A volatility spillover analysis between bond and commodity markets as an indicator for global liquidity risk
Ayşegul Kirkpinar, Pınar Evrim Mandaci
| Year of publication: |
2023
|
|---|---|
| Authors: | Kirkpinar, Ayşegul ; Mandacı, Pınar Evrım |
| Published in: |
Panoeconomicus. - Novi Sad, ISSN 1452-595X, ZDB-ID 2261714-0. - Vol. 70.2023, 1, p. 71-100
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| Subject: | Volatility spillover | Bond markets | DCC-GARCH | Copula DCC-GARCH | Hong causality test | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Rentenmarkt | Bond market | ARCH-Modell | ARCH model | Anleihe | Bond | Öffentliche Anleihe | Public bond | Finanzmarkt | Financial market | Kausalanalyse | Causality analysis | Welt | World | Rohstoffmarkt | Commodity market |