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~person:"Al-Maadid, Alanoud"
~person:"Gupta, Rangan"
~person:"Khamkaew, Thanchanok"
~subject:"futures returns"
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Search: subject:"Volatility Spillovers"
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futures returns
Spillover effect
9
Spillover-Effekt
9
Volatility
9
Volatilität
9
VAR-GARCH BEKK model
8
ARCH model
7
ARCH-Modell
7
Oil price
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7
volatility spillovers
6
Energy and food prices
5
Mean and volatility spillovers
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Energiemarkt
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Energy market
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Food price
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Lebensmittelpreis
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Structural break
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Strukturbruch
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multivariate GARCH
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ASEAN
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Multivariate GARCH
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Oil market
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conditional correlations
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economic development
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energy and food prices
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interdependence
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mean and volatility spillovers
3
spot returns
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Ölmarkt
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Anleihe
2
Bond
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Capital income
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Kapitaleinkommen
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Price and volatility spillovers
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Al-Maadid, Alanoud
Gupta, Rangan
Khamkaew, Thanchanok
McAleer, Michael
6
Tansuchat, Roengchai
6
Chang, Chia-Lin
5
McAleer, M.J.
3
Tansuchat, R.
3
Chang, C-L.
2
Chang, C.
1
Chang, Chang, C.
1
Khamkaew, T.
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Department of Economics and Finance, College of Business and Economics
1
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
1
Institute of Economic Research, Kyoto University
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Econometric Institute Research Papers
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RePEc
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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
Saved in:
2
Modelling conditional correlations in the volatility of Asian rubber spot and futures returns
Khamkaew, Thanchanok
;
Tansuchat, Roengchai
;
Chang, Chia-Lin
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2009
) suggest the presence of
volatility
spillovers
and asymmetric effects of positive and negative return shocks on conditional …
Persistent link: https://www.econbiz.de/10010732624
Saved in:
3
Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
Chang, Chia-Lin
;
Khamkaew, Thanchanok
;
McAleer, Michael
; …
-
Department of Economics and Finance, College of …
-
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/10008568097
Saved in:
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