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~person:"Al-Maadid, Alanoud"
~person:"Khamkaew, Thanchanok"
~subject:"Asian rubber prices"
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Search: subject:"Volatility Spillovers"
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Asian rubber prices
VAR-GARCH BEKK model
8
volatility spillovers
6
Energy and food prices
5
Mean and volatility spillovers
5
ARCH model
4
ARCH-Modell
4
Energiemarkt
4
Energy market
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Food price
4
Lebensmittelpreis
4
Oil price
4
Spillover effect
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Spillover-Effekt
4
Structural break
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Strukturbruch
4
Volatility
4
Volatilität
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multivariate GARCH
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Ölpreis
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ASEAN
3
Energiepreis
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Energy price
3
Multivariate GARCH
3
Preis
3
Price
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conditional correlations
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economic development
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energy and food prices
3
futures returns
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interdependence
3
mean and volatility spillovers
3
spot returns
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Tourism demand
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seasonality
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Conditional correlations
1
Futures returns
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Spot returns
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Volatility spillovers
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tourism demand
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Al-Maadid, Alanoud
Khamkaew, Thanchanok
Chang, C-L.
1
Chang, Chia-Lin
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Khamkaew, T.
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McAleer, M.J.
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McAleer, Michael
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Tansuchat, R.
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Tansuchat, Roengchai
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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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
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