Volatility transmission across currencies and commodities with US uncertainty measures
Year of publication: |
July 2016
|
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Authors: | Khalifa, Ahmed A. A. ; Otranto, Edoardo ; Hammoudeh, Shawkat ; Ramchander, Sanjay |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 37.2016, p. 63-83
|
Subject: | Markov switching | Commodities | FX | US uncertainty measures | Volatility transmission | Volatilität | Volatility | Markov-Kette | Markov chain | Risiko | Risk | Messung | Measurement | ARCH-Modell | ARCH model | Spillover-Effekt | Spillover effect | Welt | World |
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