Using the EGARCH model to examine returns and volatility spillovers in the crude oil and gold markets
Year of publication: |
March 2016
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Authors: | Hsu, Tzu-Kuang ; Tsai, Chin-Chang |
Published in: |
The empirical economics letters : a monthly international journal of economics. - Rajshahi, ISSN 1681-8997, ZDB-ID 2560109-X. - Vol. 15.2016, 3, p. 239-244
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Subject: | Crude Oil Prices | Gold Prices | Exponential Generalized Autoregressive Conditional Heteroskedasticity Model | Volatilität | Volatility | Ölpreis | Oil price | Gold | ARCH-Modell | ARCH model | Spillover-Effekt | Spillover effect | Kapitaleinkommen | Capital income |
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