Realized correlations, betas and volatility spillover in the agricultural commodity market : what has changed?
Matteo Bonato
| Year of publication: |
2019
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|---|---|
| Authors: | Bonato, Matteo |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 62.2019, p. 184-202
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| Subject: | Beta | Commodities | Correlation | Realized measures | Volatility spillover | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Betafaktor | Beta risk | Korrelation | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Rohstoffderivat | Commodity derivative | Rohstoffmarkt | Commodity market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2019.07.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012262524