Causal relation and dynamic volatility spillover between commodity market and stock market : empirical evidence from India
Ruchika Kaura, Nawal Kishor, Namita Rajput
| Year of publication: |
2022
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| Authors: | Kaura, Ruchika ; Kishor, Nawal ; Rajput, Namita |
| Published in: |
Afro-Asian Journal of Finance and Accounting : AAJFA. - Genève [u.a.] : Inderscience Enterprises, ISSN 1751-6455, ZDB-ID 2408741-5. - Vol. 12.2022, 2, p. 232-253
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| Subject: | causality | commodity market | DCC-GARCH | dynamic volatility spillover | India | Nifty | stock market | VAR | vector autoregressive | Volatilität | Volatility | Indien | Aktienmarkt | Stock market | VAR-Modell | VAR model | ARCH-Modell | ARCH model | Kausalanalyse | Causality analysis | Spillover-Effekt | Spillover effect | Rohstoffmarkt | Commodity market | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/AAJFA.2022.123053 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013252728