Volatility transmission in crude oil, gold, Standard and Poor's 500 and US Dollar Index futures using vector autoregressive-multivariate generalized autoregressive conditional heteroskedasticity model
Year of publication: |
2016
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Authors: | Tanattrin Bunnag |
Published in: |
International Journal of Energy Economics and Policy : IJEEP. - Mersin : EconJournals, ISSN 2146-4553, ZDB-ID 2632577-9. - Vol. 6.2016, 1, p. 39-52
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Subject: | Volatility Transmission, crude oil futures | gold futures | S&P 500 futures | US Dollar Index futures | VAR-MGARCH | Volatilität | Volatility | USA | United States | Index-Futures | Index futures | ARCH-Modell | ARCH model | Rohstoffderivat | Commodity derivative | Gold | Erdöl | Petroleum | Welt | World | Währungsderivat | Currency derivative | Derivat | Derivative | Ölpreis | Oil price |
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