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Dynamic spillovers among major...
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Bollerslev, Tim
77
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76
Diebold, Francis X.
60
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46
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45
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45
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45
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45
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42
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40
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38
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38
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35
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34
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34
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33
Asai, Manabu
33
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31
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30
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28
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27
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26
Amir, Rabah
25
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25
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25
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24
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24
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24
Todorov, Viktor
24
Meddahi, Nour
23
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23
Yu, Jun
23
Agénor, Pierre-Richard
22
Atallah, Gamal
22
Buch, Claudia M.
22
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22
Clark, Todd E.
22
Ghysels, Eric
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3
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Zentrum für Globalisierung und Europäisierung der Wirtschaft
3
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2
Centre for Growth and Business Cycle Research <Manchester>
2
Centre for International Economic Studies
2
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152
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Journal of international money and finance
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International review of financial analysis
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International journal of theoretical and applied finance
83
International review of economics & finance : IREF
83
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Journal of financial economics
78
Mathematical finance : an international journal of mathematics, statistics and financial theory
75
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The European journal of finance
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The review of financial studies
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Econometric reviews
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Applied economics letters
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American journal of agricultural economics
62
The North American journal of economics and finance : a journal of financial economics studies
61
Computational economics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Quantitative finance
58
Discussion papers / CEPR
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
56
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54
Macroeconomic dynamics
53
European economic review : EER
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ECONIS (ZBW)
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1
Volatility
spillovers : a sparse multivariate GARCH approach with an application to commodity markets
Dhaene, Geert
;
Sercu, Piet
;
Wu, Jianbin
- In:
The journal of futures markets
42
(
2022
)
5
,
pp. 868-887
Persistent link: https://www.econbiz.de/10013187611
Saved in:
2
Volatility
spillovers in commodity markets : a large t-vector autoregressive approach
Barbaglia, Luca
;
Croux, Christophe
;
Wilms, Ines
- In:
Energy economics
85
(
2020
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012509561
Saved in:
3
The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market
Chang, Kuang-Liang
;
Lee, Chingnun
- In:
International review of economics & finance : IREF
69
(
2020
),
pp. 374-388
Persistent link: https://www.econbiz.de/10012486979
Saved in:
4
Navigating the oil bubble : a non-linear heterogeneous-agent dynamic model of futures oil pricing
Cifarelli, Giulio
;
Paesani, Paolo
- In:
The energy journal
42
(
2021
)
5
,
pp. 101-122
Persistent link: https://www.econbiz.de/10013170656
Saved in:
5
Spillover effects in the global copper futures markets: asymmetric multivariate GARCH approaches
Lee, Hyun-Bock
;
Park, Cheol-Ho
- In:
Applied economics
52
(
2020
)
54
,
pp. 5909-5920
Persistent link: https://www.econbiz.de/10012308379
Saved in:
6
Emerging equity markets connectedness, portfolio hedging strategies and effectiveness
Harrathi, Nizar
;
Aloui, Chaker
;
Houfi, Mohamed Ali
; …
- In:
International journal of financial research
7
(
2016
)
2
,
pp. 189-201
Persistent link: https://www.econbiz.de/10011577189
Saved in:
7
Returns in commodities futures markets and financial speculation: a multivariate GARCH approach
Manera, Matteo
;
Nicolini, Marcella
;
Vignati, Ilaria
-
2012
This paper analyses futures prices for four
energy
commodities (light sweet crude oil, heating oil, gasoline and …
Persistent link: https://www.econbiz.de/10010343837
Saved in:
8
Market News in Commodity Price Theory : Application to Ethiopian
Grain
Osborne, Theresa K.
-
2002
developing country
grain
markets. The model is first developed to suit the case of Ethiopian
grain
markets, and a general model …
Persistent link: https://www.econbiz.de/10014107787
Saved in:
9
Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie
;
Westgaard, Sjur
;
Gjølberg, Ole
- In:
The journal of risk model validation
9
(
2015
)
2
,
pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
Saved in:
10
A dynamic model of hedging and speculation in the commodity futures markets
Cifarelli, Giulio
;
Paladino, Giovanna
- In:
Journal of financial markets
25
(
2015
),
pp. 1-15
Persistent link: https://www.econbiz.de/10011477250
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