Return, volatility and risk spillover from oil prices and the US dollar exchange rate to the Indian industrial sectors
Year of publication: |
2013
|
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Authors: | Kumar, Dilip ; Maheswaran, S. |
Published in: |
Margin: the journal of applied economic research. - Los Angeles, Calif. [u.a.] : Sage, ISSN 0025-2921, ZDB-ID 2442149-2. - Vol. 7.2013, 1, p. 61-91
|
Subject: | Return spillover | Volatility spillover | Upside risk spillover | Downside risk spillover | GJR-GARCH model | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Wechselkurs | Exchange rate | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Indien | India | Ölpreis | Oil price | USA | United States | US-Dollar | US dollar |
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