Measurement of volatility spillovers and asymmetric connectedness on commodity and equity markets
Year of publication: |
2020
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Authors: | Palanska, Tereza |
Published in: |
Finance a úvěr. - Praha : Datakonekt, ISSN 0015-1920, ZDB-ID 860318-2. - Vol. 70.2020, 1, p. 42-69
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Subject: | volatility | spillovers | connectedness | asymmetry | commodity | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Aktienmarkt | Stock market | Rohstoffderivat | Commodity derivative | ARCH-Modell | ARCH model | Börsenkurs | Share price |
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Measurement of volatility spillovers and asymmetric connectedness on commodity and equity markets
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