover | GARCH-M | Commodities | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Warenbörse | Commodity exchange | Rohstoffpreis | Commodity price |
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