Volatility spillover : garch analysis of S&P 500's influence on precious metals
Year of publication: |
2024
|
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Authors: | Duran, Edo ; Grubisic, Zoran ; Lazić, Milena |
Published in: |
Journal of central banking theory and practice. - Warsaw : De Gruyter Open, ISSN 2336-9205, ZDB-ID 2675850-7. - Vol. 13.2024, 2, p. 187-211
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Subject: | Spillover | Commodity markets | GARCH | crisis | Volatilität | Volatility | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Rohstoffmarkt | Commodity market | Edelmetall | Precious metal | Rohstoffderivat | Commodity derivative |
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