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~isPartOf:"KIER Working Papers"
~person:"Al-Maadid, Alanoud"
~person:"Babu, Manivannan"
~person:"Khamkaew, Thanchanok"
~subject:"Energiemarkt"
~subject:"Multivariate GARCH"
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Multivariate GARCH
volatility spillovers
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conditional correlations
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Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
Chang, Chia-Lin
;
Khamkaew, Thanchanok
;
McAleer, Michael
; …
-
Institute of Economic Research, Kyoto University
-
2010
the VARMA-GARCH model and the VARMA-AGARCH model suggest the presence of
volatility
spillovers
and asymmetric effects of …
Persistent link: https://www.econbiz.de/10008642392
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